In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.
1) When I go back to when the ES backtest starts on my TradingView charts I have a price of about 943.50, so with today's value of 2475, I get a net profit for buy and hold of 123,750 ((2475 - 943.50) * 4 * 12.5), which the strategy outperforms about 38K (we haven't figured out how to add commissions yet to the strategy). When I go back to when the SPY backtest starts on my TradingView charts I have a price of about 44.00, so with today's value of 247.42, I get a net profit for buy and hold of 203.42 (net profit on backtest of 264.69, 0.04% drawdown).
2) This strategy is only meant for a long position and is meant to be built upon later when I release more strategies--the idea being to look at all the different strategies and see which of them create the best "portfolio" of taking the first trade signal from the group.
3) I have to look into that because on our original NinjaTrader backtest with 1 tick slippage on backadjusted ES 09-17 data, there is only a 6.2K drawdown (includes commission), so this could be something with data being between the two platforms that we will have to look into. We normally run from 2000 or 1995ish through the current day with 40-50% out of sample data--I forget exactly what this was ran on since we ran it a while ago (we also set a minimum trade number for in and out of sample data).
1) It underperforms Buy and Hold
2) It's long only and the index has obviously performed very well during the time, I'd be interested in how a short side would go.
3) That 50-60 trade drawdown period seems excessively long, was this your out of sample data? If so I believe you may have over optimized.
Thanks for sharing and good luck building this strategy!