Few observation from yesterdays backtest:
If your mechanical system has a good foundation and trend following, never ever segregate zones like we do in manual -
I will be long only when the price is > 200 EMA on the daily chart or will short. It takes down system performance by a great measure. Any system for that purpose.
I did this backtest for TF in 15 mins, tried with zone segregations - with 4X TF and also daily. It is costing me 2000 points in net throughput for 2013 to 2017.
1. Return from unoptimised system 4200 points
2. From semi optimised 5700+
3. Once you apply the zone segregation, falls down to 3200 odd. No benefit on MDD or Monte Carlo 99% drawdown chances (I hope we know the monte Carlo things, or just google, it randomised all possible trades generated and give you the drawdown that can happen if the worst sequence of losing streak in those 4 years happens one after another - sort of, not exactly, but to give an idea)
So point # 3, we do to avoid losing streak or drawdowns, but the issue is, if risk management is fine, the ride from the bottom during the recovery of the market not only compensate but also give you more rewards than what you lost. Sizing will be the key.
So, 1 Lakh with only long trades could be 647766 (with extremely defensive sizing, we not going to even 2 lot unless 3 lakh is crossed, etc) or so as per current status ---> only longs. I have not taken a single short. Which will contribute as well from its side.
Give me some time. I will share the link to all the reports.
Well does it make any sense if I am sharing these when I am not sharing the system? It does.
All I am trying to say, If you want to be mechanical, put some effort in making the system robust though nothing is guranteed. Money and maths goes hands in hand. The result of the system has to be based on some mathematical model to get a probable result in long run, you are pulling trigger blindly here.