Greetings,
I have been doing an enormous amount of backtesting in Profitsource recently, and there are a few systems that may be hopeful. Usually my first backtesting goal is to reach the 51% mark for winners versus losers over a five year period. I don't see any sense in doing some fine tuning until I can beat the probabilities by at least 1%.
Yesterday, I somehow stumbled onto a 75% winners versus losers system on the S&P and DOW and I was instantly dumbfounded. This has happened many times before, but not on a data range of 5 years. Here is my initial results from Profitsource's System Builder.
As you can see, the winning trade percentage was 75.71% with an average trade profit of $769.52. Total Profit was $53866.61 from 70 trades. Keep in mind, that this was also based upon a $100,000 trading account starting from 2003 and ending in July 2007. Feeling the luck of the triple 7 calendar (07-07-07), I decided to blindly tweak to my hearts content. After a few hours of tweaking the parameters, this is what I came up with:
System is now sitting at 80.36% winners versus with only 56 total trades. The average winning trade has also increased to $968.27 with a total profit of $54223.24. Now the biggest question is "did I backtest far enough back?" That will have to be left for another post.
What was the system? Let's do some more backtesting first!
Later, Fibonacci
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