Search results

I am going to meet with a guy i know next week, however he does not have experience in trading.

Oke, one second, i never uploaded an excel sheet before o_O

Ok, so here are the daily returns for the last 10 months. In the top row (9,10,11 etc are the months) below are the returns every day including rt commission. Highlighted in yellow are average daily returns for the month [Image removed at OP's request]

Aha, i think i see where i messed up. I calculated the sharpe ratio based on the return of every day instead of every trade. Or does this works as well? If so i can upload these numbers. If not i have to get the exact numbers in a file.

Give me one second, i have to figure out how to attach a image.

The total return over these 10 months where 40587.25$, this is minus the commissions.

Using this calculation i get the same result, 14.79.

You are welcome :D Of course a simulation or forward test can never factor in al these scenario's 100%. During the live testing however results where extremely close to the simulation, so how things will go from here, that is anyone's guess. At least results look very promising and that is what...

I must add that it could happen that the current ask or bid is not large enough to completely fill my position but then the remaining contracts will be first in line to get filled at the new current bid/ask. If this doesn't happen the system adjusts its limit profit orders to the size that got...

A large part of the results are live tested. Partial fills are no problem since the limit orders are placed at the current market bid/ask so i get filled immediately unless the market moved past my entry price.

All entry's are based on the previous bar close. So lets say the previous up bar close was 152'10, now the current market ask is 152'11, so a limit buy order will be placed at market ask 152'11. So as long as price didn't move higher i will get filled at 152'11. If the market jumps 5 ticks in...

There is no negative slippage since i enter all positions via limit orders, entry's are limit orders on the current market bid/ask not market orders and take profits are limit orders.

So far i only looked at applying (with some small changes maybe) to ZN. Results are very similar (maybe even a little bit better). Once i get these running i am also going to research if i can apply it to ES for example.

I just noticed there is a typo in the opening post, since i am unable to edit it i will make the correction here. It say's 153 winning trades and 104 losing trades, total trades 245. Total trades of course should be 257. 245 is the number of ticks i made in ZB over these 10 months.

I am also trading manually and i have tried a combine in the past. However doing a combine with these results could take forever, since these results are based on 5 contracts. With just 2 contracts it would take quite some time to pass the combine and FTP, however it lowers the DD of course. I...

However this is calculated with a tool i found online :rolleyes: With the formula you gave me and based on the average daily return i get 14.8, which still seems to be unrealistic high, correct?

This is calculated on the average daily return.

You are correct, so a scalping system might not be the right way to call it :D I go for 5 ticks TP or SL based on the 2 tick chart, system is mostly momentum driven. Edit: corrected sharpe ratio should be 0.34

I have done some new calculations with your formula and now the result is 0.34. Is this a more realistic number?

I am confident enough to borrow the money, the reason i am sharing the results here first is so that i can do some corrections to my calculations if necessary, check some of the reactions, etc