I have run the strategy over 20 different entities, stocks, currency & futures and they all make money and the figures vary obviously. I've been researching MFE / MAE / ETD and Sharpe to determine if although it making money is wise to use.
I tested 01/01/2013 - 15/11/2013, I need to download the latest data.
The results are
Sharpe ~0.52 - 0.79
MAE ~0.42% - 0.60%
MFE ~0.80% - 2.10%
ETD ~0.84% - 1.56%
Trades over this year range from 40-120 entrys
Max downdraw is ~3.80% - 8.94%
Avg time in market ranges from 2.2 days till 9.4 days
Profit per month ~.90% to 2.6%
Cumulative profit ranged from 10.2% to 35.9%
What do I need to do to improve the strategy, is it the exit timing? Is the profit factor to small? Etc, any advise would be much appreciated.
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