Back Testing Results

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

Author

Posts
08/06/2024 at 6:41 PM #236178 quote

lgovender
Participant

New

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.

BullsandBears.png

08/06/2024 at 7:29 PM #236180 quote

phoentzs
Participant

Master

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

08/06/2024 at 8:01 PM #236182 quote

GraHal
Participant

Master

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

08/07/2024 at 9:38 AM #236201 quote

lgovender
Participant

New

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%.

BullsandBears-Eq.png

08/07/2024 at 9:43 AM #236203 quote

lgovender
Participant

New

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

What does the time in the market indicate?

08/07/2024 at 11:09 AM #236210 quote

Snålänningen
Participant

Junior

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.

lgovender thanked this post

08/07/2024 at 11:25 AM #236211 quote

GraHal
Participant

Master

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.

08/07/2024 at 2:48 PM #236225 quote

PeterSt
Participant

Master

GraHal wrote:

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

“Bulls and Bears” eh.
😉
Author

Posts