Too good to be true??

[nonlinear5]

The numbers above are based on 1932 trades, out of 2394 signals over the last two years. The 462 trade would not have happened because the market moved away from the Entry price before open and didn't revisited that during the day. Attached tables shows breakdown by long and short. Please let me know if this provides you with enough detail.
View attachment 160318

The average profit is $46 per trade, right? Does this take commissions into account? If not, your total net profit figure would probably be cut in half.

 

[Ucicelos]

Yes it does take commissions into account but average round trip on small share size on IB is 2-3 bucks...

 

[d08]

Thanks, I'll check the formulas to make sure that the tester is not peeking at the future data. You are right that I am looking at trade stats, the system picks from a list 1000 most liquid equities, but the system only risks 0.2% on any one equity at any point in time and max positions held over 2 year were 42, so limiting the max risk during the big move to 8.5% (assuming stop losses take me out). The data does has survivorship Bias, any other thing you think I should pay attention to?

Is your system going both long and short? Survivorship bias is a huge thing to consider, smallcap pharmas and corporate scandals create insane moves and these equities are often delisted fast.
What kind of slippage do you include for your stops? Stops are marketable and in low liquidity situations can be incredibly far from last prices used in simulations.
Is it possible that you might have more entry signals on a bar than you can take? How do you prioritize in those situations?

 

[Fractals 'R Us]

Hi ET Gurus,

My first post here. I have been working on a building a system / strategy for some time. Its essentially combining Elder's impulse system with Support/Resistance. The system gives me an Entry, Target and a Stop loss and Exits the trade if Target or stop loss hits or if the entry criterion is voided. In a backtest for over 2 years I am getting 70%+ profitable trades with Avg Win/ Avg Loss of 2.5:1. Most of the trades last for few days and some for about a month.

Before I dive in with this system, I wanted to check with ET gurus here if these numbers are are too good to be true and I may have made error in the back test. Any advice would be appreciated.

Thanks,
Ucicelos

70% and 2.5/1 is very good. Not saying it's impossible or possible, just saying that is about where the sweetest of sweet spots is: You can trade it, you can make money and you can sleep at night because the spectre of a big drawdown and long string of losses is unlikely. There have been months where things were so radically disturbed that systems that made money steadily for years gave it all back and more so there's that, might want to include a stop based on account drawdown.

 

[Ucicelos]

70% and 2.5/1 is very good. Not saying it's impossible or possible, just saying that is about where the sweetest of sweet spots is: You can trade it, you can make money and you can sleep at night because the spectre of a big drawdown and long string of losses is unlikely. There have been months where things were so radically disturbed that systems that made money steadily for years gave it all back and more so there's that, might want to include a stop based on account drawdown.

Thanks Fractals, I am planning to stop trading the system if I hit 10% DD, and monitor till becomes profitable again. The system is based on minimizing the loss and getting many small wins. Keeping my fingers crossed.

 

[Ucicelos]

Is your system going both long and short? Survivorship bias is a huge thing to consider, smallcap pharmas and corporate scandals create insane moves and these equities are often delisted fast.
What kind of slippage do you include for your stops? Stops are marketable and in low liquidity situations can be incredibly far from last prices used in simulations.
Is it possible that you might have more entry signals on a bar than you can take? How do you prioritize in those situations?

I don't believe that I have many small caps in the system, its based for largest and most liquid 1000 Equities and even so the model picked over 90% (past 2 years) from the largest 500...but I am aware that Survivorship is an issue so I am planning to start small and see how it goes.
Yes it is possible that the system on occasions can create more signals than I can take, it risks 0.2% on any one position and max system risk is set at 10% of capital so I can max have 50 open positions, beyond that I use pre-trade RRR based on target/stop loss to prioritize the trades.

 

[Antonis]

hello everyone,i have a simple question,a friend of mine,claimed to me that he earned 5000 euro in one night with a few trades,is it possible and what are the chances of someone to accomplish that?Any help would be appreciated thank u

 

[d08]

hello everyone,i have a simple question,a friend of mine,claimed to me that he earned 5000 euro in one night with a few trades,is it possible and what are the chances of someone to accomplish that?Any help would be appreciated thank u

And you think that's an unreasonable number? 5000€ is very common, it doesn't mean he gets to keep it though.

 

[Antonis]

And you think that's an unreasonable number? 5000€ is very common, it doesn't mean he gets to keep it though.

im not saying i consider this amount unreasonable,im just wondering if it could be truth?and what strategies did he use in order to get this much of a profit during one night,thank you again for your time

 

[d08]

im not saying i consider this amount unreasonable,im just wondering if it could be truth?and what strategies did he use in order to get this much of a profit during one night,thank you again for your time

On what capital? 5k EUR? Yes, that's 100% return in one day but that's most likely gambling and he will give it back tomorrow. 500k EUR? Nothing worth thinking about.