Backtest Results

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Please can anybody comment on this system?

Bars in test 4289
Ticks modelled 87547
Modelling quality 90.00%
Initial deposit 10000.00
Total net profit 34679.50
Gross profit 150697.50
Gross loss -116018.00
Profit factor 1.30
Expected payoff 37.45
Absolute drawdown 5399.00
Maximal drawdown (%) 9886.50 (21.9%)
Total trades 926
Short positions (won %) 463 (90.71%)
Long positions (won %) 463 (88.55%)
Profit trades (% of total) 830 (89.63%)
Loss trades (% of total) 96 (10.37%)
Largest
profit trade 463.50
loss trade -3150.00
Average
profit trade 181.56
loss trade -1208.52
Maximum
consecutive wins (profit in money) 54 (3193.00)
consecutive losses (loss in money) 4 (-1395.50)
Maximal
consecutive profit (count of wins) 10600.00 (27)
consecutive loss (count of losses) -5950.00 (2)
Average
consecutive wins 12
consecutive losses 1
 
Sounds like a system without stop. I'd bet it has a quite small profit target and many profits go through a drawdown that is larger than the profit at which it aims before they recover. Probably some sort of high/low-breaker (e.g. aim at 20 pips profit when the previous day's high/low is reached) or a reversal strategy based on an oversold/overbought indicator.

In any case it's most likely something that could severly affect your sleeping :-)


Markus
 

Sounds like a system without stop. I'd bet it has a quite small profit target and many profits go through a drawdown that is larger than the profit at which it aims before they recover. Probably some sort of high/low-breaker (e.g. aim at 20 pips profit when the previous day's high/low is reached) or a reversal strategy based on an oversold/overbought indicator.

In any case it's most likely something that could severly affect your sleeping :-)


Markus

the system has stop loss around 3o pips


 
Paul,

were you trading 10 Lots then? Average win would then be 4 pips then? Each loser taking out at least 5-10 winners?

But to be honest I don't understand the question of posting the results here. What exactly is it that you want to know?



Markus
 

Paul,

were you trading 10 Lots then? Average win would then be 4 pips then? Each loser taking out at least 5-10 winners?

But to be honest I don't understand the question of posting the results here. What exactly is it that you want to know?



Markus



Markus,

Basically I wanted to start a thead, regarding some aspectso of trading systems , In this case, would you be confident to trade this system, if it has 90% model quality, considering its on a daily time frame and backtested to the "tick".
 
Without additional details (e.g. typical profit targets, etc.) there's nothing much to say about the trading system and backtest results except for the guessing I did above, e.g. about the big drawdowns before hitting the profit (not meaning that is good or bad ... it's just a matter of the personal risk profile).

You may want to post this on the www.strategybuilderfx.com forum, but be warned, postings of just results with details are not too welcome there. If you are tight lipped about your system you'll find that people will not too willing to share their knowledge and experience.

However, have a look at the "Starter System" thread on strategybuilder ... I think the general profile of that system may be similar to yours. There's also a thread about the backtester there which may help you to evaluate the BT results on your own.


Markus
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