NT Veterans & Support.. Where Do I Stand and "Productionizing" My Strategy?

[PTSD_Trader]

Hello NT Support and Friends,
I have been a discretionary trader since '96 and have recently gotten tired of the emotional swings, so I've put a lot of my rules into a NT trading strategy and backtested on *6 months* of data. I subscribe to IQFeed.

That said, I have 2 questions:
1) Does the profit factor (1.79), win rate (70.86%), sharpe ratio (1.43), a one time drawdown of 20% of my starting account size, and other stats look good enough to consider productionizing this thing? Again, this is a 6 month backtest on 350 total trades. I am trading ES only.
2) What do I need to check/do to productionize my code? I am sure there is a thread on this, but havn't been able to find a good one.

Attached are some pics of my stats. I need to know where I stand. It seems a 1.79 profit factor is pretty good, but is it good enough see prime time? This strategy trades 1 ES contract short and long. Out of 27 weeks, the strategy has been significantly negative 3 weeks, close to break even for 5 weeks, and positive for 19 weeks. If you look at my numbers, the strategy obviously does a lot better during times of high volatility.

So, again, here are my questions:
1) Where do I stand on the numbers? Is this strategy worthy for prime time?
2) What should I do to bulletproof the code as much as possible before going live?

Thanks for your input,

Steve

[sledge]

That's a good start.

Next step would be to run in market replay.

In NT7 market replay, my results are about $5,000 more than NT8.

This is January 2014 to September 2015.

http://ninjatrader.com/support/forum/showpost.php?p=424345&postcount=1

[NinjaTrader_Brandon]

Hello Steve,

Thanks for your post.

I would not be able to give you trading advice and you would need to decide when to go live.
You could test out your strategy further in simulation with live data to see how it performs for you.
Additionally I would recommend reviewing the link below.

http://ninjatrader.com/support/helpGuides/nt7/?discrepancies_real_time_vs_bac.htm

[PTSD_Trader]

Thanks Brandon and sledge. Very helpful comments!

[koganam]

Hello NT Support and Friends,
I have been a discretionary trader since '96 and have recently gotten tired of the emotional swings, so I've put a lot of my rules into a NT trading strategy and backtested on *6 months* of data. I subscribe to IQFeed.

That said, I have 2 questions:
1) Does the profit factor (1.79), win rate (70.86%), sharpe ratio (1.43), a one time drawdown of 20% of my starting account size, and other stats look good enough to consider productionizing this thing? Again, this is a 6 month backtest on 350 total trades. I am trading ES only.
2) What do I need to check/do to productionize my code? I am sure there is a thread on this, but havn't been able to find a good one.

Attached are some pics of my stats. I need to know where I stand. It seems a 1.79 profit factor is pretty good, but is it good enough see prime time? This strategy trades 1 ES contract short and long. Out of 27 weeks, the strategy has been significantly negative 3 weeks, close to break even for 5 weeks, and positive for 19 weeks. If you look at my numbers, the strategy obviously does a lot better during times of high volatility.

So, again, here are my questions:
1) Where do I stand on the numbers? Is this strategy worthy for prime time?
2) What should I do to bulletproof the code as much as possible before going live?

Thanks for your input,

Steve

Your numbers are interesting and look good, but there are some things that kind of stand out.

It is fairly obvious that like with most strategies that have a high win/loss rate, your stops are larger than your targets. Contrary to most guruspeak, there is nothing inherently wrong with that. The reality that is more important to trading is the "expectation value of profit"/"expectation value of loss". This expectation ratio, depends on both the size of your parameters, and the probability that those price points will be hit during the normal duration of your trades.

That having been said, however, you still probably should seek to have better control of your potential loss on any one trade. Given the size of your wins, I would suggest that you implement a disaster stop at somewhere less than $1400, (28 points!!). You really do not want to give back such a large chunk of your profits on just one trade. That one loss is bigger than 10x your usual wins.

As Sledge says, it is now time to forward test, either in Market Replay or Sim, preferably both.

Just my $0.02.

[PTSD_Trader]

Great feedback. Thanks Koganam! Good point on the disaster stop.