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What are some ways people have successfully done this? For the sake of discussion, let's assume that my strategy has IP worth protecting and isn't just trading randomness.

I see your point about statistical significance and the number of trades, but I do think that Van Tharp's idea of cutting it off at some point makes sense. I personally do track this metric for my own trading, but just multiply ratio of average to std dev by 10 to get a number. As long as it's...

Isn't PI too influenced by the number of trades? A system with 1000 trades will almost always have a higher PI than one with 100, even if it really isn't better.

I have been a customer since mid-2008 and I haven't had any problems, but I only trade a few times a day. I haven't seen any place with lower prices and my executions are typically good.

What part of "I am not a day trader" don't you understand? I will say it again. I am not a day trader. My point was, and is, that you are making claims that aren't supported by data. I don't have to post any trades in order to make that claim, I simply posted a link to a paper which undercuts...

OK, I don't even know how someone would go about churning someone else's account. Wouldn't you have to log in as that person and make trades without them knowing? I was talking about people who willingly make over 750 trades per day, with who knows who is on the other side of that trade. It...

Yes, the odds are against the daytrader. The only reason I jumped in to this thread was to post a paper that showed the odds aren't quite so negative as was being said. Personally, I would advise anyone to avoid daytrading, too, for the most part, or, to create a strategy which can be...

Well, I guess if there is a thread called "Daytrading is a pipedream" that must mean it's true. Seriously? I provide a link to an academic study showing that over half of the traders studied during a window in time were profitable and you link a thread you started calling daytrading a...

How are people making 750 trades/day profiting from others trading? You're so caught up in your conspiracy theories you're not making any sense. Are there people who shouldn't trade frequently? Yeah. Do brokers like to see those people trade anyway? Yeah. But, you know who else likes it...

Not really, because price MUST behave in a certain way, within certain limits, in order for the trade entry hypothesis to remain valid within the constraints of the pattern. Even if the entry itself was based on a subjective interpretation of a chart, that subjective interpretation becomes the...

If I hadn't noticed something on a chart to help me formulate the hypothesis around which I built my system, I probably wouldn't have come up with the idea to test. But, since that point, I don't use charts. Does that mean I've graduated from the amateur ranks to the professional?

I agree with you to a certain extent, but there is at least one way to mitigate the subjectivity of pattern recognition and the efficacy of that mitigation can be tested to derive probabilities for success. I know because I've seen it done and collected the data to derive the probabilities. I...

Agreed. All of this discussion about black swans invalidating Kelly ignores the fact that in a worst-case scenario some trading vehicles simply go to zero if hit by a black swan, rather than continue to sustain losses beyond the Kelly limit.

The authors are both professors, not brokers. Anyway, clearly you've decided what is and isn't a fact based on how well is suits your predefined conclusion. Which is fine. One cannot expect everyone to look at the world with an open mind and reason. In fact, your closed-minded perspective is...

Your failure rates are overstated, at least according to the paper I linked above. Yes, the paper is a snapshot in time, but at least according to that snapshot, almost half of daytraders were profitable. As long as people aren't even clear on the facts, there's no point in stating whether...

I haven't seen it mentioned, but one of the issues with hard stops is bad data triggering your stop when the market really didn't trigger it. If you aren't there to immediately correct it, it can ruin an otherwise good trade.

Actually, they aren't the same expectancy because the winner/loser ratio in the first set would be 1:1 and the winner to loser ratio in the second would be .76:1. Multiplying that by the winning percentage, the expectancy for the first set would be .6 and the second set's would be .46. The...

The problem with this is that the relationship between the amount you decrement from full Kelly and the ending amount of your bankroll isn't linear, because of the decreased reinvestment at each trade. The amount you end up costing yourself in foregone gains (yes, they are hypothetical, but are...

If I truly thought each trade situation was unique, why would I not develop a new methodology for each trade? Isn't it implicit in the fact that I am using a methodology which I've used in past circumstances I've identified as similar to current circumstances that I believe my outcome will be...

I'm not sure that it matters whether he trades or not in this instance, because we are only talking about a metric, not a trading method. Someone doesn't have to be a good baseball player to be good at analyzing baseball statistics. I do keep track of this number (among other metrics I keep...