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Futures Trading Systems SpacerAfter you have found a profitable trading system that youalready back-tested, how can you be sure that this system willproduce the same gains in future. Nobody can predict the future,your system can easily make losses in next years or can be notradable. There are some tests you must do before accepting atrading system, these tests swill show the robustness of yoursystem and when passing these tests, it will be more likely toshow gain in future.

Test 1 : Make sure that you put liquidity rule, that your entryand exit prices are realizable.

Test 2: Examine again your trading systems and your rules (Thisis very important). I made dozen of trading systems that showedgreat results but after more examination, it showed that icannot follow them in real life. Check if there is one stockthat made very big gain, the system will maybe become noprofitable without this stock.

Test 3: Change twice or 3 times the date of begin for thesimulation, if it still show good results then it has passed thetest 3.

Test 4: Change values of some parameters or variables you havein your trading system rules, you must change one value and thenback-test, change another and then back-test… If the resultsare not affected very badly then it passed the test 4.

Test 5: Try to restrict the system from buying 20% or more ofstocks you previously bought when doing the back-test. Thenre-run the back-test. To pass this test, system must show prettythe same results as before.

Test 6: Equity chart must have a good look, check some statisticvalues like sharpe ratio, sortino ratio, standard deviation,maximum drawdown, average day for gains recovery… It dependson the risk you are willing to take but choose only systems thathave : higher sharpe ratio, higher sortino ratio, lower standarddeviation, lower maximum drawdown… Exclude systems that havevery big max drawdown, standard deviation and average day forgains recovery. The must important factor i think is average dayfor gains recovery. Its the average number of day that you mustwait until your equity value will goes back to the same levelbefore the drawdown happen. Big values will let you wait forlong times before recovering gains and for sure many traderswill abandon their trading system, and that’s the worse thingthat can happen to a trader because just after that, the systemwill show excellent results. (This always happen)

Theses tests are very restrictive and you will reject maybe allyour trading systems, but when trading you will put your money,real money, so i think you must be very selective to make allchance in your side.

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