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Ok, I see the issue. The P&L is correct, but you are reading it wrong. When the P&L figure is shown in parentheses, it means a negative value, i.e. a loss. For example, $512 means a gain of $512 ($512) means a loss of $512 It's an accounting convention to display negative values as positive...

I don't use TOS, but my guess is that what's happening is that TOS is showing your P&L since the the previous close, and not the P&L since you took the position. For example, let's say you bought ZW at $514. The same day, it closed at $500. The next day, it opened at $504.25. Then your P&L for...

"Forward testing" is simply trading (or auto-trading) in real time, but with paper money. This is to differentiate it from "back testing", in which trading (or auto-trading) is done using historical data.

To assess the quality of a call/prediction, it helps to compare it with the opposite prediction. Consider two predictions: 1. Original one by volente: "S&P 500 has topped at 2430 or is within 22 points of doing so." 2. The opposite one: "S&P 500 has bottomed at 2430 or is within 22 points of...

With full automation, the emotional factor can be eliminated from the equation. Then, the only difference between simulated and real trading is the slippage, execution quality, and the reliability of the automation.

OP, please also define the terms "two guys", "reasonable", "risk", and "BS". :D Jokes aside, the answer is, no, it can't be done consistently. Consistency is what makes it possible to qualify your trading as success.

The spreadsheet is editable online. I had to make some additions to it, to calculate the Sharpe ratio. You may want to post your original spreadsheet, and make it read-only.

These figures look like daily P&L. The Sharpe ratio uses daily returns. Daily return is defined as: R(day) = (A(day) - A(day-1)) / A(day-1) where A(day) is the account value on a given day A(day-1) is the account value on a previous day Another thing: what's with the $1121.75 daily loss? Why...

Image is not going to do it. Post an Excel spreadsheet.

If you post the return figures for each of the 257 trades, we'll verify the Sharpe ratio. Actually, the daily returns for the last 10 months would be more convenient.

Yep, the profit per trade is razor thin, and is vulnerable to the slightest slippage and execution inefficiencies. The other thing that the OP did not disclose was the commission assumptions. With less than 1 tick profit per trade, this could easily be wiped out by round-turn commissions.

Since N / sqrt(N) = sqrt(N). the above equation simplifies to this: Sharpe(annualized) = sqrt(251) * (average_daily_return) / (stdev(daily_returns))

Best chess programs have long surpassed best human players. Top chess engines (Komodo, StockFish) have a rating of 3400. The top human player (Carlsen) has a rating of 2800. He does not stand a chance against the computer. In fact, he is known to say that he does not play against computers...

Sounds like mean reversion trading. Works for me, too. Unlike you, I do it the modern way, fully automated.

What are the "6's"? I am guessing you are referring to the CME's currency futures, such as 6E, 6B, 6J? Do you care to elaborate on your trading approach/methodology?

Good stats. Why do they end in November of 2016?

Sure. When you come back, you may want to start a new "top" thread. Clearly, this thread (and its premise) has ran its course, as S&P 500 made a new all time high at 2460 (so far).

Let's do some math. Notional value of 2 long ES contracts = 2 * 50 * 2455 = +$245,500 Notional value of 5 short NQ contracts = -(5 * 20 * 5829) = -$582,900 That's not even remotely "balanced". What it is, assuming a perfect correlation between ES and NQ, is a net short NQ position with the...

Your chart doesn't show it, but there are good 8 hours between the end of the after-hours trading, and the start of the before-hours trading the next day. A lot of things can happen in 8 hours, including economic reports, political events, and the moves in the futures markets. On your chart, it...