Performance/Hypothetical research results
The numbers, weak spots included
Every figure here comes from a research backtest with costs deducted. None of it is a live trading record. The statements under each table apply to every number in it.
| Research results | JRH Breakout | JRH Trend | JRH Select | JRH Momentum | JRH Overnight |
|---|---|---|---|---|---|
| Test | |||||
| Market and period | MNQ, May 2019 to Oct 2026 | MNQ, May 2019 to Oct 2026 | MNQ, Dec 2023 to Oct 2026 | MNQ, May 2019 to Oct 2026 | MNQ, May 2019 to Oct 2026 |
| Size | 1 MNQ contract | 1 MNQ base, 2 on the larger trades | 1 MNQ base, 2 on some trades | 1 MNQ contract | 1 MNQ contract |
| Costs deducted | 1 point ($2) a round trip | 1 point ($2) a contract a round trip | 0.5 point ($1) a contract a round trip | 1.12 points ($2.24) a round trip | 1 point ($2) a round trip |
| Results | |||||
| Trades | 402 | 534 | 132 | 408 | 307 |
| Trades a week | 1.04 | 1.38 | 0.96 | 1.06 | 0.80 |
| Profit factor | 1.87 | 1.95 | 4.10 | 1.64 | 3.03 |
| First half / second half | 1.96 / 1.84 | 1.83 / 2.01 | 3.33 / 5.09 | 1.44 / 1.74 | 2.52 / 3.58 |
| Net | $17,697 | $48,998 | $11,470 | $11,839 | $10,715 |
| Average trade | $44.02 | $91.76 | $86.89 | $29.02 | $34.90 |
| Winning trades | 59.5% | 55.6% | 48.5% | 45.8% | 23.1% |
| Risk | |||||
| Largest drawdown, closed trades | $1,567 | $2,153 | $356 | $1,582 | $1,060 |
| Largest drawdown, open trades marked | $1,622 | $2,969 | $455 | $1,802 | $1,170 |
| Worst day, open trades marked | −$523 | −$2,409 | −$252 | −$446 | −$896 |
Money is at one MNQ contract ($2 a point), or a base of one MNQ where a strategy uses twice the base size on some trades. Each strategy's page has its results by half, its NQ cross-check where there is one, and its weak spots.
Hypothetical performanceCFTC Rule 4.41 · NFA Rule 2-29
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
Reading the table
What each line means
- Profit factor
- Gross profit divided by gross loss, after costs. Above 1.0 made money, below 1.0 lost it.
- First half / second half
- The same figure for each half of the test period. Similar halves suggest a steadier result than one strong half.
- Largest drawdown, closed trades
- The biggest fall from a high in the running total, counting only finished trades.
- Largest drawdown, open trades marked
- The same, with open trades valued at their worst point along the way. Trailing loss limits work like this, so it's the one to compare with your account.
- Worst day
- The biggest one-day loss, with open trades marked the same way.
Forward record
Every month from launch, posted here
From launch, every month of each strategy's default settings running in real time will be listed here, losing months included, with the account type (Sim or live) and the costs used. Monthly totals only.
| Month | Strategy | Account | Trades | Net |
|---|---|---|---|---|
| No forward months yet. The first will be posted after launch. | ||||
What every test has in common
- Historical CME data for NQ and MNQ, in Eastern time, over the periods in the table.
- Costs deducted on every trade, meant to cover commission and slippage. Your costs may be higher.
- One contract on every trade, or a base of one where a strategy uses twice the base size on some trades. No compounding.
- Code checks: each strategy's NinjaTrader file was run against its research model, trade for trade. Results in NinjaTrader's Strategy Analyzer, and in live trading, can differ because of data and fill differences.