Recent content by DanFenner

You W/L ratio doesn't matter. All that matters is your net average % return per trade. With good money management you could lose the majority of the time and still be profitable.

I cleaned up the data a bit and put it more in portfolio/investor terms. Now the contributed capital in the example is $100k with access of up to $1mm intraday, though the full amount is accessed less than 6% of the time, and $500k or above is accessed less than 8% of the time. Please tell me...

Hmmm So you're saying I should take the overall average daily gain, subtract the daily Rf, and divide by the StDev of the daily hi/lo average? The figures are all based on the individual trade event, not a portfolio. To put it in portfolio terms would require specifics such as portfolio...

Here's the first set of backtest results. To maintain discretion I posted only values and no equations, etc, but it should be enough to provide an understanding. Please offer suggestions as to what other data I could extract, what figures I'm missing, and if you believe a system that...

In my opinion.... due to the market's natural upward tendencies and human optimism bias there is a much better chance of seeing buying support in a selloff than selling pressure in a rally. It's also much easier to scale since you won't have to deal with locating shares and there is a finite...

So the average between the best day and worst day? For each year? 4 data points? Best = +100% Worst = -80% Avg = 10%? Sorry I'm not picking this up quicker.

Great. The StDev part is confusing me. What data do I plug in for the StDev calc? Is it the daily % changes over the time period?

psytrade/ Great response... will look over it in further depth. I'm calculating the Sharpe right now. If you have a second, I'd appreciate some further clarification. Assume the following hypothetical... Return over 4 years (1000 trading days) = 600% total, with every day contributing a...

I've developed a long-only, intraday system and am in the process of backtesting the algo. Hopefully the community can provide a little guidance. x. How much time/testing is necessary to provide a solid population of data? x. I've currently tested on 100 stocks from September 2005 -...

ugh

Lack of patience on two fronts caused today's losses. Closed CIEN out early at 10.50 on 10.09 premarket long entry. I knew the fundies, knew there'd be buyers, but didn't let my winners run. Then jumped into some low-probability trades with exit points excessively wider than usual. Caused...

Was much more patient - only traded 5600 shares. Record day for me.

Still not selective enough

Everything I could have done wrong, I did.