Opinion on Backtest results

Hi Friends,

I am trading markets for last one and half years. Just wanted seniors' opinion the backtest results on Banknifty for 15min time frame on a custom strategy. The data starts from Jan 2010 till Dec 2013 (four years). Trading 100 units of nifty per trade constant. Brokerage and slippage totals 3 paise/trade. Please let me know if I should provide more details about the criteria.

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i am also working on bnf 15m with an afl , can u plz mention here , are u trading in 4 lots in bnf or in 2 lots ?
my result is some how much better than ur one ,
may be by mutual comnversation we both can get benifitted and may be increase profitability of our systems .....

in ur system what i see major problem is , winning ratio , it is less than 30% , which is very less , a ratio of 45-50% is an average best and a ratio above 55-60% is good one ....
also sharpe ratio is not there , if it is above 2-2.5 it is good one and if it is 3-3.5 it is best one ...........i think so ..

also check whether ur system is future looking or not , as some system generates very good result while backtesting but in real they are fail one .........
also , if possible , can u generate year wise report , so that we can look more dipper into and can suggest some more features to add in.....to improve profitability ....and decrease drawdown.

Thanks Buddy for your reply. Actually I have a good knowledge of the parameters but I wanted to know the opinion of the traderji members so that I can find whether this system is tradable or not.

There are couple of websites which provide the iEOD data. i.e. Tradewithme.me and out traderji member R M also does so.

hope this helps.

Best Regards,

Hiren

Thanks for your reply Dell. I am trading 4 lots on capital of Rs. 4 lac for the backtesting purpose. Yes, I am worried about the lower winning ratio and higher number of consecutive losing trades but the system has consistently performed over the backtesting period and given 4x bank deposit rates/year.

The system is not future looking. And I am attaching monthly performance data generated by AB.

Looking forward to your inputs.

Best Regards,

Hiren

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after watching ur report i create this one today , for bnf 4 lots , capital 400000 , optimization is not done ,also adjustment is remaining, testing date is same as u , 1-1-10 to 31-12-13;
want to make it more robust ..one thing i notice in ur system , trades are very less and r:r is approx 1:4.a nice thing ,want to discuss with u about system development , can i got ur any info or chat id ?
main problem with me is i am dumb in terms of coding and programming , with the help of senior's like happy singh , pratap sir , mastermind , i learn some coding but cannot do all things have many idea's but u know without coding all remains burried and not tested , if u know coding we can make some more robust thing by mutual interaction.......also request to seniors knowing afl coding plz come ahead for making of a system from scratches from different idea's and minds ......

Dell, This system is awesome. I mean you do not need to do anything more than this. Just focus now on flawless execution of the system and start trading the same. Read (if you still have not) Mark Douglas' book "Trading in the Zone" and understand "how to think in terms of series of trades" and accept the fact that "no one in the market has any idea what is happening/do not find reasons for price actions". And you are good to go my friend.

Wish you all the best. My email is sonihiren dot 33 at g m a il dot com.

Best Regards,

Hiren

no hiren , every system has some flaws , u see here , drawdown .....it is to be reduced , i have seen an institution system where winning streak is 65% and drawdown is only 6.5% ,
i don't know how they acheive it ,
but yet , i try and make a system where our winning streaks reach about 61% but here one problem occurs our r:r becames 1:1.3 and our net profit becames come down drastically , whearas when we came to 35% winning streaks our system net profit will increase and also r:r reaches 1:4 to 1:5.8

there are many systems , which are far most supperior , but all thing is here that system is like a sword , u have to know where to use it more efficiently , unless u know u can use any system it will hurts u ....also it must suit ur mentality .....

there are many systems , which are far most supperior , but all thing is here that system is like a sword , u have to know where to use it more efficiently , unless u know u can use any system it will hurts u ....also it must suit ur mentality .....[/QUOTE]

Dell, There are many systems out there who are superior but we do not have it. I have a system of which the winner % is only 40%. I am trading the system and making profit consistently. Of course, in Jul, Aug I had a 70% drawdown but still, it gives me more return than my money in the bank account. So that is my main purpose, to earn more on my money than the FD interest.

The purpose of trading is to grow our capital consistently and to earn more % on our capital. It can be 20%/yr for someone or 200%/yr for another trader, but we have to decide what we want to achieve. Your system generates 500% return in four years. If I had that system, I would first check the signals bar by bar and if everything is alright , I would start trading tomorrow. Money is made by trading not backtesting.


Best Regards,

Hiren

have u checked out that is it look in future ?
how many lots have u tested ?
what is the value u put in symbol information window ?
can u post ur trade list snapshot ?
is brokerage is deducted ?

This is incredible Abhi. are you already trading the system or are you going to start trading it soon?