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Today was the day I had been long expecting. Of course, it happened after the Combine, but since I am still tracking the 3 strategies (as I may allocate my own money to them), I am still recording the ongoing performance.
A day like today is not expected all that often, and that brings up the major weak point of this particular strategy - is it worth trading a strategy that just sort of meanders around for a while, and once in a while gets an outsize profit? I know most people would not tolerate such a strategy. Admittedly it is hard to trade when you have to wait a long time between "pay" days.
The last two profitable days have put this strategy very close to the expected profit (50% point).
I am still working on an additional strategy for EC, and I hope to have it ready for the next Combine. Ideally, strategy #4 would be a trend following strategy during the day session, to complement the existing mean reverting strategy I already use. I like trend following a lot more than mean reverting, too.
Good question! Today was +$1700 profit, and the max loss I could ever get in a day would be around $450. I could never have as bad of a day as today was good, unless there was unprecedented slippage.
Today is clearly an outlier, performance wise, based on the last 27 trading days (since the start of the Combine). But, it is not as much of an outlier when I look at the whole history of this system.
Based on history, there was a 3% chance that on any given day a profit greater than $1000 would be achieved.
This means, on average, an outlier profit like this will occur once every 30 trading days or so. In this case, it happened to occur on day 27. But, the next one might appear tomorrow, or might not appear for 6 months. Who knows?!? That to me is the terrible part of this strategy - waiting for the big score, which may never come. Or it may eventually come, but is very unpredictable.
But, you are right that it is wrong to draw any conclusions about the strategy long term, just from today. That is why I typically wait 3-6 months (probably closer to 6 for this infrequent strategy) to see if it performs the same as walkforward testing.
That's exactly the problem with these programs... you might have to choose strategies which increase the likelihood of passing the combine (e.g. based on frequency of trades, average result per trade, etc.), but these strategies might not be the best to use for your own live trading. Hence, these programs should really be seen only as a training tool for a certain period of time (not referring to you, @kevinkdog, but less experienced traders).
@kevinkdog: You should try to add strategies with a higher trade frequency (smaller "home runs" more often, compared to the one with the $1700 profit today).