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Aren't the equations you stated the probability of flipping 100 or 5000 coins obtaining all heads or tails? Can you explain how that relates to calculating the risk of ruin for the portfolio strategy detailed in this thread? For the portfolio made up of 100 strategies wouldn't you need to...

Thanks for the repkly. I am not an active day trader like many individuals on this board; I am an algortihmic trader. Mathematically it looks as if the offset 2+ operation moves the ma line forward two bars?

Do you mind sharing the exact exit conditions you coded? Thanks in advance.

Can you tell me what 3sma + 2 offset refers to? I have read this thread through and I have not seen a description of it. Thanks in advance.

I agree with you, but your statement has little to do with the published SI unless you take into account the total float.

I can see the logic I don't see the value. How do we measure "the short term bulls"? More importantly how do we put it into historical context ala a time series?

As a percentage of the total float the SI has been basically flat for years so I am not sure if the SI is as big a part of the current rally as one may expect.

I agree with the credit thesis. This economy/market will keep chugging until people stop borrowing or the lenders stop lending. Wait until one of the sub-prime credit companies fails. That will be the signal.

I did not compound the daily returns because of the obviously nonsensical result - growing your equity by ~ 20000x!! I assumed the trader ran at a constant equity. Glad to hear you have a proportion of disbelief regarding these returns.

Thunderdog - Did you really mean 4% - 7% daily on his account equity? Seems improbable as that will translate to > 1000% annual returns. If you have $100 in account equity and make $4 per day (4%) * ~250 trading days == $1000 per year!

where does the $370k come in?

PohPoh - Great job. I would approach your second year much like you did your first year. One or two years in this business is not enough to consider increasing your risk. You still have a lot to learn. If you return 20% on your money for the second year I might consider increasing your equity...

NoWorries - Having experienced a 4 ,5 or 6 sigma event does not imply the distribution has fat tails.

Are you using daily returns in your dataset? I once heard it mentioned if you analyze other sets of returns (2 day, monthly, etc..) the fat tails disappear. Would that make sense?

VTTrader - I understand what you are looking for and what you need. I have built a backtesting platform running on SQl Server. Send me an email to the address in my profile if you are interested.

Using IB as my platform for quotes, orders and fills I have written my own interfaces (C++) to support my AT. I use SQL Server for trade data, historical prices and backtesting. Good luck!

corso482 - For stocks you need to include about 5c of slippage per round trip. Obviously, the shorter the time duration you are analyzing the more important your slippage model becomes. Personally, if you have found some success with your swing-trading I would try to implement other...

$80k/yr here on Long Island, NY places you below middle class. It will allow you to own a house, send your kids to a public school, eat out rarely and not save for retirement. Many firemen and police in NYC and Nassau and Suffolk Counties make over $100k. Just including their published...