YM test system

[cmaxb]

I am developing an intraday (20m) system for YM. I don't know much about the practicalities of trading a system, just a programmer.

Targets are $1100
Stops are $600
Avg win is $125

All stats per contract. I think I would need about 10K per contract. I don't think I would trade it though unless I had 2 yrs of backhistory.

 

[cmaxb]

...

 

[cmaxb]

Equity curve:

 

[lrm]

cmaxb,

What software is this?

Thanks,

Louis

 

[cmaxb]

esignal

 

[tatsimon]

20m as in 20 minute bars?

 

[cmaxb]

yes.

 

[tatsimon]

Ok

target 1100$
average win 125$

so you nearly always exit before reaching target?

 

[cmaxb]

Yea, it hits a stop or target about once a week.

 

[vikana]

those stats actually look pretty good. I would examine the profit target, as the run-up shows it to be "too far away".

Depending on whether you enter/exit on limits/stops/market you have to give YM at least 5 ticks slip and for limits make sure you trade through your limit in simulation.