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I am working on a ES daytrading system. I am review the system performance
report show that over a 3 year period, the Longs dramatically out perform
the Shorts I am baffled by these results because the rules for entries and
exits for the longs and short are the similar (albeit opposite). The market
has risen and fell, gone through various levels of volatility and the
results for the longs consistently beat the shorts.
Longs
Profit factor 1.78
Avg winner 86.1
Win % 47.01
Shorts
Profit factor .92
Avg winner -9.92
Win % 36.08
I am using TS 7.2 and am testing on the @ES continuous contract. The system
will not trade before 10:15 et and exits at the end of day.
Is this making a lot out of a little? Are there some trading systems that
only succeed on the long side?
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