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Check out the Kelly ratio, that's probably what you're looking for.

I'm German resident, but not German citizen. Frankfurt is interesting as it's quite "un-European", but it all boils down to what you're looking for...let me know and I can give some advice.

Last week, U.S. stocks rose to end at record highs following solid corporate earnings and better-than-expected job gains in April. On Friday, April's headline unemployment ticked lower to 7.5% and nonfarm payrolls increased by 165,000, which boosted the Dow Jones Industrial Average and S&P 500...

Interesting, I saw that the TARP amounted to the entire historical budget of NASA - now the US is no longer able to send people into space...misallocation of resources?

Both yes and no. Southern Europe have been on a spending spree, while Norther Europe has been rather thrifty, despite the boom years before the financial crisis. Now, everyone wakes up after the binge drinking party with a hangover, wondering what happened the day before, and waiting for someone...

Scandinavian countries have social democracy, which is different than socialism, which from a strict academic standpoint never really have existed in real life.

You're right, poor Average Joe who's losing one tic in slippage on his monthly trade to the hideous HFT traders... ;)

Go figure.

Never stated that. Strange if you haven't noticed claims against HFT for being illegal/unethical though...

http://www.rollingstone.com/politics/news/everything-is-rigged-the-biggest-financial-scandal-yet-20130425 Just a counterweight to all the HFT criticism...

I used to live in China for six years while having IB as broker - they have something called "Asia Gateway" to overcome the Great Firewall of China. Worked fine, but was down one day which caused me $1,000 in loss... :(

Please post KPIs like sharpe ratio, std dev, max dd etc for proper evaluation. And post equity curve if possible.

Can't imagine many that would disagree to that!

Hi all, I currently have a working automated ES trading system that trades on a daily basis (only intraday). Would it make sense to replace the actual futures trades with futures options trades instead, and exercise the option (if favorable outcome) or offset the option (if not favorable...

You'll always have occasional drawdowns. As long as you have these also in your back tests and they recover afterwards so that you can still see a long term positive trend in your equity curve, then it's nothing to worry about. But if there seem to be a more prolonged, long-term downward trend...

Btw, there are 252 trading days per year, or?

I can't see how that equation would work out either - currently you can't trade more than one contract per USD 3,680 according to CME, personally I wouldn't trade more than one contract per USD 5,000...

I understand, but the question is, since my algo "assumes" that all orders get filled, I don't have any other option than placing market orders. Anyway, since liquidity is normally very high and I'm a "teeny weeny" trader, I don't see why my market orders wouldn't get filled and cause a...

Isn't what you mentioned above what happens by default when place a market order?!

Spread is always 1 tic with ES, so in this case they are the same.