Feedback on Backtest Results

Hey Fellow Monkeys, 

I developed a new strategy recently and hired a software engineer to put it into code and I just got some preliminary results I was hoping you all could help me interpret. Please bear in mind this strategy is designed to trade commodity futures as one of the biggest edges to this strategy is that futures trade 24 hours, but I only had a TD account at the time and they only allow one-month historical data on equities and nothing on futures. However, I am in the process of opening an Interactive Brokers account that’ll allow me to backtest futures for the entire year of 2020. Anyway, here are the preliminary results of this strategy on AAPL for August 9th-September 9th. Though it wasn’t designed to trade equities, I feel the results are encouraging. They came up as follows: 

Chart Timeframe: 20 day 1 hour 

Trades per day avg: 2.77 long, 2.88 short

I’m having an issue with entries and unnecessary reentries being triggered and I’m trying to work my way through that, but regardless the commission costs are currently not overwhelming at all, especially if I ever get to the point where I’m trading decent size and am in the position to negotiate rates. 

Winning Trades: 58.33% long, 49.33% short

Once again this metric is a bit misleading because of the unnecessary reentry and immediate exit issue, but regardless seems sustainable. 

Avg Profit Per Winning Trade: 0.547% long, 0.723% short 

All of these metrics are conveyed as a proportion of the overall portfolio, so for a $100k account, an average long winner would be $547

Avg Loss Per Losing Trade: 0.207% long, 0.210% short

This seems that the profit factor would then be 2.64 for longs and 3.44 for shorts 

Max Profit: 6.55% for longs, 1.67% for shorts 

Clearly longs have performed better for this particular month, but with AAPL reaching all-time highs and practically going parabolic, this is not necessarily surprising 

Max Loss: 0.832% for longs, 0.696% for shorts

This would make max profit factor 7.87 for longs and 2.40 for shorts 

Average Candles Per Trade: 2 h:15m:49s for longs and 1h:08m:12 for shorts

This is not an HFT strategy, so with access to unfiltered CQG data and an excellent internet connection, which I do not currently have, the fills on these positions are extremely attainable 

Avg Candles Per Winning Trade: 3h:16m:12s for longs and 1h:30m:17s for shorts

Avg Candles Per Losing Trade: 51m:16s for longs and 46m:41s for shorts

This follows one of the foundational adages of trading, “Let your winners run and cut your losers short”, and with my winners lasting 2-3 times as long as my losers, it seems this strategy adheres to this concept 

And most importantly....

Overall P/L for Aug 9th-Sep 9th: +33.48%

P/L for longs: +27.91%

P/L for shorts: +5.58% 

To a critic one might say the profitability on longs makes sense as AAPL is reaching all-time highs and seems to continuously rage on, but what I feel illustrates the robustness of this strategy is that even with a sub 50% win rate and AAPL going parabolic this past month, this strategy still returned over 5.5% going short. As mentioned, this isn’t even the asset class this strategy was designed for; about 60% of the trade opportunities for this strategy in the futures market trigger from 7pm-5am, so it’s a much better fit for that. This backtest does show implications of cross-asset functionality however. This strategy also functions quite well on the 1YD, 180d4h, and 3YW charts, but I don’t have the time or resources to run a formal backtest on those. I will post updated results once the IB account is open and a longer-term backtest is run on NG and ES. For now though, what do you all think? Thanks in advance. 

Career Advancement Opportunities

September 2023 Investment Banking

  • Lazard Freres (++) 99.6%
  • Jefferies & Company 01 99.1%
  • Lincoln International 01 98.7%
  • William Blair 12 98.2%
  • Financial Technology Partners 02 97.8%

Overall Employee Satisfaction

September 2023 Investment Banking

  • William Blair 04 99.6%
  • Lincoln International 11 99.1%
  • Canaccord Genuity 18 98.7%
  • Jefferies & Company 05 98.2%
  • Stephens Inc 11 97.8%

Professional Growth Opportunities

September 2023 Investment Banking

  • Lincoln International 01 99.6%
  • Lazard Freres 17 99.1%
  • Jefferies & Company 02 98.7%
  • Financial Technology Partners 06 98.2%
  • UBS AG 15 97.8%

Total Avg Compensation

September 2023 Investment Banking

  • Director/MD (6) $592
  • Vice President (33) $392
  • Associates (160) $261
  • 3rd+ Year Analyst (14) $187
  • 2nd Year Analyst (101) $169
  • 1st Year Analyst (309) $167
  • Intern/Summer Associate (48) $167
  • Intern/Summer Analyst (225) $94
16 IB Interviews Notes

“... there’s no excuse to not take advantage of the resources out there available to you. Best value for your $ are the...”

From 10 rejections to 1 dream investment banking internship

“... I believe it was the single biggest reason why I ended up with an offer...”