CL 1 CAR backtest equity curve.. Two cents needed.

[jimdog42]

Fellow traders and developers,

I've been working on this CL strategy for a while now and attached is the equity curve it produces. This is with 1 CAR, trading (up to)1 day per week over the past 5 years. I'm not sure if I should be encouraged or not.... My thinking is, if I can make 1 contract go this far only trading UP TO one day per week, I may be on to something with how I approach finding my edge. So if I can convince myself there's some merit to this, I'll go work on finding another strategy concept to add another day to the mix... Dunno. When is enough enough?

Anybody want to chime in?

JDog

[NinjaTrader_Bertrand]

JDog, I think it would be helpful to see the stats as well that produced this equity curve. What commission and slippage do you factor in?

[jimdog42]

CL curve with refined money management

Good point Bertrand..

This curve has 1 tick of slippage both directions and 6 bucks round trip commissions included. It took 151 trades (remember this is only 1 day per week if this trade actually fires) and the W/L is 47%. I modified the money management last night to "ratchet" the stop up after X amount and I now get this curve at 56% W/L, 3400DD. While the total net is less, the curve appears to be much smoother.. Walking a fine line man, giving a trade too much room, or not enough..

[sledge]

There is quite a bit of sideways action in there. Could you sit through a year of no gains?

How would it do in a bear market?

[jimdog42]

Well, the idea is more to build on to the concept that got this curve to where it is. If I think the approach is valid, and the curve speaks to some form of robustness, then I'll add in another day, another time or maybe go bidirectional (basically start the process over). This curve is one "setup", 1 car, probably two trades per month and only one direction. Although I would like to have a higher W/L with this current concept.

JDog

[jimdog42]

So.. I found an error in my money management strategy, and this is the curve I now get.. What is this data telling me?

JDog

[sledge]

So.. I found an error in my money management strategy, and this is the curve I now get.. What is this data telling me?

JDog

No attached image...

[jimdog42]

Let's try this...