Hello and thanks for accepting me onto this forum. This is my first post. I've been paper trading and creating spreadsheets for a while now based on the daily open/high/low/close prices of stocks and came up with what I thought was an amazing strategy based on recent daily movement. I signed up for Trade Station and had a software guy develop an automated program for this strategy. The strategy generates what I thought were excellent strategy performance reports until I started learning more and took other things into consideration. If any of you are familiar with Trade Station's "strategy performance report", I would greatly appreciate any input/advice you have regarding the following issues. Thanks in advance:
1. There is normally a significant difference between the “Total Net Profit” and the “Adjusted Total Net Profit”. By clicking on “Adjusted Total Net Profit”, it states that this is a “worst case scenario during the specified period”. Do you know if this “worst case scenario” is based on the estimated amount of slippage? If not, where are they getting this figure from? I see that they are using square roots, but I am naïve on this and want to know how using the square root of certain numbers figures in for the “worst case scenario”. If slippage is not figured into this "worst case scenario", then what is affecting it so much?
2. Do you think that the “Adjusted Total Net Profit” is really a worst case scenario, or is it normally even worse than this? I have worked a lot and made adjustments so that I am able to see a pretty nice “Adjusted Total Net Profit” figure for a lot of my back-testing situations, but I want to see if, in someone else’s experience, this “Adjusted Total Net Profit” was really as bad as it gets or if it's worse.
3. In your experience, have you seen actual trading results that are ever better than the “Adjusted Total Net Profit” on a consistent basis? I am wondering whether this “worst case scenario” is only an occasional floor for trading and if normal results wind up somewhere between the “Adjusted Total Net Profit” and the “Total Net Profit”.
4. I notice that there is almost always a difference between the “Adjusted Total Net Profit” for all trades and the sum of the “Adjusted Total Net Profit” for the combined long and short trades. Do you have any idea why this happens and what it might mean? The “Adjusted Total Net Profit” for all trades seems to always be significantly better than the combined “Adjusted Net Total Profit” for the sum of the long and short trades.
5. I also noticed that the “Adjusted Total Net Profit” for a long period (e.g. one year) is normally significantly better than if I take the sum of the “Adjusted Total Net Profit” figures for individual months for that same one-year period. Do you know why this is the case? I always make sure that I am using a number of bars that covers the entire period, but I get different results for the entire period vs. the sum of the individual months. Is one of these more accurate than the other and if so, why?
1. There is normally a significant difference between the “Total Net Profit” and the “Adjusted Total Net Profit”. By clicking on “Adjusted Total Net Profit”, it states that this is a “worst case scenario during the specified period”. Do you know if this “worst case scenario” is based on the estimated amount of slippage? If not, where are they getting this figure from? I see that they are using square roots, but I am naïve on this and want to know how using the square root of certain numbers figures in for the “worst case scenario”. If slippage is not figured into this "worst case scenario", then what is affecting it so much?
2. Do you think that the “Adjusted Total Net Profit” is really a worst case scenario, or is it normally even worse than this? I have worked a lot and made adjustments so that I am able to see a pretty nice “Adjusted Total Net Profit” figure for a lot of my back-testing situations, but I want to see if, in someone else’s experience, this “Adjusted Total Net Profit” was really as bad as it gets or if it's worse.
3. In your experience, have you seen actual trading results that are ever better than the “Adjusted Total Net Profit” on a consistent basis? I am wondering whether this “worst case scenario” is only an occasional floor for trading and if normal results wind up somewhere between the “Adjusted Total Net Profit” and the “Total Net Profit”.
4. I notice that there is almost always a difference between the “Adjusted Total Net Profit” for all trades and the sum of the “Adjusted Total Net Profit” for the combined long and short trades. Do you have any idea why this happens and what it might mean? The “Adjusted Total Net Profit” for all trades seems to always be significantly better than the combined “Adjusted Net Total Profit” for the sum of the long and short trades.
5. I also noticed that the “Adjusted Total Net Profit” for a long period (e.g. one year) is normally significantly better than if I take the sum of the “Adjusted Total Net Profit” figures for individual months for that same one-year period. Do you know why this is the case? I always make sure that I am using a number of bars that covers the entire period, but I get different results for the entire period vs. the sum of the individual months. Is one of these more accurate than the other and if so, why?
questions re: Trade Station strategy performance report
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