What is a good strategy ?

In my last post, I showed a very simple strategy. Of course it does not work in the real world. It exposes too much of your capital to risk... capital that is better used elsewhere.

So, that leads to me to the question of this post. What is a good strategy. The strategy in the last post was profitable.  Over a span of 5years, it yielded 11%. On an annualized basis, its gave 2.21 % per year. It is definitely not fantastic, but is better than your bank.

Notice that the win rate for that strategy was 40.48 %. I could think of this number as probability of being successful in my next trade.  Another way to state this is : I made a profit of 19.27% for 40.48% of my trades and I took a loss of 9.16% for 59.25% of my trades. This gives me an average profit of 2.35% / trades. An average trade was 127 bars long (~ 3 months).

The goal of a good strategy is to get the best returns with the smallest risk. So,  a desirable strategy would have :

1. A high average profit number
2. A high win rate
3. A low average barsHeld number (trade length)

Is there such a strategy out there?