I had originally posted this in 'Automated Trading' but I think it belongs here instead, sorry for the dupe post.
Hello,
I am new to NT, and would like some expert advice to help interpret my backtesting results.
Let's take one script in particular that I wrote. I like to be in front of my computer when it is running, so the time frame is 12:00pm to 3:59pm (market time). I allow multiple entries per direction, have defined 1 tick slippage, and the quantity is 1 contract per order.
When you run it against ES for Oct 1-Oct 20 (present day), I get the following results (see image attachments for complete details on this period, sorry for image quality, I had to compress a lot to get it under the forum file size limits):
39 trades, 92% profitable, max drawdown $(-217.50). Profit factor of 10.35, average time in market 0.8min.
When you run it against ES for Sep 1-Sep 30, I get the following results:
12 trades, 100% profitable, profit factor 99.00, average time in market 2.3min.
Now, this seems too good to be true. I will spend quite a bit of time in the coming days to continue running this against new market data. I only looked at about 3 days of charts to code my strategy script, and I know markets fluctuate dramatically over time. I already realize no strategy will work for extended periods of time, etc etc.
Finally, here is my question -- asking for advice from experts -- what should I make of these backtest results? What I am really asking is whether or not I can 'believe' the results as I see them, and assuming yes, would it not be realistic to expect similar results from the real market in the _very short term_ period (matter of days)?
Thanks for your input.
Mike
Hello,
I am new to NT, and would like some expert advice to help interpret my backtesting results.
Let's take one script in particular that I wrote. I like to be in front of my computer when it is running, so the time frame is 12:00pm to 3:59pm (market time). I allow multiple entries per direction, have defined 1 tick slippage, and the quantity is 1 contract per order.
When you run it against ES for Oct 1-Oct 20 (present day), I get the following results (see image attachments for complete details on this period, sorry for image quality, I had to compress a lot to get it under the forum file size limits):
39 trades, 92% profitable, max drawdown $(-217.50). Profit factor of 10.35, average time in market 0.8min.
When you run it against ES for Sep 1-Sep 30, I get the following results:
12 trades, 100% profitable, profit factor 99.00, average time in market 2.3min.
Now, this seems too good to be true. I will spend quite a bit of time in the coming days to continue running this against new market data. I only looked at about 3 days of charts to code my strategy script, and I know markets fluctuate dramatically over time. I already realize no strategy will work for extended periods of time, etc etc.
Finally, here is my question -- asking for advice from experts -- what should I make of these backtest results? What I am really asking is whether or not I can 'believe' the results as I see them, and assuming yes, would it not be realistic to expect similar results from the real market in the _very short term_ period (matter of days)?
Thanks for your input.
Mike
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