System Performance: Feedback

[mgbloomfield]

Well, I've created a trading system and tested it from every angle. It seems to be a solid system.

Number of trades: 1804
Timeframe: 1/1/2006 to 12/31/2008
Data Provider: OpenTick
Market Traded: Emini ES Futures contract
Trading Style: Swing with overnight holding using a custom proprietary volume-based indicator

Profit Factor: 2.02 (Anything above 2 is supposed to be good)
Sharpe Ratio: 0.92
Winning Percentage: 53.38%
Losing Percentage: 46.62%
Average Gain: 5.86 Points (I prefer Points, rather than Dollars or Percent)
Average Loss: 3.32 Points
Expectancy*: 1.58 Points (Anything above 1 is supposed to be good)
Expectancy divided by Average Loss: 0.48 Points
Consecutive Winners: 12
Consecutive Losers: 6
Number of Months Profitable: 95.83%

*I'm defining Expectancy to be (Winning Percentage * Avg Gain) - (Losing Percentage * Avg Loss)

The equity curve is smooth and consistently moving up. The number of months profitable is 95.83% which gives me a nice pychological boost to stay with the system during a negative month. The Profit Factor of 2.02 is really nice.

I've been trading this system in demo mode for the past month and I'm getting ready to switch it to live.

Any feedback? Anything that I've overlooked? Any thoughts?

[NinjaTrader_JoshP]

Have you also forward tested? Remember as you switch to live there are many more factors that can make the strategy perform differently. Depending on what kind of orders and such you are using it really is dependent on market conditions.

[Elliott Wave]

Make sure you have taken commission and slippage into account. I've had many seemingly great strategies totally fall to pieces once I did that.

[mgbloomfield]

Have you also forward tested? Remember as you switch to live there are many more factors that can make the strategy perform differently. Depending on what kind of orders and such you are using it really is dependent on market conditions.

Yes, I had a strategy that I created last year and when I switched to live, I saw several things that needed to be dealt with. For example, the lack of session persistence between the account position and the session position. I've taken that knowledge and applied it towards this strategy.

My orders are market orders and the strategy relies on 15-minute bars. So, I don't depend on tick-by-tick control. Every 15 minutes, it looks at the market to see what's going on then it makes a decision to go long, short or flat. It's quite simple.

Make sure you have taken commission and slippage into account. I've had many seemingly great strategies totally fall to pieces once I did that.

Yes, I agree. I've seen the same thing and I'm aware of that. This is not a high-frequency trading strategy so the impact is much lower.

[Trevor.Richter]

Well, I've created a trading system and tested it from every angle. It seems to be a solid system.

I've been trading this system in demo mode for the past month and I'm getting ready to switch it to live.

Any update on how the system has been performing of late, and especially live? Your stats are remarkably good -- should be easy as pie to get a hugely positive ROI