Originally Posted by MegaTanker
What's the deal with these insane backtests? 1000+% annual return, but it sounds like the live results don't live up to this, if I read that correctly?


Well... That's the thing with backtests. Past doesn't repeat itself.

Green backtest is just a small step to trade effectively.
Markets aren't simple - there's a lot of stuff going on.

Trading fully automatically while basing decisions purely on TA (with no access to volume) is quite ambitious.

About 600% from those ~1200% are from May crypto crash which is a black swan and doesn't repeat monthly.
I do think it's important to include ability to surf such waves.

Out of those 600% - I would say 50% to 200% *might be* sort of actually realistic.

One issue with measuring performance is that I'm constantly tinkering with it.
However - I do believe in such approach. If you keep bashing squares into circled holes - eventually they become circles.
Backtest shows PF1.7 (on a flat bet) but I see PF0.9, maybe PF1.2

October was in slight profits. But there were like at least 10 iterations of algo updates (starting from about AR 300%).
And mostly on fixed $10 trades.
November is red so far.
Markets retesting all time highs, stuck in indecisiveness. Probably not for long.

Quote

from $5k

Monte Carlo Analysis... Median AR 83%
Win 555327679$ MI 83282622$ DD 278602844$ Capital 1614994560$
Trades 2087 Win 59.7% Avg +70.8p Bars 121
AR 62% PF 1.18 SR 2.09 UI 7% R2 0.45


Even if history did repeat - soon enough it wouldn't.
Pulling out 5% of total market cap can't go unnoticed.

But you never know unless you live trade.

Last edited by Lapsa; 11/20/21 23:31.