My BNF Trading record

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Humbled by Markets
#1
Hi this is the thread to keep record of PnL of my ATS trading stuff. I will be posting my PnL at day end only.
 

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Humbled by Markets
#2
 

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Humbled by Markets
#3
 

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Humbled by Markets
#4
Doing some data crunching on extended weekend

The PnL distribution of my system looks like as follows (back testing fro Jan 2010 to till date):




The sample set of 2100+ trades since Jan 2010. 33 trades have given loss more than 1.5 percent, whereas 237 trades have given 1.5+ percent profit. 853 trades were profitable (40.5%) out of 2100.

CAR of 42.12%, MDD of -7.4% , CAR/MDD = 5.7 , sharpe ratio of 2.67



Best params have changed on reoptimization but i would like to go ahead with same params for time being.
 

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Humbled by Markets
#5
18th April system was SOH and didnt give any trade.

 

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Humbled by Markets
#6
 

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Humbled by Markets
#7


Bad whipsaw day going on :p
 

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Humbled by Markets
#8
 

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Humbled by Markets
#9
 

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Humbled by Markets
#10


Profit after Taxes/ exchange charges : 16255.86

Ended April with series of whipsaws, 4 trades hit SL and more may come in future. Good point about whole thing is that I ended up profitable in April 2016. Looking forward to May 2016.
 
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