Back Testing Results

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Viewing 8 posts - 1 through 8 (of 8 total)
  • #236178

    Hi All

    Please see back testing results attached. Instrument is US500 $50 on a 1 hour time frame. Please assist with a few questions/points:

    What should i be concerned about? Is the drawdown at an acceptable level?

    I need to test it over a year, querying with IG because I can only select a month of back testing.

    One month is still 200 observations.

    What do I need to take this to market? I added a fail-safe in to stop the system for the day if the number of consecutive stop losses exceed a certain amount.

    #236180

    I wouldn’t trust a backtest over 1 month with 73% timeinmarket…

    #236182

    Post the equity curve above the positions above the price curve … helps to make an assessment.

    #236201

    Please see attached.

    I have tested an option strategy, which reduces the drawdown to by 10% points, so from current 27% it should drop to 17%.

    #236203

    phoentzs I have 1 year in excel. The strategy is tested monthly for a year.

    What does the time in the market indicate?

    #236210

    To me the equity curve looks really nice. But as others mentioned, its only one month. I would like to see at least 3-5 years history of the strategy, and maybe atleast 50% out of sample data, in order to properly judge the strategy. If you get PRT Premium you can backtest with a lot more history.

    Regarding time in the market, its indicates basically that. How much of the time the algo is active/”in” the market. If the algo have high time in market, you will need to pay lots of overnight fee’s, it can be worth it, but its just a thing to keep in mind.

    1 user thanked author for this post.
    #236211

    Thanks for posting equity curve and price, but please can you show positions under the equity curve.

    Equity curve looks good, also notable is that it does well in downtrends.

    #236225

    Equity curve looks good, also notable is that it does well in downtrends.

    “Bulls and Bears” eh.
    😉

Viewing 8 posts - 1 through 8 (of 8 total)

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