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I’m glad it’s so easy to pull this as RealTest lets me edit list of columns as a text file where each line is "name: formula” + it allows me to run a test breaking it down by a selected time period, so stats can be analyzed in more details. Here is backtest’s RR for this strategy since 2005...

Look at mean reversion on a few days intervals. My bread and butter strategies are MR both long and short. I don't disclose exact rules I use but posted quite a bit about the method in my journal. https://www.elitetrader.com/et/threads/fully-automated-stocks-trading.346201/ Val

Just to be clear - this is live equity for this system. This is not hypothetical return. My logic is - nothing that makes 38% return in 6 months with 4% Max DD is sustainable. Just my personal common sense. That's like 9.5 return to risk ratio... Maybe Renaissance has that kind of RR, but I'm...

Haven't looked at PnL this week yet (try to do it on weekend only to reduce distractions). Meanwhile something I noticed last week - MR Long system PnL started looking like like one of those snake oil salesmen' systems for sale :) This is not sustainable. Val

What would be smart - to set expectation for everyone that initial margin requirements will be raised once volatility actually spikes certain % and relax as it goes gown certain %. That would warn people and makes perfect sense to do to prevent excessive gambling when things move unusually fast...

It doesn't mean anything in regards to his % loss or risk. Value of $ for a person is relative to their net worth. Especially for a trader. Same goes for money made. It is way more impressive if a guy makes 300$ keeping his risk <1% of account value, then someone who posts about making 300k...

$ PnL is meaningless. This number only matters when it is a significant % of his account or even net worth. There was a post recently about a Japanese guy loosing 41 mil$ day trading. Everyone was like - what an idiot etc. The guy is actually smarter than all of us combined, his net worth is...

I think Sam mentioned in another post that he is trading a non-margin account for tax reasons (perhaps it is Canadian TFSA or RRSP). Then it could be the case there. Would be great is someone could confirm. Val

No way! :) Maybe we should start a thread with challenges like that. Val

Yes, RT supports it. That's where it shines. It has 2 built in easy to use ranking mechanisms - SetupScore/EntryScore. First controls how many setups from the previous day you will allow, second - up to how many entries you gonna take intraday. In general, it is better to use first one only...

What you think is a tape might not be a tape. Many brokers try to stay away from providing true tape data, they might call it real time but it's only real time looking, for humans. On practice it is either consolidated few times a second or coming from only one exchange, lets say BATS. While I...

Today post is somewhat outside of trading. I am big believer in sport. It helps to develop mental discipline and focus, builds up perseverance, self esteem, as well as will power. Basically a great foundation for everything else in life. To multiply the effects I personally pick something...

Right, majority of my systems are mean reversion with relatively high trade count. 1048 entries YTD, across all systems. Re "multiple positions using daily bars" - it depends on what you mean. I use to use intraday data for backtesting in a past, but switched to EOD for 99% of my backtesting...

Thank you Sam, those are very thoughtful questions. When it comes to AmiBroker vs RealTest - AB is super flexible, too flexible. Short answer is - In RT my strategies code is way shorter / simpler / easier to read => has less bugs For the type of ideas I typically test it much faster for me to...

Perhaps. Other ET members messaged me about their suspicions too. I personally don't know him and his backstory does seem a bit ridiculous, but I did like his book :) And it does outline similar approach I use for trading. The completeness of the rules for the strategies he gives is pretty...

Sounds like the right path to take. Over the years I created pretty sophisticated execution software for myself that is designed to run on a remote server autonomously. It supports your scenario. But I am too busy to pursue commercialization of it. For now it just runs all my personal...

If you have a margin account - IB will NOT reject your 40 orders. You can have them hanging there till enough of them get filled and eventually you can't meet initial margin requirements. For that you don't have to actually USE the margin = borrow money, just have that type of account if enough...

Really excited about latest book by Jack Schwager. "Unknown Market Wizards: The best traders you've never heard of". Expected to be out by Nov 3. A preview of some pages is already available here. Besides the obvious reasons - it will be featuring my friend and a mentor, Marsten Parker. He is...

Update on penny stocks: As I was looking how my experimental penny stock system was doing, it reminded me of this quote - "Trading is not about being a baller and crushing the market so you can go sip a drink in the swimming pool. Trading is a grind of applying that thin edge over and over with...

Very good points. I heard of similar ratios from a psychologist. Val