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  1. #1
    Annotationsjmj Guest

    Default Win ratio 65% with risk/reward 1:1?

    I was just wondering if any of the intraday systems traders on here find this win rate feasible? I have a breakaway gap system that seems to work very well with the target being equal to the stop, it seems to work over 65% of the time, if not higher. I know I've heard many times that anything above the 50% range is very hard to come by, but I could be wrong. What does everyone think? I'm talking about a strategy with absolutely no discretion, no trailing stop or anything, the stop and target are entered the moment the trade is put on and they are not changed.

  2. #2
    Annotationsqaw Guest

    Default

    since this strategy has "absolutely no discretion", and the entry and exit are pre-determined, it would be simple matter of coding it and running it against historical data. (ideally, two separate data sets, just to be pedantic about duff data)

    whether anyone considers it feasible or not is irrelevant - the back-test would be the objective arbiter.
    anyway, difficult to assess feasibility without knowing the full rules.

  3. #3
    Annotationswzy Guest

    Default

    Yes, my question is whether or not any systems traders are getting this kind of win rate in their own backtesting with a similar risk-to-reward. I'm not able to backtest this myself right now and I'd just like to know if 65% is a realistic number.

  4. #4
    Annotationsztp Guest

    Default

    Where did you get the 65% data from if you haven't back-tested it?

    How many forward tests have you done?

    How many wins and how many losses?

    What is your Aw and Al?

    What are your MaxW and MaxL?

    What's been the drawdown?

  5. #5
    Anrekabam Guest

    Default

    This is exactly the same figures as the system I have developed has come up with. I have found it easy to come up with this figure over a week or two. I currently have a system that has done it over 6 weeks (all the data I have currently collected) and will be backtesting over 5 years in the next few weeks.

    I would look deaper than just these numbers - I have been looking for something that is pretty symetrical (i.e. if it works for buys then reverse it and it should work for sells and with roughly the same number of trades and ratio), is not too patchy (i.e. it doesn't make all the wins in one day or week so the win ratio stays pretty consistent over any timefrmae), works on many markets and has few days of drawdowns.

    I have finally met all this criteria and so it is possible (over 6 weeks).- I will report back in a few weeks with how it works over a decent time period.

 

 

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