Strategy with 3 trades per year on average

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DTB2

I have studied and developed a VIX based strategy that seems quite profitable. 35 trades over the 10 year lookback. Only 2 filters used (so no curve fitting-I think).
5-1 reward/risk ratio. 60% win rate, 11% loss rate and 29% scratched.

Enough data for me to patiently wait for the setup to appear?

Not trying to be too vague but it actually appears to be my first actual market "structure" type of setup, where the trades actually are understandable and make sense.

Any comments, advice appreciated.
 
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DTB2 said:
I have studied and developed a VIX based strategy that seems quite profitable. 35 trades over the 10 year lookback. Only 2 filters used (so no curve fitting-I think).
5-1 reward/risk ratio. 60% win rate, 11% loss rate and 29% scratched.

Enough data for me to patiently wait for the setup to appear?

Not trying to be too vague but it actually appears to be my first actual market "structure" type of setup, where the trades actually are understandable and make sense.

Any comments, advice appreciated.
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Try the strategy with real money via the minimum size.

Seriously, I'm sure you've must had estimated how much profits you would have made in that 10 year backtesting ?
 
Any more details?

what instrument is used, max drawdown on each trade and in general, long only or long short etc. etc.

5:1 risk reward is awesome. If the drawdown/stop loss is little per trade taken then it can induce "calm trader" mindset and i.e. you can take the trade and forget about it.
 
35 trades isn't enough to really know. I agree with earlier reply, small size and see because with that frequency, you'll have to wait a lifetime to get enough trades to validate in backtesting/sim.
 
Does your method specifies the exact risk when you enter the trade?
 
10% below entry price as stop with 50% above being the target, yes long only. 2 month average holding period.

I think I have it validated and will just have to trade it, I'd hate to think it worked but let xx years go by w/o profiting.
 
DTB2 said:
I have studied and developed a VIX based strategy that seems quite profitable. 35 trades over the 10 year lookback. Only 2 filters used (so no curve fitting-I think).
5-1 reward/risk ratio. 60% win rate, 11% loss rate and 29% scratched.

Any comments, advice appreciated.
More...
Awesome backtest numbers.

One thing though, 8+ years of relentless FED fueled bull market might skew the results.
Hope you crush it. Keep us posted
 
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