Search results

My real account is over $30k. The $5k is what I use to compute risk (and position size) - multiple positions can be open simultaneously. The other day I had $50k in four positions but the risk was just $200 since each position has a $50 stop loss and all positions are closed at the end of the...

Actually I tried doing exactly that, but it did not look so good. That is basically a "return to the mean" strategy which has very limited upside per trade. The advantage of the breakout system is the large gains on real breakouts. The 10% of funds is not a big shocker because each trade...

So the system has been trading for 3 days so far, and has generated 24 executed trades. Another 8 or so were rejected, once because of a disconnect with the server and the rest because short shares were not immediately available. 24 isn't a very large sample size, so I am not too discouraged...

Well I have been a busy bee even with the birth of my daughter over the weekend. I have been developing a new trend following system, but I have to admit I am a bit skeptical that the results seem so curve fit. The reason is that each stock can be made profitable through optimizaiton, but the...

I had a little problem I was trying to work out: Given a set of systems that is in the market X% of the time, how often will N of those systems be in the market simultaneously? What I am trying to do here is figure out how big each pile of trading money should be, or alternatively how many...

I am aware of curve fitting bias, which is why I am not optimizing the strategy to each stock. I use the same entry criteria across all stocks. As for testing a market or sector, as far as I am aware, Tradestation does not support it. I have to run the strategy for each stock individually...

Well I came to the realization that TradeStation functions don't necessarily backtest too well. In particular, the built in trailing stops don't optimize correctly. For whatever reason, they appear to lack enough intraday day to predict when the position will close due to down ticks in live...

Ah yes, funding is definitely an issue for stocks. On TradeStation the minimum is $30k for a Pattern Day Trading account, which is what I am setting up. For daily trades it is not such an issue since most trades won't qualify as day trades, but for intraday you are limited to 4 trades in 5...

Joel, I have a thread on automated trading stocks here: http://www.elitetrader.com/vb/showthread.php?threadid=77887 Is there a particular reason you favor options or futures over stocks? I understand the strategies are different, but many of the same concepts apply. For example my...

While I am arranging funding and running just a couple stocks, I re-read this famous acrary thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=33654&perpage=6&pagenumber=51 I hope to share the same sort of information, however from the beginner's perspective rather than the...

I am doing a ton of backtesting in TradeStation, and it is indeed on a per-stock basis. However, the level of detail you get for the strategy results is incredible. You can see every trade, net profits short and long (of course), the percent of time in the market, various ratios, equity curve...

EasyLanguage has a lot of really useful variables - I like that EntriesToday one. CurrentContracts (or CurrentShares) is also handy when using multiple exits. There are a couple functions you might look at too, including ExitOnClose, SetStopLoss, and SetPercentTrailing. They execute...

JJ reminds me to post my money management formula. This is pretty much right out of Van Tharp, but I'll describe my personal implementation for those who are interested. The account starts with $30k, which I divide into three $10k blocks. The $10k blocks are used as my Equity input into my...

Testing has been interesting so far. The structure of the system seems to be working, and it certainly isn't going haywire or anything like that. Slippage seems to be around 2 cents, but I'll need many more trades before I can rely on the average. I still have the small account limitation...

My buddy and I have been grinding away, and our custom breakout system looks great. In backtesting with reasonable slippage and commissions we're seeing over 100% returns uncompounded per year while being in the market less than 5% of the time and never over night, with the same inputs...

I am using either .01 or .02 per share during backtesting, but clearly that won't work for expensive stocks. My plan is to evaluate the actual slippage over a couple weeks of active trading and then use that going forward. Chabah

Well I have been grinding away for days, and the results look very good. I entered the Acme V system, and that seems to work quite well on the daily charts. I entered the Acme Market system, but I couldn't figure out how to set up my chart with all the required inputs, so I am setting that...

Yes, I have noticed that a fair number of trades don't execute because the price moves below the sell stop on the market order. I don't know if that is actually because of the uptick rule or just price movement in the stock, but it does happen. Other that that, I think it is a TradeStation...

Thanks JJ, I definitely plan to keep a trade log. The analysis you are referring to is covered pretty well in that arcary forum, and I plan to do the same sort of analysis to measure system performance. Turning off a system when you hit your maximum theoretical drawdown is a start, along with...

Yesterday I coded the Acme F system, which is a Float Channel Breakout and Pullback system. The initial tests on AAPL, COH, and GOOG look very promising, providing a very high win rate and huge profit factor. The RINA scores were over 1600, although I don't really understand that indicator :D...