Streak Backtest results

I have bactested a strategy Simple ORB 1 hour here is the result

Can any one please tell me whether the results are good or not.

Hi @sekhar916,

When you look at any backtest result, you need to look at the following points:

  1. What is the p/l post brokerage
  2. What is the ratio of post brokerage p/l to Max DD
  3. Win to Loss ratio

Post brokerage p/l : Max DD should generally be more than 3:1 or better. Next, you can consider the number of losses to the number of wins and look at the average loss per trade. Also, look at the losing streak. This is important and let’s understand this with an example.

Win: Loss is 10:20 and the average win is INR 5 and loss is INR 2,
losing streak is 6

Now, you deploy the strategy and you make losses. You need to consider that you might lose 6 times (losing Streak) in a row, so you will be losing 6x2 = INR 12 before you see any profit. This enables you to know what to expect from the strategy and informs you of the risk.

These metrics will help you to determine whether this fits your risk limit. Whether you are ready to lose INR 12 before earning profit.

Based on the information you have provided, the gross P/L to max DD is 5:1, which is fair. But a maxDD of 4.43% is a slightly volatile. The strategy might lose 3 times, a maximum of INR 15 in a row.

You can also refer to below mentioned link for more details on this

Thank you @Krishnendu very good explanation. I will try to modify the system.