this is an automated intraday HFT strategy..so no overnight positions. it makes 214.64 trades/ day (avg)..so obviously low commission rates are a must. there is actually another version of this system that netted $1,310,830 in ONLY 21 months, 1 contract! but it makes 499 trades per day! so it is almost impractical due to the high commission costs. I also ran it on 17 instruments..the only instrument that lost money was ES. top performers GC, CL, TF, NG. that netted $22,177,848!!! I will trade it if I can find total commissions and fees under $3 or less round trip.
okay..now back to this system that trades TF only..
backtest period: 21 months
# of trades: 72007
walk forward optimization period: 28 days
best # results:10
# of contracts:1
instrument: TF
max DD: $617.03
percent profitable: 52.52%
profit factor: 1.99
avg W/L ratio: 1.80
total net profit prior to optimization: $695,350
total net profit after walk forward optimization: $757,350
I will sim this for one week before trading it live. I know this seems meaningless but due to the high trade # 72007, and backtesting, optimizing and walk forward testing that it should perform very closely to the results produced from testing. not to mention it works on 16 instruments (tho, much better for faster heavy volume markets). and when I ran backtest on that version of the system, total # of trades was 8,457,599!! Van Tharp only suggests only 10,000 trades and good backtest results to get a solid idea of future system performance. therefore I dont think sim trading this strategy for an extended period of time would be much different from the extensive backtest results.
I would post an actual summary of results, but I cant save the summary screenshot in strategy analyzer..and I really dont want to disclose all of the info on the summary.
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