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Mel

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Posts: 235

Joined: 3/18/2006

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Subject : RE: OT 2018 ATS With VBX3 And Large Cap Stocks
Posted : 12/7/2017 11:20 AM
Post #29739 - In reply to #29723
I ran a 3000 bar backtest on one of my own rtm systems, a $50000 account, no margin.

Report: Generated 19,490 trades, 51.28% hit rate, ppt .02 (combined long and short trades.)

% of Equity PortSim: lost $5200 in 3000 bars, taking 15257 trades, 50.2% hit rate, .99 profit factor.

z-score ATS sort on % of equity allocation: made a profit of $60,932,464. Took 15274 trades, 61.5 % hit rate, profit factor 2.02.

Seem to good to be true.
Attached file : portSimATS.PNG (74KB - 349 downloads)

Deleting message 29739 : RE: OT 2018 ATS With VBX3 And Large Cap Stocks


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