I have developed a trend following strategy. How do I know whether the trading system is worth deploying ? I have certain backtested results performed on 20 years data on more than 150 stokcs but with whom do I compare? In diversified stock futures, due to bigger lot size, the minimum capital requirement increases a lot if I want to trade at about 0.5% risk/trade with a watchlist of 50 stocks. Any suggestions/ views on this.
hi if you dont mind me asking, from where did you backtest 20 years of data, that too for Futures, coz as far as i know reliable and clean data of expired contracts is not that easily available. example on trading view.com the data available is only from oct 2007
my view is that compare the returns of the Stocks against Indexs (Nifty 50, Small cap, Midcap etc) and see whether the system was able to beat the index or not post brokerage.
additionally, you can actually start testing the strategy in the live market data and see whether if its still prevalent to current market conditions and is making money. You can always deploy the strategy on paper trade or hypothetical trades to not lose out on actual money until and unless you are confident of the strategy (this is what i do mostly for all my strategies). i paper trade my systems via Streak
I find the returns as far better than nifty with a drawdown much less. Around 25% return with a drawdown of 15-20%.
I have tested the strategy for 20 years in a sample of 150 stocks.
You don’t actually need futures data for testing. You can use stock equity data and adjust rollover cost. Select a sample of 30-40 diversified stocks, test in at-least one bull, bear and range bound market.