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rufus, is this kind of performance typical for someone at an ibank prop desk? or would you say this is particularly outstanding? what would be the typical performance of someone at an ibank prop desk? thanks.

it does not seem to be working properly with this code. vars: tt(0),size(1),lasttrade(1); tt=totaltrades; if tt>tt[1] then begin if positionprofit(1)>=0 then size=1; if positionprofit(1)<0 then size=size+1; end; buy size contract at highd(0) on stop; sell size contract at lowd(0)...

actually, something strange is happening. i can't pinpoint the exact problem but sometimes it will add size, sometimes it won't.

thanks protrader. this is adding on size correctly when there are no bars in between trades. but when there are bars in between trades, it does not add on size.

yes, just testing the idea.

i'm saying if profit from previous trade is profitable, then add 1 contract to the previous contract size if profit from previous trade is not profitable, then contract size =1

Has anyone successfully programmed martingale position sizing in Tradestation? I am have trouble getting my code to work. if positionprofit(1)>=0 then size=1; if positionprofit(1)<= then size=size+1; The problem with this is that it calculates every bar, so "size=size+1" keeps counting...

Here's something interesting. I tried to do the edge test that acrary described in his posts. I simulated random trades using the same holding period. Then I ranked my total pnl against the total pnl from each set of random trades. The one difference is that most of my trades are overnight...

40yotrader, what measures do you do use to convince yourself that you have a good system?

would you say that picking the right days contributes the most to a system's profitability? or would you say the specifics of the entry and exit rules are more important? it seems to me that being able to find the right days is more important. i am thinking that if you already know...

43yotrader, What is the process you use to find which days to trade? Obviously the goal is to find days that will suit your strategy, but how do you find those days? I am finding that this is a herculean task. There are almost infinite numbers of things/parameters to test. For example...

Thanks. what is the proper way to check if a "large" win begets a "large" win? just set a threshold for what I think is a large win and do the same thing as one would do to check for streaks? also, do you think i may have curve fit this? when i started the thread i was expecting criticism...

are you saying that it's easier to detect a change in one of these themes (case 2) than it is to detect a change from random to non-random behavior (case 1)?

perception is indeed reality. to the recent college grads: i'm sure you've heard this before, but do you really understand why and have you accepted it? acrary, i am surprised that you seem to be saying you have been adversely affected by this too. i thought someone with your background...

oddtrader, if you are saying you would trade it, can you explain why?

Do you think it's still too unstable? Criticize as much as you like. For 2002, I went back and looked at what happened. I can't seem to pinpoint any specific reasons other than 2002 was a bear market and this is a long only strategy. The largest losing trade did happen in 2002. I...

Here are the numbers trading the equity curve. The profit factors seem smoother, but it looks like the number of trades went down and total profits during the entire period went down. Please ignore the $82K number in the last row. It got on this pic by accident.

Here are the volatility adjusted numbers. Instead of Keltner Channel, I used the average daily range for the previous 10 days of each trade. I hope using daily range is okay too.

Thanks for stopping by. You were one of the ones I was hoping would stop by here. Yes, I have noticed the stability issue. I didn't like the 32% profitable YTD number. However, I also said to myself that if I only look at the full year numbers, the profitability is between 40-60%. This...

Okay, great. All the images pasted properly.