TradeStation Backtesting

I have passion on writing programs. I'm not that good, but still have a full-time job as a software engineer. My ideal retirement would be to let my system trade for me while I play with my kids. You probably know pros and cons about system trading, so let's just get to the meat part. I've been working on a simple break out system on grains. I tried this in all grains, but my setup seems to work the best in wheat.

I used TradeStation (TS) for back-testing. You simply attach a code you wrote in EasyLanguage onto your chart, and the TS will automatically generate a performance report as follows.

The back-testing was done for the period between Aug 07 to Jan 08 or last 3 months. The total net profit for this system is about $11K. The report includes a lot of information such as gross profit/loss, winning/losing trades, largest wins/losses...etc. As you probably noticed, I only won about 52% time, but made about $3K per month. Not bad trading one contract at a time and one trade max per day.

The above two show some more additional information about back-testing. It looks like my setup worked better in recent 100 trades compared to the first 200 trades.

I think TS' back-testing tool in really good. I used eSignal's one, but was not impressed. One feature I found really useful is its 'optimizer'. For my setup I have stops and targets, but how do I know which is the best? The optimizer checks every possible combinations that you define (e.g. $50 interval as a target between $50 and $1000). I ended up using the stop of $425 and the target of $975 were used.

$975 is almost 20 pts, which is 2/3 of limit move in Wheat. While this is very extreme, since my back-testing says it has the highest %, I will use it. My plan is to run the back-testing every once in a while to adjust stops and targets to meet current market volatility. I hope this is helpful for whom are interested in system trading.