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Well, sorry to be pesimistic but you most likely (> 99.5%) have an error in the code, it's never that easy... Check that you don't look 'forward' in your backtests, that's the first error that comes to mind when an 'unbelievable' results shows up.

If you can consistently pull off Sharpe > 4 then you can trade your own money...

How many ticks (on average) does your strategy make per trade (winners and losers included, i.e. net alpha)? If it's >> 1 tick (say, 10 ticks/trade), then you should just use limit + 1tick, I dare to say, that your strategy is not going to be profitable if it's not profitable with this modification.

This is an interesting question. Is that a momentum based strategy?:-) Just looking at your densities (which might not be stationary... but let's assume that) 5000 seconds looks like a good point to cut it off since from that point on the winners decay just as fast as losers (and losers are much...

Did any experience trader on this forum test an "exit" of a grid type? An example: you have a profitable strategy which has a 10 tick stop and 20 tick exit. Would you increase your profits by trying to collect ticks from the market by having orders continuously added in your desired direction...

You mention that you manually scalp 2 instruments (~30 trades/hour/instrument). What makes you think your strategy is profitable when traded automatically/on other instruments. Are you sure you don't use any discretion/feel when you are putting on your trades? I guess you know what you are doing...

That equity curve looks nice. Would be great to see it without compounding and a known % of capital risk per trade. For example, in my attached sheet, the equity curve shows growth of capital in % without compounding and assuming a fixed 2% risk per trade. That makes it easy to spot whether...

I have always been interested in seeing what other people can come up with when it comes to fully automated trading strategies. By that I do not mean them actually revealing their strategy logic (why would they?) but rather providing a glimpse of what risk/return/drawdown etc. their strategy can...