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Hey everyone. I’m looking for honest feedback, especially from anyone who has traded with an automated strategy or bot in the real world.
I’m considering using a bot for my own trading because I’m too emotional and I don’t trust myself to consistently do the right thing in the moment. Cutting losers, not revenge trading, not FOMO. Automation feels like it could remove me from the equation.
I’ve been backtesting this for a while now, and I’m not just looking at one cherry picked run. I’ve tested other models and variations and I’ve also tested across multiple instruments. What I want to share here is what I’m consistently seeing on MES and MNQ, and I’ve also run it on a few cryptos as well.
Quick clarification because I know this matters a lot. These results are not assuming perfect fills. I am including commissions and I’m also applying 2 ticks of slippage per trade in the backtest. I’m trying to keep this as realistic as possible, so if you think it still falls apart live, I genuinely want to know why.
I also don’t necessarily mind the amount of trades or even the commission costs if the edge is real. What I care about is whether this can be run as a true set it and forget it system with guardrails. I’m fine with it being more of a grind as long as it is consistent and I can keep risk contained when conditions get weird.
Here are the headline results (1 year, NinjaTrader Strategy Analyzer):
Total net profit: about $79k
Trades: about 25,700
Win rate: about 35.7%
Avg trade: about $3
Profit factor: about 1.35
Max drawdown: about $1.2k
Avg trade duration: about 15 minutes
Equity curve is pretty steady overall, with a noticeable jump during one stretch, then continues grinding up
My main questions:
From your real world experience, does this look like a legit edge? Or does PF around 1.35 with this many trades still scream that it will die from live execution conditions?
What are the most common reasons a strategy like this fails in real money? Regime change, execution, latency, over optimization, something else?
If you were evaluating this for live trading, what would you want to see next before trusting it? Walk forward, out of sample, different instruments, Monte Carlo, market replay, tick data, something else?
What guardrails would you put in place if this were running live? Daily max loss, max consecutive losers pause, volatility filter, news filter, time of day filter, or anything else you’ve learned the hard way?
About overfitting:
I don’t think I’m overfitting. I’m not doing endless parameter optimization. The most I did was filter out a little noise and tighten logic a bit. But I’m humble enough to admit I could be missing something, and I’d rather get roasted here than fund a strategy that only works in theory.
About me:
I’m somewhat new in the sense that I’ve used very little real money, probably under $1,000 total over the last 5 years. But I’ve been reading a lot, paper trading, and I’m getting serious about doing this the right way. That’s why I’m exploring automation.
I attached screenshots of the Strategy Analyzer summary and equity curve. Would love any feedback, positive or critical. If you’ve run bots live, I’d especially like to hear what you learned the hard way.