Strategy Profitability

[snotrag12]

I'm fairly new to ninja trader. I've developed some strategies, and have been achieving what I think are fairly good results. I've been getting cumulative profits in the 4-6% range year to date on the es, according to the backtester. I'm curious what would be considered an average profit, and what would be considered a good profit?

[snotrag12]

No Replies

I guess this kind of info must be top secret!

[sledge]

http://www.ninjatrader.com/support/forum/showthread.php?t=54193&highlight=market+replay

I guess this kind of info must be top secret!

[koganam]

I guess this kind of info must be top secret!

Not really. The problem is that the answer is very highly individual. Moreover, without details of the strategy mechanics (not necessarily the code or algorithms), it would be hard to even begin to judge. For example, what kind of bars; what timeframe; how many trades per day; relative size of winners to losers; consistency of returns? etc.

[snotrag12]

I am using an entry to go long if the price increases and an exit if it decreases. Playing around with the optimizer for specifics. E.g. If price increases over last bar by 2 ticks buy, If price decreases over last bar by 1 tick sell. I have bars back and offset as user inputs, so I can use the optimizer.

Just had another thought. I tested a strategy and got -85% return year to date. Not too good. When I switch long entry to short entry and exit long to exit short, I don't get +85% profit. If you used the signals from the losing strategy, and just enter the orders reversed, would it be possible to achieve +85%? Sort of a contrarian strategy.

[sledge]

Just had another thought. I tested a strategy and got -85% return year to date. Not too good. When I switch long entry to short entry and exit long to exit short, I don't get +85% profit. If you used the signals from the losing strategy, and just enter the orders reversed, would it be possible to achieve +85%? Sort of a contrarian strategy.

Nope. Never will happen, especially on tick charts.

[koganam]

I am using an entry to go long if the price increases and an exit if it decreases. Playing around with the optimizer for specifics. E.g. If price increases over last bar by 2 ticks buy, If price decreases over last bar by 1 tick sell. I have bars back and offset as user inputs, so I can use the optimizer.

Just had another thought. I tested a strategy and got -85% return year to date. Not too good. When I switch long entry to short entry and exit long to exit short, I don't get +85% profit. If you used the signals from the losing strategy, and just enter the orders reversed, would it be possible to achieve +85%? Sort of a contrarian strategy.

Would that it were so simple. Then we would all be swimming in profits, would we not? A while back, I gave a fuller answer to that in this thread: http://www.ninjatrader.com/support/f...ad.php?t=43860