I'm developing a strategy with about 7 entries.
I did a backtest on Only one entry
Briefly speaking ES 5min chart entry 7 only take profit at 12 ticks
I did a back test after an optimization for the 12 months of 2012. the BT got the same results as the optimiz. (that's good, it's supposed to be the same)
I got 195 trades for the 12 months 70% profitable sharp ratio 1.14 profit factor of 1.74 Total net profit of $ 8,350
THEN I took this optimization settings and placed them in for the 12 months of 2011 the previous year. I was hoping to get similar results. I was hoping for consistency.
NO GOOD
I got 363 trades for 2011 using the same settings as 2012.
57% profitable sharp ratio -.25 profit factor of .93 Cum profit of -3.45
and total net profit of $-2,025 I LOST MONEY
If there is no consistancy from one time period to another than this is a waste of time
what do you advise?
What do you think?
Ben
I did a backtest on Only one entry
Briefly speaking ES 5min chart entry 7 only take profit at 12 ticks
I did a back test after an optimization for the 12 months of 2012. the BT got the same results as the optimiz. (that's good, it's supposed to be the same)
I got 195 trades for the 12 months 70% profitable sharp ratio 1.14 profit factor of 1.74 Total net profit of $ 8,350
THEN I took this optimization settings and placed them in for the 12 months of 2011 the previous year. I was hoping to get similar results. I was hoping for consistency.
NO GOOD
I got 363 trades for 2011 using the same settings as 2012.
57% profitable sharp ratio -.25 profit factor of .93 Cum profit of -3.45
and total net profit of $-2,025 I LOST MONEY
If there is no consistancy from one time period to another than this is a waste of time
what do you advise?
What do you think?
Ben
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