Testing Phase 1 complete

48 trades and 2 months later, I think I have completed the 1st phase of my testing this strategy.


Key highlights:

1.37% gain

average risk of only .49%

max drawdown was 2.65% which is probably my worst stat. But it was not because of any one losing trade - I had a series of 6/7 trades that lost in a row.

Also, I paid more than 2% of my account in commissions... is TOS too expensive? You bet!!

In any case, I am fairly satisfied with the results. I know that 2 things must change: my MFE to exit efficiency is a mere 33%. That means I am not capturing the max profit possible. So I am moving my far out target a little closer.

Also, I am getting stopped out way too much on trades that go on to win and win big. So I need to optimize my stop loss a little bit.

Apart from that, I can see, as I thought, around 60% of my trades will be profitable.

A note on the markets

In case you did not know, I am only simulating the above strategy. I am making decent profits trading this strategy on a daily basis. Mostly, I have been lucky and caught both the big down moves on S&P and exited very near the bottom.