05-22-2018, 10:35 PM
(05-22-2018, 07:48 AM)Gryphon Wrote: Lots of factors to consider here... For simple metrics, look at the % profitable trades, average positive and negative trade values, and exposure time.
A strategy that makes thousands of small trades with very small exposure times (couple of minutes) will not work in live as you are very unlikely to be able to fill the orders quickly enough. GA on RSI strategies will very often lean towards this style of trading in backtesting if you are targeting profit alone - and report multiple millions of % profit.
Thanks - useful points re. exposure time and the number of small trades - I hadn't considered those.