Back Testing Results

• 08/06/2024 at 6:41 PM #236178
  lgovender

  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.

  

  lgovender

  Participant

  Topics: 3

  Replies: 4

  Been thanked: 0 times
  08/06/2024 at 7:29 PM #236180
  phoentzs

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

  

  phoentzs

  Participant

  Topics: 88

  Replies: 1015

  Been thanked: 213 times
  08/06/2024 at 8:01 PM #236182
  GraHal

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

  

  GraHal

  Participant

  Topics: 222

  Replies: 9198

  Been thanked: 2409 times
  08/07/2024 at 9:38 AM #236201
  lgovender

  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%.

  

  lgovender

  Participant

  Topics: 3

  Replies: 4

  Been thanked: 0 times
  08/07/2024 at 9:43 AM #236203
  lgovender

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

  What does the time in the market indicate?

  

  lgovender

  Participant

  Topics: 3

  Replies: 4

  Been thanked: 0 times
  08/07/2024 at 11:09 AM #236210
  Snålänningen

  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.

  lgovender

  

  Snålänningen

  Participant

  Topics: 9

  Replies: 63

  Been thanked: 43 times
  08/07/2024 at 11:25 AM #236211
  GraHal

  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.

  

  GraHal

  Participant

  Topics: 222

  Replies: 9198

  Been thanked: 2409 times
  08/07/2024 at 2:48 PM #236225
  PeterSt

  GraHal wrote:

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

  “Bulls and Bears” eh.
  😉

  

  PeterSt

  Participant

  Topics: 74

  Replies: 2700

  Been thanked: 917 times
• Author
  Posts