Strategy running at 96% win rate in backtesting

[kjohnson67]

Anyone have any idea how a strategy running at 97% win rate on backtesting would do on live account? I do not have a live account but have generated scalping stratgy that has a win rate of 93% - 97% (depending on pair) in backtesting using eSignals historical data fed into Nina Trader. What are important things to consider prior to running strategy on live account. Any feedback is appreciated.

Thanks

[mrlogik]

kjohnson

A few things to consider.

NT uses a bid chart.
To go long you enter at the ask
To go short you enter at the bid
Depending on the spread this can skew your results because you're entering at the bid for both long and short.

you must consider slippage on entries in both directions.

Just some initial thoughts; its late, if I come up with more i'll let you know.

[NinjaTrader_Dierk]

There is no general answer to this. I myself "invented" tons of "fooling myself" strategies a few years ago. The resolution would be going through trade by trade and trying to understand on what "implications" the exits and entries are based off.

[kjohnson67]

thanks guys...what should I think of results of NT strategy that is run against live eSignal feed (I just signed up for subscription)? Does the bid/ask point Mr Logic made still hold? I have found the winning percentage to be similar in this case.

[NinjaTrader_Dierk]

Please see my post below: there is no general answer. You need to analyze trade by trade what's going on.

[mrlogik]

kjohnson,

is the strategy particularly complex?

Who is your broker? Your live data feed should be with your broker. There are differences in price between one broker to the other.

PM me if you want to work something out with coding your scalping strategy.

Yes, the Bid / Ask still holds.

[kjohnson67]

mrlogik,

I sent you PM. Thanks