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There's two pieces of KEY missing information: Are we guaranteed the game is not rigged? Because there's no other reason for the house to offer it that I can see. Do we have a "life bankroll" behind the $1000? I assume yes, but its size is a key parameter. If those questions are both answered...

This isn't true. Any reasonable (read: subject to integration, does not result in a negative ending bankroll in any case) distribution of trade returns allows the computation of a Kelly fraction. You solve: MAX(across f, INTEGRAL(across PMF range, (PMF*ln(EBR))) Where EBR is your ending...

I like the idea of taking a whack at one of the Asian indexes. Where can I get an economic calendar for Asian announcements?

I'm doing just fine against the bots so far... And while bar charts may appear somewhat fractal, the tape clearly is not.

I'm pondering the automation thing. Problem is, I wouldn't be very comfortable with it trading without me nearby. Computers crash, respond badly to erroneous inputs, programs can have bugs etc. Automation could certainly help make sure I don't miss trades even if I have to babysit it, which...

An interesting idea, but I'm not sure if it's feasible. The indicator driving the method is looking for some very specific things in the tape. There's a limited time period after they occur when I can predict price with decent accuracy. It's not obvious how I would extend that time period if...

I'm thinking it's pointless to answer questions already answered in the OP. Especially when the person asking is confused as to what information I'm seeking. I DO NOT WANT HELP EVALUATING THE VALUE OF THE EDGE. I know how to do that just fine, thanks. The question is how best to turn an...

The idea that the potential profits are minuscule here is almost certainly wrong. Obviously it depends on how ES reacts to the method being traded on any size, but it could easily produce over $1M per year. CL profits are probably more limited.

The reason you could have such long losing streaks is that your PF was only in the 1.3 range or so (depending on the ratio of 1st, 2nd and 3rd places). This has a PF over 2 - totally different ballgame.

There is no statistical difference between talking about a population of 53 scalping trades and 53 swing trades. It's just a sample.

Because that's what I chose to provide. The question is NOT whether the edge is real. The question is, given the nature of the edge, how best to exploit it.

I'm not sure what would be wrong with the picture. Up until this, I had nothing that justified a large commitment of capital to trading. So it's all been allocated to other things. As noted in the OP, some of that could be redirected over the next year. My salary also hasn't always been...

As mentioned in the OP, allocating more money from other sources over the next year is an option. I don't just have piles of cash sitting around under mattresses, but over time I can certainly free some up from income and other activities. My expenses are not particularly excessive (roughly...

I'm willing to accept the very small risk that in such a situation I would be bankrupted - ie. if CL slipped > 1000 ticks (basically an empty book). I'd be FAR from the only one.

Thanks again, NoDoji.

Which is all well and good, but not really relevant to discussing a scalping method that protects itself with stops held at the exchange. My understanding is that SP that day traded in ~10 tick jumps, but was liquid.

Every part of a casino except possibly the keno lounge has a much weaker edge that what's being described here. And it's trivial to buy equity in an edge like a casino has - plenty of them are publicly traded. I doubt anyone rational is suggesting levering up to do that.

Useful info on the slippage - thanks. Do you happen to remember what some of the underlying events were?

I'm inclined to agree with this point and keep the leverage to a reasonable level.

I have no idea. My point is simply that there's one outfit that might, even though they appear to be total clowns. It certainly raises the question of what else might be out there.