How to detect a strategy to have potential and be successful

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  • 08/25/2021 at 7:34 AM #176151 quote
    phanz
    Participant
    Average

    Hi all,

    Just wanna gather your thoughts and opinions on this…  for two strategies: Mean Reversion and Trend following…

    Consideration:

    • Just 1 contract per trade,
    • No money management,
    • No optimisation.

    The question is…  What is the :

    •  % of winning trades,
    •  Gain/Loss ratio
    • Time in the market

    For

    •  mean reversion strategy
    • trend following strategy

    to be considered as having potential and deserved further studies?

    08/25/2021 at 10:18 AM #176173 quote
    JS
    Participant
    Senior

    I can speak only about trend following.

    Back Test 15 years / 1 contract / no optimization

    phanz thanked this post
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    08/25/2021 at 12:37 PM #176200 quote
    JS
    Participant
    Senior

    I am not a fan of optimization because optimization means, adapting your system to a certain market.

    It must be the other way around, you have a (fixed) trend following system and when there are trends in the market your system preforms good and when there are no trends in the market your system preform bad.

    08/25/2021 at 1:02 PM #176201 quote
    JS
    Participant
    Senior

    It is a common mistake to look at the PROFIT as the most important part of a system.

    Maybe some people think, you only make a profit of 2000 euro in 15 years (S&P500).

    This profit depends on your MM including the number of contracts used.

    When your Gain/Loss Ratio and % of winning trades is good then you can make all the money in the world…

    Profit is secondary and the characteristics of your system is first.

    08/25/2021 at 1:32 PM #176206 quote
    phanz
    Participant
    Average

    Yes JS, I totally agree.  That is why I do not include profit as the criteria, but rather:

    •  % of winning trades,
    •  Gain/Loss ratio
    • Time in the market

    as the criteria.  Surely there must be some ballpark numbers to the above 3 criteria for mean reverting and trend following strategies.  Normally mean reverting will have higher % or winning trades and have many small gains vs big few losses thus small Gain/Loss ratio.  The opposite is true for trend following strategies.  But what I want to ascertain is what is that criteria for mean reversion and trend following strategies for someone to say “hey this strategy has potential and deserve more work for improvement”.

    08/25/2021 at 3:11 PM #176216 quote
    JS
    Participant
    Senior

    The combination of Gain/Loss ratio and %Winning trades.

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How to detect a strategy to have potential and be successful


ProOrder: Automated Strategies & Backtesting

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phanz @phanz Participant
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This topic contains 5 replies,
has 2 voices, and was last updated by JS
4 years, 6 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 08/25/2021
Status: Active
Attachments: 3 files
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