Average trade value as optimization parameter
10.10.2020 18.05

NinjaTrader 8 Backtesting Strategies Tutorial

NinjaCoding friend

Hello, Yuri,

I wanted to ask, what do you think of setting average trade value (in $) as a main optimization parameter, instead of Profit Factor, TradeStation Index, etc.? 

For me it's seems fair, as average trade value gives a clue on what to expect of a system. What do you think? 

  • Yuri Zolotarev
    10.10.2020 20:24

    I would probably say no because imagine this is your trades profits

    5+5+10+6+1500 = 1526/5 = 305USD is your average trade but the series don't look too smooth. 

  • NinjaCoding friend
    10.10.2020 21:21

    Good point. Then 2 other options:

    1) taking median of winning trades, then median of losing trades, and subtract losing trades median from winning trades median.

    2) drop 10% best and 10% worst trades and then take average of the remaining 80%.

    What do you think?

  • Yuri Zolotarev
    18.10.2020 20:24

    I think that profit factor restricted by minimum number of trades works best for me right now.

  • NinjaCoding friend
    18.10.2020 20:50

    Thanks. Can you share me your thoughts on minimum number of trades?

    I've seen in the course, that you use minimum of 50 trades. I also noticed, that I am testing similar setups within the same time period, I used 1/3 of average trade count as a minimum number. 

  • Yuri Zolotarev
    18.10.2020 20:52

    Well it has to be above 50 trades but you want to see that over a period of time that is acceptable for you. For some people 50 trades a week is not fast enough but for others 50 trades in a year is too much.

  • Yuri Zolotarev
    18.10.2020 20:52

    I personally like to go with around > 150 per year