Which Is The Best Strategy?

Here's a good example of the deep versus wide approaches.

This is a strategy I'm working on, and I'm trying to decide which version to go live with.

My approach to backtesting is always the same - start with no filtering, then use the Strategy Cruncher to figure out which trades to remove (without curve-fitting).

All these versions correspond to the same entry signal, but in each subsequent version, I've used the cruncher to add a rule to remove the poorest trade set.

So, version 4 is a subset of version 3, which is a subset of version 2, etc.

Using only this information, which one do you think is best and why?

Version 1:

• Profit Factor: 1.87

• Win Percent: 53.8%

• Trades: 3,859

• Trades per day: 3.3

Version 2:

• Profit Factor: 3.29

• Win Percent: 55.1%

• Trades: 1,619

• Trades per day: 1.4

Version 3:

• Profit Factor: 4.65

• Win Percent: 63.2%

• Trades: 427

• Trades per day: 0.4

Version 4:

• Profit Factor: 7.59

• Win Percent: 72.6%

• Trades: 106

• Trades per day: 0.1

-Dave

P.S. Are you interested in creating your own strategies? If you've got a backtest, you owe it to yourself to try the Strategy Cruncher.

Here's what one user said recently about it:

Matt: "By using the Strategy Cruncher, I can very easily find the very best filters for any type of strategy backtest without being concerned about over-optimization. Last week, in a mean reversion strategy, in 4 iterations of the cruncher, I found filters that reduced drawdown and increased overall profit by 10x."