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The modified sharpe ratio I posted is the monthly sharpe...not annualized.

Yes, the two subjects are mutually exclusive. I wanted to show the benefits of building systems this way and then switching to the process of finding the models to plug in to achieve the results. My style of development requires a paradigm shift away from tactical trading (buy when x...

The last post of the night. I wanted to just show how to use the model to get a boost in returns while reducing the drawdowns. I'm tired so this is going to be a little simplified. I call this the free money ratio. If you noticed on the minimum capital required to trade the 5 systems it...

Tradestation was used to do the trades and monthly numbers. I then have a program that creates the test files.

Here's the historical report for the same period with all of the weighting numbers plugged in. Risk per-trade .3% Annualized return 75.3% (slightly better than the model) % winning months 94.0% (slightly better than the model) Max DD -7.1% (slightly better than the model) Going forward...

Well here's the mmgt projected report for the 5 models. The goals: 67% average return --- beat 72.1% 87% of all months profitable -- beat 92.6% 8% Max drawdown -- beat 7.6% at 95% probability (once in 20 years) Notice how the addition of one really good model changed everything. The...

I'm sorry i had to run the mmgt test over (reduce trade size again). In general if you have a small account fixed ratio is probably better. Once it's grown you can switch to fixed % at risk. After you've done that for awhile you'll get some new ideas. I don't plan on posting about what I'm...

Yes, that is exactly how it works using fixed fractional money mmgt.

Here's the weight test for 5 models. Notice the modified sharpe ratio for model 5. Also notice how it boosts the overall sharpe ratio for the five systems dramatically. Now also notice how none of the 5 systems has a strong correlation. Even when taking into consideration the standard deviation...

I wanted to show a complete process first. As soon as I complete the material I'll show you how to get the systems to plug in here. (You won't have to develop a thing, but it might cost you some bucks to buy the systems). I knew once I started on developing a single system I'd never get to...

Anybody that's wants their stuff tested, here's the email address. noobtrader-@-hotmail.com (lol) I put in dashes to prevent autobots from putting me on autospam (I've seen others do it so I'm guessing here). Remove the dashes to send stuff to me.

Glad that worked! Ok, with 4 average models I didn't achieve the goal. So of course I've got to add a fifth model. Just to make sure it achieves the goals I'm using one of my models that I trade. It's going to change the weights dramatically, but it should be interesting. It's probably...

I don't know. Maybe the files aren't associated with notepad or wordpad. Try changing the .txt to something else and see what you get using notepad. Maybe a computer guru here will be nice enough to help.

And here is the individual trades for model131.

I realize not everyone will have the talent or desire to develop software to do these types of tests. Because I do want to help individual traders, I'm willing to have these tests run on your stuff on up to 5 models (I have a helper that's pretty bored right now). To do this I'd need the...

Once again, here's the 4 model mmgt report. I once again lowered the % risked on each trade. This time down to .5%. The projected returns stayed about the same with lower drawdowns and more months projected to be profitable. The projected return was 58.1%, with expected average drawdown to be...

Now we're up to 4 models. Here's the weighting report. I love to look at these reports when they start getting up in numbers of systems because it tells you so much about how your portfolio is being managed. Once again the test reveals the best combination of models is using all 4 models. I like...

With the 3 models the projected profits moved up past the profit target using .75% risk per-trade but the max dd was above the goal. I reran the mmgt test dropping the fixed % to risk per-trade to .6%. The result was all three of the performance goals came closer. The projected average return...

Here's the 3 model weighting report. The third model I added is the same as the first one except it is run on the NQ market instead of ES. It also is at a higher timeframe so it trades less often. I added it to show that by changing markets and timeframe but using the same methodology you can...

Here's the money management sim for the two combined models. I ran the report once and it hit the profit objective so I cut back the % risk per-trade to 3/4%. Notice the contract multiplier is the same as on the weighting report. With the addition of the second system the expected return moved...