When to put money on the line??
I have been forward testing a simple short term trading strategy alongside my other trading. The sample tested so far is 69 trades since Jan 05. I have been surprized at the results.
58% profitable trades
Average profitable trade 1.73 R (R =$ risked)
Average losing trade 1.0 R
Doesn't sound that amazing but because of the reasonably high frequency of trades, low cost commissions and the position-sizing formula ,the return on capital has been 57.71% (YTD)with a reasonable equity curve (at least liveable). It looks to be heading for a 100+% annual return. I don't know what you other guys are getting, but it beats what I have been doing on the eminis in that period with a lot less screen time.
My question is, how big a sample do I need to go "live" with the system and put my money where my mouth is?
What size sample do you guys use to validate a system? I was thinking 100 trades but am I being too conservative?
My past experience makes me sceptical about such returns, however so far, the system seems robust with positive returns through an up and down phase in the market. since January. (the system only goes long).
Any comments from experienced system developers
Terturk
I have been forward testing a simple short term trading strategy alongside my other trading. The sample tested so far is 69 trades since Jan 05. I have been surprized at the results.
58% profitable trades
Average profitable trade 1.73 R (R =$ risked)
Average losing trade 1.0 R
Doesn't sound that amazing but because of the reasonably high frequency of trades, low cost commissions and the position-sizing formula ,the return on capital has been 57.71% (YTD)with a reasonable equity curve (at least liveable). It looks to be heading for a 100+% annual return. I don't know what you other guys are getting, but it beats what I have been doing on the eminis in that period with a lot less screen time.
My question is, how big a sample do I need to go "live" with the system and put my money where my mouth is?
What size sample do you guys use to validate a system? I was thinking 100 trades but am I being too conservative?
My past experience makes me sceptical about such returns, however so far, the system seems robust with positive returns through an up and down phase in the market. since January. (the system only goes long).
Any comments from experienced system developers
Terturk
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