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Man are you saying only apply leverage to systems with high sharpe ratios? The reason im wondering is I have a promising equity trading system with risk management in place , but it has a low sharpe ratio of .25 eventhough it returns 30% annually for 40years with no leverage. I wanted to...

sluz, Nice system. 80% annual return in a bear market is awesome. Especially without leverage. 1. Could you have similar results with a system that trades for holding periods of say 5-10 X your average days held of 10.5? Effectively, it would become a long term system. 2. what is...

Why the need to make 10% every year? Why not make 20% then lose 10%, on and on. Or make 40% and lose 50% once every 5 years and youd be rich in no time. Spend some time with excel

What are the fills like when trading these options? Do you get filled mostly in the range or at the highs?

The idea is to get an idea of the average number of traders with systems. I already use a backtesting environment and have a system. What number of traders stick with existing systems such as aberattion, etc? Is the average Elitetrader user a developer of systems or user of systems?

Good points -please note if your system rules were optimized. simple yes / no is suffucient. -also noted if this is on the bench or a traded system -Have you found a system with only a 10% drawdown earning 40% returns?

Indicate system timeframe, annual return, drawdown, market traded, #trades, and leverage/margin

Why bother trying to trade your own account with hassles when you can find a place to prop trade for 5k? Agreed, you cant trade options though.

Amibroker CPTrader

ssigma, Im going to show you an SP500 stock trading system based on 40yrs of backtested data. One system I could show you uses a different stop than the other, but exhibits similar returns and trade #s. However, the 1st is only a slightly less profitable system and wins only 22% of the time...

Check it out and see. Its for daytrading or for EOD as long as your stop size increases accordingly. Youll see you may trade size larger than your account, thats why you use prop firm leverage. Eric

Coolweb, I was thinking you could look up Jim Chanos, a trader, owner of a hedge fund that specializes in shorting. Kynikos Associates or something. Not much is published, but he manages a billion I believe. Maybe he wrote a book on the subject...

I considered recommending a family member buy a put option on the SP500, and I then found out that long term options cost a fortune. Its most definitely not cheap insurance. Pulling money out and going to cash beats paying for an option any day, In my mind. On the call side, its also crazy...

I have been trying to add a short component to my equity trading system with no luck. I find most public systems that had a short component performed poorly with a short end to their system. Any thoughts?

HAHAHAHAHA what a thread , gotta love it Go shoot some martingales I bet you own a gun, thats funny.

I was talking about liquidity and access to the good trades. Theres only so many opportunity trades. Apparently your talking about something else.

kut2k2 So are you saying the sharpe ratio is really 4.5? My software doesnt tell me the STD DEV of my trades. Can I still use your formula? Thanks Statistics All trades Long trades Short trades Initial capital 10000000.00 10000000.00 10000000.00 Ending capital 8106492309.63...

Hydro's right. They have basic indicators showing the flow of cash into the mutual funds and its at a 5 or 7 year high, and we're also past the peak of the SP500. Always happens, dumb money chases after money's been made. For trading systems, if you run $1 billion you can get 30-40%...

Thats not untrue, but has anyone calculated the effect of survivorship bias? Id like to see what this invisible edge is. If there is a bias, then there is someone taking advantage of it. And if no one is taking advantage of it, then it likely isnt a bias, its slippage more or less. The...

Im a bit confused. Say I have 40 trades a year .4 ln 2/2*40 = .4 ln 2/80 = .4 ln .025 = = -1.475 what did I do wrong? How is it possible to have a negative sharpe ratio? Thanks, Eric