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I am trying to reconstruct the story from this seemingly random collection of words. So far I got this: A defense contractor known as "3x already", specializing in manufacturing of floating tanks for the U.S. military, admitted today that the defective fuel pump renders the tank useless in the...

Nothing to report for the last 3 weeks: my system didn't make any trades. However, it managed to make it to the #1 spot on the FundSeeder leader-board, based on the Sortino ratio and the Gain-to-Pain ratio. That's a good accomplishment for me.

In this era of ultra-low interest rates, the "risk-free" rate Rf is so low (virtually zero) that you can drop it from the equation. There is another aspect to this. Sharpe ratio is supposed to be leverage-insensitive. But when Rf is high enough, it makes Sharpe ratio leverage-sensitive. For...

The Sharpe ratio penalizes the "fat tails", i.e. abnormally high and abnormally low returns. Under certain conditions, it may lead to what's known as a violation of the "first order stochastic dominance" rule. In laymen terms, it means that Sharpe ratio may lead to nonsensical results when...

Well, it's your money, but I don't think it's ready. Your stats show the Sharpe ratio of 0.22, which is way too low. They also indicate that the average profit per trade is just 2 ticks, as if it's a scalping system, yet you said that you use 60-minute charts. Scalping 2 ticks from the 60-minute...

Your best strategy (the ES) produces a profit of $11 per trade. Assuming the ES is the futures contract, this amounts to a profit of less than 1 tick per trade. Did you account for slippage and commissions? If not, the strategy looks unattractive (a consistent loser, in fact). If yes, it looks...

The right way to think about it is to understand how the reward/risk ratio is expressed. If it is expressed in units per time, then the multiplier should be sqrt(time). If it is expressed in units per trade, then the multiplier should be sqrt(trades). Hope this makes sense.

The significance of your back test is proportional to the square root of time covered by that back test. The overall shape of the performance evaluation equation typically looks like this: Performance score = (Reward / Risk) * sqrt(time)

I looks like your backtest is from 2007 to 2010. That's way out of date. See if you can get more recent data. Yes, but it's highly unlikely that you'd find something that works well for multiple instruments. Because Max DD is a measure of risk. What the trading system should maximize is not...

Wild day (Flynn, tax reform, and who knows what else). I ended up with the $3K gain for the day, which is very good relative to my account size.

My IB security card does not have and does not need a battery. Here is how it looks like: https://www.interactivebrokers.com/en/index.php?f=883

2614 now. It's time for a new thread.

I am in the "5% profitable" bucket, so I am better off than the proverbial 95% of the traders, but I am far from being wealthy. After back-testing literally hundreds of million of strategies, I realized that the main benefit of backtesting/optimization is to find out what does not work, rather...

There are many options available, and many decisions to make. I would say the first decision (and the one that will affect the subsequent ones) is whether you want to start with a platform, or whether you want to start from scratch. Given your limited programming experience, I would suggest you...

Thanks, ST. Yes, I am still using JBookTrader as my base code, and still using book imbalances for live trading.

My optimization software is written in Java. It took me a number of years to refactor it in various ways to squeeze all that processing speed. There is nothing particularly magic about it. Just standard software engineering practices: -- efficient use of data structures (maps, queues, sets...

$60K purchase price, nice. I looked up their manual to see the speed, here is what it says: "TSL makes use of a high speed Genetic Programming Engine and will produce Trading Systems at rates faster than 16 Million System-DataPoints/second (on fast processors such as the Intel Core i7 990x)"...

I'd be interested to know what's considered "fast" these days. I use my own optimization software, capable of processing about 500 million bars per second (on a 6-core Intel i7 processor machine).

Because the appeal is great: 1. You don't have a boss to report to, and don't need to play corporate games/politics 2. You are not tied up to the office/cubicle 9-5 3. You can live anywhere you want, not where the employment is 4. There is no career "ceiling": it's all up to you 5. You have...

The most important answer choice is missing: 4. Whatever You don't have to guess/call the tops and bottoms to trade profitably. Whether 2601 is a top, a bottom, or a middle, I would make money regardless.