I back tested a new strategy tonight, by manually scrolling through the chart.

Here is how it works:

Market is MES. On a 5 minute chart, if the candle is green enter short with market order. If the candle is red enter long with market order. The order is sent when the candle is complete.
Take profit is 5 ticks. If the take profit limit order is not executed after 20 minutes, exit the position using a market order.

I back tested one day of data, on Friday's data. The day ended with a profit of +$25 using one contract in the MES market. This is very interesting. I will continue testing this concept/strategy and report more results as I back test more days. I will also SIM trade this strategy as well.

Wow this is exciting!

blackgrey45 

I back tested a new strategy tonight, by manually scrolling through the chart. Here is how it works: Market is MES. On a 5 minute chart, if the candle is green enter short with market order. If the candle is red enter long with market order. The order is sent when the candle is complete. Take profit is 5 ticks. If the take profit limit order is not executed after 20 minutes, exit the position using a market order. I back tested one day of data, on Friday's data. The day ended with a profit of +$25 using one contract in the MES market. This is very interesting. I will continue testing this concept/strategy and report more results as I back test more days. I will also SIM trade this strategy as well. Wow this is exciting!

How many trades?
Are you including commissions?

deaddog 

How many trades? Are you including commissions?

61 trades total
I accounted for $1.25 in fees for each trade.

blackgrey45 

61 trades total I accounted for $1.25 in fees for each trade.

Is that 61 completed trades? (One buy and one sell)
Is the $1.25 per round trip or per transaction? (What broker(

deaddog 

Is that 61 completed trades? (One buy and one sell) Is the $1.25 per round trip or per transaction? (What broker(

Yes 61 completed trades. $1.25 per completed trade. (completed trade = entry and exit).

I use AMP Futures. My fees are less than $1.25 for a round turn in the MES, but I rounded up.

blackgrey45 

Yes 61 completed trades. $1.25 per completed trade. (completed trade = entry and exit). I use AMP Futures. My fees are less than $1.25 for a round turn in the MES, but I rounded up.

I assume you added slippage for all the market and stop orders? And for limit order fills (no slippage), did you assume fill only if your price was exceeded (no touch fills)?

FWIW, I'd recommend coding your strategy and then doing a proper backtest. Manual backtests, in my experience, have a high error rate.

Also, if my math is right, you did 61 trades, for $25, or $0.41 net profit per contract per trade.

Not saying that cannot work, but that leaves so little room for error - some extra slippage or a missed or miscalculated trade in your manual backtest, and your net profit might become a net loss.

blackgrey45 

I back tested a new strategy tonight, by manually scrolling through the chart. Here is how it works: Market is MES. On a 5 minute chart, if the candle is green enter short with market order. If the candle is red enter long with market order. The order is sent when the candle is complete. Take profit is 5 ticks. If the take profit limit order is not executed after 20 minutes, exit the position using a market order. I back tested one day of data, on Friday's data. The day ended with a profit of +$25 using one contract in the MES market. This is very interesting. I will continue testing this concept/strategy and report more results as I back test more days. I will also SIM trade this strategy as well. Wow this is exciting!

Hi.

"If the take profit limit order is not executed after 20 minutes, exit the position using a market order".

So is your stop loss time based ?

kevinkdog 

I assume you added slippage for all the market and stop orders? And for limit order fills (no slippage), did you assume fill only if your price was exceeded (no touch fills)? FWIW, I'd recommend coding your strategy and then doing a proper backtest. Manual backtests, in my experience, have a high error rate.

I did not account for slippage for entry market orders and the stop orders when exiting a loss. I just entered at the last price of the candle. I suppose this is unrealistic. So accounting for slippage this strategy is probably unprofitable on the one day of data I tested. I am wondering is a limit order to enter, instead of a market order would help the numbers. Anyways, I will continue testing this and add the slippage going forward.

However, I did make sure the take profit limit price was exceeded by at least one tick in all trades.

zt379 

Hi. "If the take profit limit order is not executed after 20 minutes, exit the position using a market order". So is your stop loss time based ?

Yes the stop loss is purely based on time.