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I'm curious why that's a problem if he was answering my question? People show screenshots of tradestation and other platforms all the time... I've appreciated all the help on the thread. Thanks, MPO

So this is going to sound really rude and cruel but, if you've been with them for 15 years and know that they occasionally review orders for no apparent reason and for long periods of time (long relative to how fast the market moves), then there's no reason they should reimburse you and there's...

LOL - these are from published strategies on WealthLab Pro. I'm picking them because of their variable result profiles not because I'm trading them. I'm trying to get an understanding of what the actual risk of a strategy is. Thanks for running this though - this is what I got: 1 Trade...

Fidelity will send an order for review if it's to open a position that goes over the "normal" margin requirements. I've had fills for better than my ask but not often. If you trade more than 250 contracts a month - and each way counts - so 125 two-way contracts traded, then you have access...

Here's the new file. Thanks.

I don't know why I missed this earlier but I just noticed it. Those new numbers make a lot more sense to me. With my final ROR calcs that I mentioned in my previous post, I had the following required bankrolls for a 0.1% ROR: 1 Trade at a time: 11,454 Mult Trades at a time: 40,160 Max...

I personally like the idea of using ROR for risk measurement (see my thread and latest post: http://www.elitetrader.com/vb/showthread.php?s=&postid=1372197#post1372197) The problem I'm running into though is I don't have any true measure to compare to so I don't know if it's accurate or not...

I've currently come up with a way to calculate a necessary bankroll that makes sense to me, but it's not Monte Carlo based. I'm still interested in what a Monte Carlo analysis would show though if anyone wouldn't mind running one on the excursion data for me please. The thing I had to take...

The easiest solution if that's happening is to switch brokers... An order to close an open long position should never have to be reviewed.

To calculate the ROR you need the EV, standard deviation and bankroll, then you can plug them into this calculator which also lists the formula: http://www.poker-tools-online.com/riskofruin.html

Actually, if you read the last two threads you're listing, that appears to be his intention from those comments. Since imitation is a form of flattery, you are really complementing him...

Thanks for pointing out those articles - this might save me the trouble of what I'm trying to do in the other thread. This stuff is so confusing :)

I don't really know what to say to that. If I had 10k and trusted your max drawdown, I'd be broke. If I had known that the actual drawdown risk was _at least_ 16k, I would cut the trade size in half or use another strategy. That's really what I'm trying to address - what is my actual risk...

Thank you very much for running that. You'll notice though that you're drawdown max is only about 3k but the actual was 16k... I'm not sure why that is but that's not enough of a measure for me then... Vince thanks for the links. I've modified my algorithm slightly and now have a max...

Here's the data from the performance. Thanks, I'm curious to see what you get for comparison: Long + Short Starting Capital $100,000.00 Ending Capital $323,032.07 Net Profit $223,032.07 Net Profit % 223.03% Annualized Gain % 10.16% Exposure 2.73% Number of Trades $2,469.00...

I've been resisting using equity curve calculations. The reason for this is due to the various number of trades per day that can occur. It's starting to look like it might be necessary. I tried adding in the max excursions and the drawdown was something like 130k, which is double what the sim...

Thanks for doing this. It does look like I'll have to add the excursion data. The Max DD's are all less then 10k so far but the actual was about 16k. I have a measure right now that's very close, and gives a value a bit larger than max drawdowns on sims if you limit the number of trades...

I'm interested in the theoretical maxdrawdown that happens for 99.9% of situations. I.e. what the needed capital is for a ROR of less than 0.1% If you need the max excursions/profits I can repost with all the information from WealthLab...

Thanks NoWorries, I had actually downloaded that before and I copied all the trades in and the formulas all the way down. But now I have no idea what to do next. It changes all the values randomly, which I assume it's supposed to do. But then I'm lost...

Ooops, forgot the file. Here it is. The actual drawdown was -16689. I think I should probably include the max positive and negative excursions but I've never done a Monte Carlo analysis so I don't know what's needed. Thanks again.