What do you think of this strategy?

I remember a system on C2 that was designed in Wealth Lab Developer. Basically the vendor had significantly overestimated profitability and underestimated drawdown because the time frame allowed a buy and a sell and a buy in the same bar. This can't happen, and only on the close will you even be sure within 1 or 2 ticks what the real curve looks like.

I think he (op) got a 10 minute ascii dat file export, popped it into excel, and didn't know how to differentiate between buy/sellatstop and buy/sellatlimit/sell/buymoc, which he didn't use MOC so I'd be highly suspicious of the backtest anyway.

The 3.5 avg win loss/ratio is probably also too high, but would put the profit factor around 5-6.
 
Quote from intradaybill:

Please guys, the OP was very polite. Maybe he has made some mistakes but we all have at some point in time, haven't we?



If you have a 10-minute bar where all these events can occur and you go into it flat, then you cannot know which event happened first unless you use tick data.

The only legitimate approach is to assume that you hit your stop. You cannot then initiate another position until the close of the bar but it can only be a MOC, not a stop or limit order.

This is the reason your equity curve is like you bought a T-Bill.
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Bill, it did seem that he said he assigns a stop to those cases.
 
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