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31 wins
17 losses
48 total trades
$60235 gross win
$7675 gross loss
$46515 profit less fees/commission
55% win rate
7.8 profit factor
$1254 average win
$159 average loss
$1095 average trade
Day trading, so easy a caveman could do it.
Can you help answer these questions from other members on NexusFi?
41wins
23 losses
64 total trades
$100480 gross win
$12305 gross loss
$79480 profit less fees/commission
44% win rate
8.2 profit factor
$1570 average win
$192 average loss
$1241 average trade
1. Any reason you are trading the June contract in Jan and Feb? The March contract is what you would have really been trading back then. That may or may not have an impact on your results.
2. Whenever I see a backtest look so good ($148K profit in 3 months!) I find the adage "if it looks too good to be true, it probably is" is almost always true.
I don't want to rain on your parade, but unrealistic backtests usually lead to bad real time decisions. Hope I am wrong here.
How I am getting at this data is by telling Ninja Trader- go back 600 days from today, give me what you got. I'm assuming here that the data is from the contract of that time. These results are hand tabulated because one of the qualifiers of the strategy is that the 1-hour signal must be in the same direction of the last 4-hour signal, i.e. higher time frame continuity. I have no way to automate this.
Seeing as I have to take the time to do this all by hand, and that there is a danger of 'trying to paint too rosy a picture', I've tried to be as objective as I can. Each time I perform the back test on a week I try to be authentic to the strategy, which is actually pretty simple and easy to follow- Does this 1-hour signal match the 4-hour?
I'm sure that my results are not perfect, in my opinion no back test's are, but what I have been able to derive from the data has already proven to be useful and profitable- and weirdly realistic, albeit rather short term. This week I was able to forward test the strategy and was able to generate the same results that I was seeing week to week in the back tests.
In fact, if I would have followed the strategy faithfully to the end of the week, I would have also caught the massive sell off there at the end and brought that net up to around $15K. That's a pretty good week! Will next week be the same? Who knows?
For me, the value in this kind of testing multi-purpose. I am building up a library of weekly snap shots and indexing them in a way so that I reference them in the future. As I do so I am learning what conditions are favorable to the strategy that I am using. Last, I am calculating the odds. In this case I was simply happy to find that what I am attempting doesn't suck.
$148k in 3 months is possible, but I think I could do even better. In these tests I have been faithful to take the trade from signal to signal, even when it made no sense to do so. I think there is plenty of room for optimization here. This strategy is meant to be semi-automated and discretionary. The automation parts are meant to address those areas of my own human failings, fear and greed, by forcing the trade fear, and by force closing the trade, greed. Plus, I can't be on my charts 24/7! It's nice to have a way to open up a trade when there's a reason to do so and I'm not here. A guy's gotta sleep sometime. That leaves discretion, the true crux of trading.
I would argue there's no such thing as truly automated trading, that as we code it, we are telling it what to do, hence discretion. While there are aspects of discretion that are harmful trade wise, fear and greed, there are others that are beneficial, like being able to recognize patterns and trends. Humans are incredibly good at all of these. The way I see it, discretion IS optimization. Last Wednesday was a great example of how this strategy can be optimized.
At 2:00 AM the NQ printed a signal to the upside and the market drove higher in anticipation of the Netflix earnings report because all the experts said it was a buy, but when the report came out the market reacted to the negative earnings by selling off for the rest of the day. By following the strategy this would have resulted in a loss for the day, but it could have been easily avoided and there was plenty of time to do so.
Then there is scaling into winning positions. I could go on, but there's saying and doing, and none of this matters at a all unless it is done. Next week I plan to run this for the first time against MNQ in the Apex Funded evaluation. It's what I have to do because I a under capitalized. I may succeed, or I might fail, but it's of little consequence to me because right now it's only costing me $80 a month to try, and that's better than a kick in the head!
I actually enjoy the question Kevin. By doing so you give me a the opportunity to better evaluate what I am doing, and I love talking about this stuff! So thank you.
I find it interesting that when presented with an opposing viewpoint ("your backtest is too good to be believed") you not only dismiss it ("$148k is possible") but you double down("I can even do better").
There are quite a few instances like that in this thread- a lot of helpful advice from many people glossed over.
maybe it is a case of the lesson only being learned when the person is truly ready for it.
of course, this is your bbq, so you cook the way you want.
No Kevin, I know your street cred, and so your opinion holds weight with me, but your "backtest is too good to be believed" isn't advice. If can tell me how to trade well, I'm all ears.
Think of my statement as me waving a giant red flag telling you "you are likely to make some bad decisions by believing that backtest." And it is even worse since you feel that backtest may be underestimating your performance.
I can't tell you exactly what might be wrong, since I did not run the backtest. But some areas of concern:
1. A backtest of only 3 months - BAD
2. Not including trading costs (especially slippage, especially for NQ, where 10 points of slippage on a stop is not unusual) - BAD
3. Performing a manual backtest - potentially BAD, depending on tester's ability and biases
There are a ton of other ways to mess up your backtest, too. But again, I have no idea what you may have done, other than the three I listed.
By the way, these are pretty common issues, things we have all done. Example: I used to get the best manual backtests with Al Brook's approach - live trading of the same rules as the backtest was a complete disaster though!
This is not a criticism, nor am I expert, but just an observation.
From your charts, primary strategy seems to be based around moving average. A strategy that is based on moving averages will have much more drawdown than what your backtest is showing. Just call this my experience with coding indicators and throwing stuff in non-use can of internet.
Imo, might want to check this very carefully, moving average backtesting is awfully tricky, and in your case it seems to be "manual backtesting".
Just my 2 cents, again key thing here to note is I'm not criticising and I do not have any valuable street cred either
52 wins
28 losses
80 total trades
$126830 gross win
$17070 gross loss
$97515 profit less fees/commission
46% win rate
7.2 profit factor
$1585 average win
$213 average loss
$1218 average trade