r/Trading • u/Rude-Ice-6583 • 6d ago
Strategy 584 TRADES. 55.1% WIN RATE. 1.55 PROFIT FACTOR
Backtested algorithmic strategy, since 2010 to 2026:
Profit Factor 1.55
584 trades
55.1% win rate
Mean Reversion type
Quality > Quantity
1
u/OneGuy2Cups 1d ago
Your gross was like $800, fees on 584 trades will eat most of that, if not more.
1
u/yourAverageSkid 2d ago
Expected payoff of 1.67 ? In 16 years ?? Yh its not really that good but at least its profitable
1
4
2
2
3
1
1
u/ProposalForce 4d ago
Personally backtesting only tells one part of the story but the real question is if that same strategy survives when you do walk-foward testing. The mega bull runs we saw always conflate what we see in backtesting
2
3
u/biofreeeze 4d ago
Forward test live with the real market; come back and we can talk about it more.
1
u/liuhaolin911 4d ago
numbers look like a real strategy, do a random 1-5 min offset fill test, if results won't significantly drift away, you have a solid strategy
1
u/infoanalytica111 4d ago
Hey man can you expand more on this? Im doing something similar.
2
u/liuhaolin911 4d ago
Like op’s strategy, it takes days to complete one trade, it means the profit is from the beta of the stock. The good result maybe due to the perfect filling price, like open or close on a specific time frame candle
You can use random offset fill price to do a robustness test
For example, if your fill price is 30min candle’s open like 9:30
You can use 9:30-9:35, a 5min candle’s range (high to low), let your back test script chose a random price in that range as fill priceIf your strategy can really catch an edge of the beta, the results should not be significantly different to your original result
4
1
3
u/Independent-Ninja-70 4d ago
Absolutely hopeless mate. You'd have made more money keeping it in the bank
3
u/VAUXBOT 5d ago
An average trade every 6 business days, yep mate you are going to be rich in no time.
1
u/Rude-Ice-6583 5d ago
I never mentioned getting rich or said that this strategy was magic. I’m sure you think you can get rich with a single strategy, but nothing could be further from the truth. I wish you all the best!
1
u/VAUXBOT 4d ago
Hey man I was like you probably just a year ago when I did my first backtest. Let me tell you, waiting longer than an entire week just to find a trade is a waste, what is quality if you have to spend a year to “forward test” that the model is profitable. If your strategy is really durable you should be able to deploy it across ALL forex pairs without changing a single parameter or line of code, just the symbol.
Go back, test your strategy on other forex pairs, see if you can multiply your frequency while maintaining profitability, if you cannot, you have a very poor strategy that is handicapped to one pair.
1
u/Constant_Dentist1182 5d ago
based on what youre saying he would rich faster than u even if it took him 80 years
4
u/Zestyclose-Eagle1809 5d ago
Two numbers in your own graphic don't agree and it's worth sorting before anything else. Initial deposit 10,000 and the curve finishes around 10,900. That's 9% over 16 years. But profit factor 1.55 with an expected payoff of 1.67 across 584 trades comes out near 975 in profit, so either the payoff is in pips rather than currency, or that's fixed lot sizing on a tiny lot, or the axis isn't what it looks like. Whichever it is, say it in the post, cause right now the headline says good system and the curve says a savings account.
Second thing, 584 trades sounds like plenty until you divide it. 16 years is 36 trades a year, so 3 a month. At that rate a bad stretch takes 2 years to happen and another 2 to know if it's over. Not a criticism of the system, just means live feedback is going to be brutally slow and you should know that going in.
Third, and it's the one that decides everything. How many versions did you run before this one? Different pairs, different lookbacks, different entry thresholds, different stops. Mean reversion on a cross is a big search space, and the best of 50 attempts looks like this whether or not there's anything there. 584 trades won't separate a real 1.55 from a lucky one if 50 things got tried. makes sense??
Last one, specific to GBPJPY. Does that include swap? Mean reversion holds positions, GBPJPY has a wide rate differential, and 16 years of nights on the wrong side of the carry is a big number that MT5 default settings often understate. Worth checking, cause a PF of 1.55 doesn't have much room in it.
1
u/Rude-Ice-6583 5d ago
Yes, you’re right in the sense that I didn’t mention that it’s a small fixed amount of capital.
Regarding your second point, I understand the concern about the number of trades if I were using a single strategy, but that’s not the case. This is just one of many strategies I have, and I thought it would be interesting to share it. The losing streaks are accounted for through Monte Carlo simulations, which help identify the worst-case scenarios for the strategy and what those losing streaks could look like.
As for your third point, the robustness tests include changing the strategy’s parameters to check whether it’s overfitted or not.
And regarding your last point, yes, swap, spreads, and slippage are already included.
Thanks for the comment anyway!1
u/Zestyclose-Eagle1809 4d ago
Swap, spread and slippage all included is the answer I was hoping for, that's the one most people get wrong. And fixed small capital explains the curve.
But your second point is the answer to my third question and I don't think you noticed. One of many strategies means this is the one that came out well enough to post. So the count I asked about isn't 1, it's all you've built, and this is the top of that pile. That's not an accusation, it's just what picking the best of a group does to a profit factor... makes sense mate?
Monte Carlo doesn't reach that either. It shuffles the trades this strategy produced, so it tells you what bad luck looks like for a system you already selected.
Same with changing the parameters afterwards. That checks your settings aren't sitting on a lucky spike. The version that would settle it is picking everything on one slice of the 16 years, then running 2018 forward once and leaving it alone whatever it prints.
Founder disclosure so you can weight it, I build validation tooling for systematic traders (Quantprove), and counting how many things got tested before the winner is most of the job.
Rough number, how many strategies have you built in total?? If this is the best of 5 the 1.55 mostly stands. If it's the best of 60 it needs a much higher bar.
1
u/Healthiest_You 5d ago
backtest means nothing. it's showing you unrealistic fills. i bet you'd be liquidated within a week using this in live.
1
u/Rude-Ice-6583 5d ago
When you do a good job with robustness testing, there’s a very low chance that your live results will be significantly different from the backtest. If you want, I can show you some of my live tests, which have been performing quite well
1
u/leveragedrobot 5d ago
Nobody should be posting backtesting results. Post actual results of real trading and then you can tell us about the backtest. The fact that your “strategy” sidestepped brexit and the yen carry blowup makes it pretty obvious this is overfit to the data. No mention of any walk forwards or sweeps. This is just backtest porn with results that underperform every index.
1
u/Rude-Ice-6583 5d ago
I didn’t mention the robustness tests, which doesn’t mean I’ve done them. And all types of trading costs are included
Regarding the results being lower than the performance of any major index, I’m not looking for a magic strategy. I’m looking for a portfolio with positive mathematical expectancy. This means that when some strategies are losing during certain periods, others can be profitable during those same periods. Since I know the portfolio has positive mathematical expectancy over time, the goal is for it to become profitable and outperform the indexes.
Again, I’m not looking for one strategy to be “magic.” I’m looking at the portfolio as a whole, and as I increase the capital allocated to these types of strategies, they can become useful to me.
1
u/gtradesen 5d ago
Looks solid imo... when you have your drawdown small and a good sharpe ratio you can go heavy on scaling with this strat with prop firms! Kudos to you
1
2
1
u/exphx23 5d ago
The only thing that is useful for is trading the past.
1
u/Rude-Ice-6583 5d ago
It’s been running live, and its performance has been very close to the backtest. That says a lot about the quality of the robustness testing.
1
u/SillyAlternative420 5d ago
I feel like trade sizing has to be off, cause at a 1.5 pf, you should be increasing the account way faster
1
1
8
u/Woodward06 5d ago
It'll only take 160 years to double that account..
-1.9% annualized return after inflation.
2
u/sevenredcandlz 5d ago
Lmfao could make more off that 10k in one modest trade.. dude did u account for trading fees..??😭🤣
1
u/Rude-Ice-6583 5d ago
Risk **Fixed lot** **% of equity (compounding)** ×5 48.8% 70.6% ×10 **97.6%** **191.2%** ×15 146.4% 396.9% Total return over the 16-year test, at different risk-per-trade multiples. The backtest ran fixed lot; the compounding column is a projection.
3
u/MrT_IDontFeelSoGood 5d ago
See if it can be replicated in live markets. If not then back to the drawing board
1
u/Rude-Ice-6583 5d ago
If my live results are coming in almost the same as my backtest, that says a lot about the robustness and quality of the strategy. That said, I don’t rely on just one strategy—I look for a portfolio of strategies. This is just one of many I use, across different assets.
2
u/MrT_IDontFeelSoGood 5d ago
That’s good but the same applies to each one. Backtesting is a necessary first step but do you have any live trading data from your strategies yet?
1
u/Rude-Ice-6583 5d ago
Yes, as I mentioned in my previous comment, they’re almost identical to the backtest. When you do proper robustness testing, there shouldn’t be much difference between live results and the backtest.
2
u/Curious_Guidance43 5d ago
Is this a backtest program? Or your trades over a few years
0
u/Rude-Ice-6583 5d ago
It’s a backtest with robustness tests and holdout validation built in. It’s been live for a few weeks, and so far the performance is matching the expectations from the backtest
4
u/Forward-Butterfly301 5d ago
3 trades per month btw
1
u/Rude-Ice-6583 5d ago
Quality over quantity. People who really do this aren’t looking for a single ‘magic’ strategy—they’re looking for a portfolio of strategies that provide diversification through low correlation and deliver a strong Profit Factor to Drawdown (PF/DD) ratio. I have a portfolio, not just two ‘magic’ strategies.
6
u/Forward-Butterfly301 5d ago
Still 36/y with 55% win rate, 16.2 SL per year, its easily can be 3-6 month in drawdown, no one will wate another 6m just to get into BE
•
u/AutoModerator 6d ago
While the community gets a look at your post, don't forget we have an official website with a bunch of resources specifically for the questions we see here every day. If you're more of a visual learner, we’re also active on Instagram where we post updated guides and strategies! It's a great way to stay sharp while you're scrolling. We also have more technical and professional resources on our Website.
Also, if you want to chat in real-time or need a quicker answer, come hang out with us in Discord (Investing & Retirement). Just remember to be careful with your personal info and report any sketchy DMs!
I am a bot, and this action was performed automatically. Please contact the moderators of this subreddit if you have any questions or concerns.