Which strategy would you trade?

Steve Alexander said:
None of them. Instead, I'd trade mine. Trading QQQ daily bars, $100k beginning bankroll. 43 trades, ALL profitable. Profit for the year = $86,425.54, so far. Max draw down = $11,651. All commissions and fees included. It's not for sale, I haven't written a book about it, and I don't offer classes, online or otherwise. I'd be interested in hearing from others who have something better.

NB: I doubt that this will continue. We've had a very good year. :) I'm testing a follow on strategy using options for possible use next year.
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Impressive.

But I don't quite understand, if all your trades are profitable so you have a 100% win rate, why was there a draw down?o_O
 
Eldredge said:
When I started looking at this, I downloaded daily data from Yahoo. One of the futures - I think it was EMD - seemed to run out of data. I guess I should find some older data and see what happens for another 5 or 10 years...
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This is a good idea. I've developed a couple of automated strats with basic inputs that tested out well over the last 5 years or so... when I tested over 12 years, the same strats flopped and hit periods of drawdown that I would not have been able to stomach in real life.
 
Steve Alexander said:
None of them. Instead, I'd trade mine. Trading QQQ daily bars, $100k beginning bankroll. 43 trades, ALL profitable. Profit for the year = $86,425.54, so far. Max draw down = $11,651. All commissions and fees included. It's not for sale, I haven't written a book about it, and I don't offer classes, online or otherwise. I'd be interested in hearing from others who have something better.

NB: I doubt that this will continue. We've had a very good year. :) I'm testing a follow on strategy using options for possible use next year.
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Adding to losers?
 
Eldredge said:
I have four similar strategies that have fairly similar results. They all require the same capital, should have similar slippage (included in the number below), and the same commission expense per trade (also included). Over a five year period, I got the following results from back testing:

Strategy 1: 799 profitable trades, 465 losers, 4 negative months, $2,400 draw down, and a longest losing/flat period of 95 trading days. This strategy earned $223,000.

Strategy 2: 667 profitable trades, 291 losers, 3 negative months (all small losses), $2,300 draw down, and a longest losing/flat period of 33 trading days. This strategy earned $236,000.

Strategy 3: 743 profitable trades, 310 losers, 0 negative months, $2,400 draw down, and a longest losing/flat period of 32 trading days. This strategy earned $187,800.

Strategy 4: 566 profitable trades, 218 losers, 1 negative month, $2,300 draw down, and a longest losing/flat period of 28 trading days. This strategy earned $226,000.

So, which one would you trade? Thanks in advance for your opinion.
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Do 2 and 3 together most likely if you can.
 
ironchef said:
Your answer is appreciated.

However, I do not quite understand what you are telling me.
Do you mind expand on why this is so?

Best regards,
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I can not,knowledge is this field is very,very expensive
It takes years and eventually the correct interpretations lead to answers.

I am in final stages of coding and will update on my thread about this when all is ready
Robust systems have draw downs,they recover from them in all tests,i repeat in all tests.From this i stared viewing time to recover as important characteristic when i know very little else about the strategy.

Systems with limited draw down are curve fitted to the max that's how i see it
 
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