Checking the statistics

Until now the results seem pretty good. The next thing we have to do is to check if the statistics is reliable or not. One way to do it is to perform a back test on a same period of time. Since the optimization time was 19/9/2007-19/9/2008, I decided to check how my strategy handled the period 19/9/2006-18/9/2007.

The results are available here.

It did half the trades (50 instead of 108), with a higher profit factor (2.02 instead of 1.64). Since there were less trades, I expect a higher profit factor. The drawdown is the same (around 16%), the portion of profitable trades is the same(72%) , and the average winning trades vs. losing trades is a little bit better (4:1 instead of 3:1), which is expected since there were less trades.

In conclusion it seems that the statistics remains through out that period, and it is a good indicator that it will carry on in the same way in the future.