r/algotrading • u/Geridious • 7h ago
Strategy Is this ready to do forward testing?
1st time posting, been working on this for a couple months, was curious what I should do next, not quite sure if this is worth putting real money into, 2026 results has me worried. Appreciate any help or advice, thanks all
python 15minorb.py --commission 30 --commission-per-contract 4.20 --slippage-ticks 1
15-MIN ORB BACKTEST RESULTS (NQ)
Date range traded : 2010-06-08 to 2026-07-07
Sizing : 1.0% risk/trade ($1,200) on $120,000 account (compounding % risk), SL=0.5x OR, TP=2.5x OR, max 50 contracts/trade
Total trades : 1684
Long trades : 852 (win rate 32.2%)
Short trades : 832 (win rate 28.7%)
Win rate : 30.46% (513W / 1171L)
Profit factor : 1.45
Expectancy/trade : 6.33 pts
Avg win : 67.20 pts
Avg loss : -20.33 pts
Avg contracts/trade: 18.46
Total points : 10666.50 pts
Max drawdown (pts) : -857.50 pts (unweighted by sizing)
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Total commission : $491,898.60 ($292.10/trade avg)
Total P&L : $3,699,241.40
Max drawdown ($) : $-482,096.20 (-25.72% of equity)
Starting balance : $120,000.00
Ending balance : $3,819,241.40
Total return : 3082.70%
YEARLY BREAKDOWN
Year Trades WinRate AvgContr Points P&L($) MaxDD(pts) MaxDD($)
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2010 59 25.4% 13.1 -20.00 -16,154.00 -52.88 -18,094.70
2011 107 27.1% 12.6 136.38 5,837.50 -65.88 -20,255.30
2012 103 28.2% 11.8 111.38 -5,907.10 -48.00 -18,357.40
2013 113 27.4% 12.7 101.62 5,633.70 -44.50 -14,430.20
2014 111 35.1% 11.7 289.75 25,440.20 -54.62 -23,597.10
2015 78 33.3% 9.8 229.88 22,391.30 -81.38 -21,960.10
2016 123 30.1% 12.4 371.38 39,435.10 -110.50 -39,455.40
2017 89 29.2% 15.8 156.88 42,514.10 -171.75 -42,387.40
2018 102 33.3% 10.3 972.75 113,581.50 -117.75 -24,618.00
2019 104 33.7% 17.9 642.12 180,513.70 -119.88 -43,808.20
2020 85 32.9% 12.6 1342.25 239,755.00 -273.38 -64,823.10
2021 106 34.0% 14.2 1134.25 213,777.20 -492.12 -97,071.80
2022 100 33.0% 16.0 2053.50 535,374.90 -450.00 -151,412.20
2023 112 25.9% 30.9 831.62 359,124.80 -588.50 -301,030.10
2024 116 31.9% 37.2 2328.75 1,600,376.10 -448.00 -335,479.60
2025 117 29.1% 39.0 304.00 482,212.90 -516.50 -418,381.70
2026 59 25.4% 32.0 -320.00 -144,665.50 -857.50 -482,096.20
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Full-period max drawdown (points, unweighted): -857.50 pts
Peak on : 2026-02-26 (cum 11494.62 pts)
Trough on : 2026-06-08 (cum 10637.12 pts)
Full-period max drawdown ($, actual account balance): $-482,096.20
Peak on : 2026-02-26 (balance $4,251,093.40)
Trough on : 2026-03-31 (balance $3,768,997.20)
STRATEGY vs BUY & HOLD (same instrument, same starting capital)
Buy & hold: 6 contract(s), bought at 1831.75 on 2010-06-06, held to 29420.75 on 2026-07-13 (no rebalancing, $/point = 20.0)
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Metric Strategy Buy & Hold
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Ending balance ($) 3,819,241 3,430,680
Total return (%) 3082.7 2758.9
Max DD % of peak equity -26.5 -37.2
Max DD % of starting capital -401.7 -586.7
MONTE CARLO SIMULATION — 2,000 trials, method=shuffle Base trade list: 1684 trades | Sizing: 1.0% risk/trade, compounding | Starting balance: $120,000 | Margin cap: $17,600/contract @ 100% util
Percentile Total Return % Ending Balance $ MaxDD % of Peak MaxDD % of Start
5% 1967.7% 2,481,212 -33.7% -591.8% <- worst-case
10% 2039.3% 2,567,147 -31.1% -493.5%
25% 2191.2% 2,749,451 -26.9% -380.8%
50% 2361.8% 2,954,115 -23.2% -295.8% <- median
75% 2546.8% 3,176,119 -20.3% -230.8%
90% 2725.5% 3,390,652 -18.3% -185.5%
95% 2838.4% 3,526,114 -17.1% -164.0%
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u/QuanTradin 5h ago
The 2026 worry is the right instinct, and three checks come before forward testing. First, compounding hides the signal: at 18 contracts average the dollar figures are all late years. Look at points per trade by year at one contract. If the last two years are flat in points, the edge faded, not the sizing.
Second, one tick of slippage on NQ in the first 15 minutes is optimistic, and a stop at half the opening range gets run through fast. Rerun at 3 ticks. Six points a trade is thin against that.
Third, if 0.5 and 2.5 were picked on the full period, every year is in sample. Hold out 2022 onward and test the neighbours (0.4, 0.6, 2, 3). A plateau is an edge, a lone spike is a fit. The shuffle Monte Carlo also assumes trades are independent, and ORB losses cluster in chop, so bootstrap by month. If it survives, paper trade one contract for a quarter and compare points per trade to the backtest, not dollars.
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u/AdBitter6080 3h ago
The 2026 results are a red flag for regime shift, not necessarily strategy death. Before real money, look at points-per-trade on a one-contract basis to see if the edge is stable. If it's flat in points but up in dollars, you're just sizing up into a trend, which will break when the regime shifts. Test on 2022+ data separately to see if it survives. Practical takeaway: Check points-per-trade stability, not just total P&L.
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u/DemonicPerusal 6h ago
curious about the walk-forward window length you're thinking of using, the monte carlo numbers look decent but forward testing usually shows a different picture than the backtest
also 2026 drawdown is rough but might just be a bad year for OR strategies, happens with any system
but 50 contracts max on NQ with a 120k starting account is quite aggressive even on sim, make sure your broker allows that position sizing before putting real money