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fullauto - everyone has their own parameters on what makes them happy and how they want to trade. ET is full of haters and based on your responses you are quite defensive - don't look at this post as a hate post but it seems sometimes (with the fancy language of "investment phase") you're...

Do you think this is worth the time though? I'm not sure I'm looking at this correctly but you've about 7 month of trading history, a net gain of 130k, a max draw down of probably 600-700k (not sure I'm reading your graph correctly, just guessing the P&L drawdown there). On top of that you have...

@Shay, great work backtesting and sharing the results (and the follow ups). Do you have a way of calculating the initial margin requirements (reg t or portfolio margin) on the day of trade entry? That would be a good data point as well, especially when you want to calculate the $$$ return. Or is...

check out the self driving remote control car https://www.raspberrypi.org/blog/self-driving-car/ All the code is on github, looks like an "easy" project to replicate and get started with.

I often get asked "if you had to narrow it down to one metric, which one would it be?" Would that even be doable? I guess for me I would need at least 3 to do anything MDD% %Profit Trades Avg Profit per Trade

Good luck !!!!

I hope you are correct and this is a real setup and not a coding/slippeage error - I personally have never found a setup with a 1:2 target/stop that produces above 90% winners, that alone is spectacular. Since your stop is very tight I'd do the following If your backtest produces similar results...

I think what he means is he lost 4$ per contract. He probably received around a buck credit initially (which he subtracted from the exposure) and he probably multiplied the 4$ loss with the contract size (100 shares / contract). Who knows based on the initial question though? Seems like a trade...

Here's my personal opinion. The numbers are too good to be true. You've a good large sample size, based on that I would not think that the system is heavily curve fitted/optimized but I do think you've some issue in your coding logic. There's not that much edge in an automated strategy. - Again...

Are you sure, cause I thought this is a Finra rule http://www.finra.org/investors/day-trading-margin-requirements-know-rules

It is because of contango and because it is more leveraged in theory. You are correct, just because nat gas futures go back up to 4 doesn't mean UGAZ goes to 46. Don't overthink this, if you're bullish go for it.

It won't go to 0 unless nat gas will go to 0 (very unlikely). Having said that, it's not slam dunk trade either, nat gas could stay low for quite some time and if nat gas stays where it is today there's still a drag on UGAZ (here's a basic explanation as to why...

You may have missed the beginning of this thread. This is already backtested on ~ 49.000 trades on historical data. It only works on a subset of pairs though, hence only those are what is being used for live trading.

dom, thanks a lot for your insight, highly appreciated. I may keep this thread updated weekly with live results until my system falls below the 2 std devs ;)

dom, would I average the median/std dev then across the Monte Carlo simulations? Otherwise the variance would be way too wide to be meaningful since there aren't that many live trades yet but there are over 49.000 backtested ones. As I mentioned in the previous post, the median is 47.8, the...

As it was for AIG before it hit the fan. Look I'm not saying you can't get lucky (and luck can last a career) but I've seen newbies enter the market a month before a crash just like I've seen some guys get out of it in April of 2010 avoiding the flash crash which may have changed their career...

Here's the challenge with insurance companies. They make money but they take huge risks. Your crash example is like a mini earthquake or disaster for insurance companies. The ones that survive are the ones with deep pockets (and no leverage) or re-insurance (defined risk -> lower return)...

This is the heart breaker phase of system development, you turn it on, the initial live trades (4 so far) look much better than the backtest, you wonder if you were too conservative on slippage or commission and you think you've found gold (right now my average profit / trade is double what my...

I don't know are they ;) aren't they all driven by fear/greed/supply/demand at the end of the day? I don't know that's the bottom line. I've other systems (not as smooth of an equity curve) that work on a much broader set, that's why I'm concerned.

care to elaborate as to why?