so I've had 1000's of "eureka!" moments over the past 12 months of playing with trading strategies and backtesting... all of them have ended in disappointment.
I've recently come up with a system that returns -
start - 01/01/1995
end - 01/06/2008
total trades - 16718
CAR - 198%
Max Sys DD - 11.3%
% winners - 29%
This is with no optimisation (there really aren't that many paramaters to optimise).
I'm not posting this as a "look how good I am"... rather as an exercise in what can I possibly have done to fudge these results???? I have spent the last month trying to disprove these figures with no success.
I'm using 10% position sizes, 1% max loss stops(intraday), and 45percent trailing profit stops(intraday). entry and exits are on next days open. I'm not forward looking in any of my code. Universe is entire ASX. Data is from premiumdata and I assume clean. What else should I be checking???? How can I break this thing?
Am I too pessimistic in thinking that returns such as this are completely ridiculous and I've fudged something, somewhere? I would have considered any kind of CAR above 30% with drawdown of less than 15% to be exceptional. What % values do people consider a "good" system?
Help me crush my dreams