Backtesting, Part 1 (2024 remix)

A good day as any to revisit Part 1 of our Backtesting project, with parts of the audio remixed for 2024.

Backtesting, Part 1 - First steps (2024 remix) - Futures, foreign currency and options trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing one's financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

Crunching the numbers with the setting sun

We could be watching the beautiful summer sunset on the Great Lakes or we could be running some quantitative tests. But then again, who says we can’t be doing both?

See yet another confirmation that our claims about

• our methodology,

• the way we engage with the markets,

• the way we identify exploitable patterns in crowd behaviour

are backed by rock-solid data. So why not stop and have a real good look at the numbers below?

View fullsize

Backtesting/optimization, US index futures, 4.5 years of data, 13,000+ trades, commissions included

Highlights:

• 4.5 years, 13,000+ trades: meaningful sample size

• commissions included

• market orders means some slippage has been included

• accuracy above 60% for all four markets (!)

• managable drawdown

• profit factor firmly above 1.00 on all four markets

• max. consecutive losers: 12 (a mathematical reality we looked at so many times on these pages)

Want to know the exact trade management settings we used in the test? Send us an email!