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This is precisely the {win, lose} paradox that has baffled many before you, and which is explained in the thread you apparently have chosen to ignore. As a qualified actuary, I believe I have sufficient practical experience in this particular area, gained in no small part from a willingness to...

While others may have their doubts, I'm sure you'd be the first to agree that SOMP is not random entry trading, so I haven't the practical experience to answer your question. My point, however, is this - just as I would take issue with someone claiming there is an inherent advantage to be...

I thought you'd be fast asleep by now :p

The point, in plain English, was made in my first post in this thread, and is identical to the output of the above program : In a random system (probability of winning trade = 50%) using a % of equity for your risk sizing method, the expected return (ignoring slippage and commissions) is zero...

I'm sure I would, but alas the book, written in 1958, is out of print. Not to worry, I have all I need in the following few lines of elementary Pascal code. You'd learn a lot more by analyzing its output. Program Trading(input,output); { Expectancy of trading system risking a fixed...

I don't see how this is related to our little bone of contention that I summarized in my first post in this thread. Ditto to your first reply. A simple quote from Magee, which would have finally put this matter to rest, has been conspicuous by its absence.

The sum total of which is zero. Or do you disagree with that also? Why do you conveniently ignore the trader who starts off winning? I stand by my statement and have done the simulations to verify it. You (and Magee if he did say it) are wrong.

If you're saying what I think you're saying, then I have to respectfully disagree. In a random system (probability of winning trade = 50%) using a % of equity for your risk sizing method, the expected return (ignoring slippage and commissions) is zero, and not some negative number as you seem to...

If you don't have the trade by trade P&L but equity (account balance), you can also use this method : Assume equity is in A1:An. In column B, let B1 equal +A1. Then in B2 enter =IF(A2>=B1,A2,B1) and copy this down to Bn. In column C, let C1 equal +A1-B1 and copy this down to Cn. The maximum...

The following is a link to a search for "Douglas" on this site, where you will find ample reviews and opinions. As an additional bonus, a small number of references are to Michael Douglas, the actor, and others of the Douglas clan...

Zz Top "Pin Cushion" - beautiful guitar...

I have nothing to add except another Re: in the subject line. This surely must be a record for ET. Edit : I see the maximum is 25 :( Still a record, I'm sure :)

I cannot help but recall the old joke : After dating for 6 months, a guy tells his girl, "Man, I'd really love a blow job." She refuses saying, "You wouldn't respect me if I did that." They eventually marry and, on their wedding night, the man asks again. "No," she says. "You wouldn't...

I didn't spend too much time looking through the CME file and stopped at the first example I could find - I'm sure I could find "better" examples with 400 and more contracts traded. Your point, however, is taken - thanks for responding.

:confused: Nowhere do I speak of profit target, time frame or risk. I bring the CME data merely to illustrate my point, and that is the treatment of limit orders in back-testing. Assume I've been in the trade for 27 minutes, short at 1040.25 with a 2 point target (limit order to buy at...

Failure to renew poetic license.

In between trading, long sessions at the poker tables and mandatory community service, I still manage to find time to backtest ideas I concoct during these aforementioned activities. Rigid application of the principles I have gleaned from Kaufman and Malkiel, together with a seeming lack of...

In order to preserve tabular alignment, it is best to use [ code ] and [ /code ] (without the spaces) before and after the table. This is explained here : http://www.elitetrader.com/vb/misc.php?s=&action=bbcode And now for something completely different : Long +...

Quality of journal to date: Good luck!

http://www.cme.com/abt/news/03-147Nasdaq5065.html