Recent content by pers

Do you care to explain the need for log? It's typically done to make the returns more normal for parametric statistical tests but for my purposes, I think simple returns are appropriate. Will you take a look at the calculations attached and tell me why log is needed and how the calculations are...

Thanks for the response. Where you said, "As per your max drawdown… it should be the same money wise and percent wise," are you sure about this? I mean I'm 99% sure my curves are correctly calculated but as you can see, max drawdowns are vastly different in terms of magnitude and time of...

I have a day trading strategy. In the attached photo, you can see its performance trading Nasdaq futures. The top panel is the strategy's cumulative returns in dollars, net of commissions. It has led to a profit of ~$300K over about 24 years. So, I can divide 300K by 24 years by the required...

Thank you for the recommendation. Yeah, Ameritrade has an API that my system can connect to, too. I actually used to use Ameritrade (manually though at that time) but switched to TradeStation because of their lower commissions. Seems like Ameritrade's API won't include futures trading after...

No doubt about the exceptional capital efficiency of futures. But to have a fair comparison of $ PnL, we need to factor out risk, which is mostly leverage in day-term trading. For example, in your example above, the $12660 profit is truly impressive compared to $790 but if Nasdaq dropped by just...

Yes, just the close price is used in moving averages. Nothing else. Even the component of the system that tries to keep me out of whiplash days is based on the close price. Yes, ~ $136 combined. So, what are your conclusions so far? Imagine you had 354K to trade either 1 NQ (no leverage) or ~...

Thank you. I will inquire about capital but you must be right about the settlement time. Moroever, because if I'd be trading ETFs in a Roth account, I would have the IRS contribution limit so I can not put capital in that account freely as I can put capital in my individual futures account. My...

Thank you. I read this one but it does not have a lot of deep meat to it. It basically says that since ES price is 10 times the SPY price, a one-point move in ES creates a 10-point move in the SPY equivalent position.

Thanks for the thought but that won't apply since I'm just day-trading during regular hours.

Edit: ETF trading will be cost-free but futures have a $4 round trade cost, which in an account size of 100K, that will be only ~ $2000 per year. Let's ignore that for simplicity. Do you see any other differences affecting PnL across ETF and futures?

I have an automated trend-following system that day-trades futures profitably on a 5-minute time frame with 2 round trades per day on average. Since my brokerage (TradeStation) has Roth accounts only for equities (without the extra cost of using an intermediary company), I'm wondering if I can...

Thank you very much for the helpful answer. Can you just elaborate on where you said I'll probably run into issues with IB's intraday margins? From their website, I see intraday is about 60% of overnight. If I am OK with this, is there any other drawbacks to consider?

Yes, I do. This is a profitable strategy I used to implement manually.