Recent content by mhparker

Or 200% up when you're short... This has been the year of amplified moves in specific names. 10% position sizes used to feel conservative, now 5% barely does so.

I'm happy to see all those 0s in the discretion column :)

Mine also. Discrepancy between backtest and actual results for January was the largest I've ever seen. Fortunately (and uncommonly) actual was the winner.

It has a time stop but not a price stop. There is no historical precedent for a million members of an online forum pumping worthless stocks like this, not even 1999. Fortunately I was not short the worst ones due to various non-backtestable safeguards, but the model of that strategy is...

I'm not necessarily feeling smart, but am definitely grateful to the brokers for intervening against the unruly herd who have been messing with my MR short results since early December. And I hope to never again experience the kind of wild account swing that has occurred in the past two days...

You know someone had a good year when their focus moves in this direction.

Even if the true source of retail alpha is capacity constraint, a somewhat-high-frequency trader still needs a half-decent execution infrastructure to extract it. Is a carpenter's edge the nail or the hammer?

You're a wonderful writer! This could have been a chapter from Liar's Poker.

I have whole-market as-traded tick data for 2004-2016 in the form of Nanex NxCore tape files. I will sometimes use those to spot-check strategy ideas modeled with daily bars. For my purposes (portfolio-level short-term stock trading, similar to what Val is doing) daily granularity turns out to...

My answer has been "code" a bit too often...

Thanks, as always, for your kind words Val. As you will see (or, in your case, hear), one of the other guys in the book (the one with the most extreme stats) made a lot of his money trading penny stocks.

Actually the above backtest was run with a compounded position size formula. If you run it with static size, since it's a 5-year test returning ~10%, the net profit is only about $50K.

Thanks for the forum mention @ValeryN. At this time I am limiting participation to active beta-testers of the software. After release it will be limited to registered users. Please visit https://mhptrading.com/realtest, download and run the installer, accept the license, then email me at the...

AKA Real Covid Laboratory.

Of course, now that "Just Killing Shorts" is finally dropping, I'm not in a position. That said, a strategy optimized for this rare price pattern would probably not be very successful in general. I'm all about doing what works in the aggregate, not catching (or avoiding) outliers.