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12 month contract. I hit my highwater mark to get paid early this year. Since about May I've just been hanging out and spending maybe 1 day a month at work to review the automated strategies. I stepped on some toes also, so it's better for me to do my own thing. I can't believe the DAX is...

Missed the attachement.

And if you're trading like a pro (cutting losses short and letting winners run), then the same mean win and loss gets pretty lopsided. Notice how much the expected outcome and 50% profit factor change just by using discipline. If you look this up in the table for the 2.04 profit factor at the...

Now if you create a average system with the same winner mean of 150 and mean loser of 100, it will have a std. dev. of 100% of winners and losers. You can see from this post it's costing you a couple of % in consistency. Check the % profitable periods versus the table.

It's not supposed to be used to predict real trading. It's value is in helping to decide where to spend your development time. The primary limitation is that it reflects a normal distribution of trades about the mean. Every system will have a different distribution. Here's a system with a...

I developed all of my analysis software. The only canned package I still use is Tradestation for automating the strategies.

Jack, thanks for the spreadsheet. I'm no longer under contract. Anything I have worth posting, I'll post here. I'm done for the day.

It's just a Monte Carlo sim using 100,000 passes per table entry and plugging in the profit factor as a multiplier for the winning trades. Sum the winners and losers until you've reached the number of trades in the pass. Then see if the pass is a winner or loser. The percentage in the table is...

I think the low of today will be made somewhere near 3:35pm ET. That's about when I'm planning on exiting my short position if the market keeps going south...lol.

Thank you Magna for re-opening this thread. Here's a table that I've used with single systems to get an idea of profitability for a period. It uses profit factor and number of trades during a period to estimate the percentage of time the period will be profitable. For example, if I have a...

Lesions on the brain, eh? I'll have to look into that. I have no emotions, but I thought it was from years of conditioning.

I do --- DAX. Jimmy Rogers kind of market. Gold lying in the corner waiting to be picked up.

I have ADD but I didn't know that's what it was until one of my kids was diagnosed with it. To overcome it I keep a small notebook on me at all times. Any idea that pops into my head I scribble down into the book. Then when I have time I add it to a list of projects. I also use NLP...

Shsssssssssssssh...technically I'm still under contract for another week.

Skip the first hour and you miss 40% of the best trades. I think only amateur's avoid the first hour.

Sorry, but I have to cut this journal short. I've asked Magna to close it. I was offered a head trader position with a obscene compensation package over the weekend. I didn't think I'd want to work for anyone else again, but I guess we all have our price. One of the conditions is the end...

I don't really think of sample size when viewing a correlation. All I'm trying to do is see if there is something that could require further followup. I think Victor is estimating standard error and throwing out some ballpark numbers. For a better estimate: Error estimate E = z *...

I think I understand where you're coming from. If I'm right it appears your interests are in the mining of the data to find opportunities. If this is your interest you should have this book: http://www.amazon.com/exec/obidos/tg/detail/-/0691042896/103-0088184-2213474?v=glance It's the...

Yes, the risk of ruin is alive and well. I tried to show that the win % is not very important toward the goal of consistent profitability. Yes, you do need a edge to avoid risk of ruin. Otherwise as you increase the number of trades in random trading it's just a matter of time before you hit a...

Doesn't look anything like what the edge test was designed to do. I'm including a summary for those that don't want to review some of my old posts. To do the edge test you use a single method at a time. First you backtest on the data you're using to develop the method. Then, when you're...