Thread: How to tell if a system works?

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  1. #1

    Default How to tell if a system works?

    Hey guys,

    Well like a million other people here I have a system that seems to be working well so far. I have been live trading it with a small account (5K USD) the last 3 months in the es emini futures with ~60 return in April, ~60 return in May, and ~30 return in June. My question: is there any way I can quantify the chances of this system working in the future? It seems to be robust (works well) across the futures and stock markets, not as much in forex. I can not really back test much since the time frame is 1 second and I only could find 6 months of historical data max for 1 second so even if I were to back test it would only be for 3 additional months than what I have with live trading now. And besides from what I understand back testing is not the best way of predicting success going forward. I know 3 months of live trading is not much data to work with at all but is there any way to run a stats analysis with the data I do have to see if something is "really" there. I hate to increase my account (25k) without having an idea what the chances of success in the future, but then again I also do not feel like trading a small accoount for 1-2 years to verify if it is indeed a good system.

    Also the system has just one rule for entries/exits and stop losses so no curve fitting the data either...
  2. #2


    Just forward test as your doing and don't get to worked up about back testing, for such a small time frame its impractical.
  3. #3


    If you had said your results were based upon the Daily or 4H time frame, I would say the results were skewed due to the ES being in a straight trend for the last 6- 7 months. June was a lot more choppy, but this was balanced by wide daily ranges. If you're trading off one second charts the system should surely cope with most conditions.

    I would keep going with it and record as much as you can regarding market condition, session and daily ranges. If it fails you should be able to see what has changed and make the necessary adjustments.
  4. #4


    No, even Mike Bagharsloopy would struggle to make more.

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