Recent content by palm

thanks no.heat Same question from me, Dwpeters.

MinMike what's "RTM strats" Thanks

I used 5 days time-exit. (exit at the close on the fifth days) My CON system also has 5 days exit. So i hope my new MR system will compliment the portfolio.

thanks, D08.

Thanks for your reply, D08 What's 5+ years and what's TBE?

Hi All, I am now trading continuation systems and would like to add a mean-reverting system to compliment my portfolio. I compare the returns distribution of the two systems below. (pls see attachment) The red curve is for MR while the green one is for CON systems. Both have positive...

Hi all, I’m trying to develop day trading systems for stocks (close position at the close) because I have some idle cash in my account. The problem is whatever bias I found in the markets is not big enough to beat trading cost (commission and slippage). So I would like to ask how much are...

Method Suppose i have a trading system A which has historical 100 trades data. I ran simulation 10,000 trials and look at the worst drawdown that this system A could have produced by chance alone. Let's say that System A has max simulated Drawdown (DD) at -40%. Now if I set my maximum drawdown...