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I think your analysis is misleading you ... there should be no direct relation between your stop size & your trading size. Your trading size should be a function of the maximum drawdown ($$$ or %) you are willing to go through while trading your methodology. You need to assess what that maximum...

ES isn't known for being a day-trading "trend" instrument ... Have you looked at TF ? Its moves are way more dynamic than ES

It seems you should use your current contra-trend exits as entries in the trend ... at least if these exit have the same precision than your entries. There are some "classic" low risk entries in a trend ... double-top (double-bottom) pullback, retest of last breakout level ... then you can...

Thanks! your definition of clean A is quite stringent, but it certainly allows to identify the strongest directional opens. Thanks also for the reminder of narrow vs wide OR depending on the application.

I am using the vanilla 8:30-9:15 OR for CL, as well as A / C values (8 / 13-ticks). The requirement for a valid A is for price to trade "at or beyond" that level for 1/2 of the OR duration, ie. 22min for the 8:30-9:15am OR. What I am trying to get clarification on, is what "at or beyond"...

I have been reading all this thread and I found it very informative! Now I am trying to refine my understanding of ACD - I have a question regarding CL today: The daily A-down level was 98.38 ... Crude traded for 8min under that level, then did pullback for 10min and came back under A-down...

Based on win% = 68% & Average Winner to Average loser =1.72, the P/F would be 3.655.

I know the feeling ... it has taken me several attempts with various automated systems of my own creation before one delivered a live performance comparable to the backtesting. I would suggest you start trading your strategy in a simulated account for a few months (I have no idea if this is...

If I may ask, where does your December drawdown stand vs the MonteCarlo mean (that is, how many std-dev away from the mean) ? (using a MonteCarlo run of approximately 1 year worth of trades)

Sorry I have no time to waste in trying to replicate your worksheet, when I have used mine successfully for several years. What are you afraid of, for not wanting to post your backtesting trade results in one way or the other? There is no need to post any date, time, trade direction, nothing...

Of course I cannot tell what you are doing wrong for I have no clue re. what you are doing ... please post your spreadsheets, or list all trades outcome so that I can do something useful for your at my end

Go back in the thread, I posted lately 1 spreadsheet to do the bucketing from your backtesting results, and in the beginning 1 spreadsheet for MonteCarlo sim using YASAI. As an alternate, post all you trade results (backtest + live) here, 1 trade per line, and I will do the bucketing &...

I have to disagree with this ... at a minimum, a system's edge must overcome the cost of commissions, bid/ask spread and market/stop orders slippage ... a system can lose its edge and bleed money to ruin just because of these factors.

To the person who asked me how to "bucket" a list of historical (or backtested) trades to use the MonteCarlo spreadsheet ... here is the spreadsheet that I use ... input your trade list (P&L only, 1 line per trade) in the "Data" worksheet, then in the "Buckets" worksheet play with figures in the...

BTW, for my MonteCarlo simulations I use YASAI which is a free add-on for Excel ... A long time ago I had shared the attached sample spreadsheet on another forum ... My current spreadsheets also track the Peak P&L & Drawdown Duration (# of trades)

This assumption was unfortunately way too optimistic, as you just found out. I am coming back to MonteCarlo simulations, as these are providing a reasonable tool to "objectively" define what is the worst drawdown you should be prepared for. I have one system which in backtesting didn't even...

It happened to me a few times, too. To give myself some objectivity in assessing whether a drawdown is "reasonable" or catastrophic, I run MonteCarlo simulations using the trade distribution out of backtesting, take for "MADD" (Maximum Allowable DrawDown) the mean + N*std-dev of the...

I suggest you take a look at Matrox Triple Head To Go http://www.matrox.com/graphics/en/products/gxm/th2go/ or buy/build another PC

(2nd try with this post) Thanks to all for your suggestions & comments. - My backtesting engine requires price to go through LMT orders to provide a fill. It also assumes 1-tick systematic slippage on STP orders. - The live performance on last 5 months vs backtested performance on the...

P&L Chart attached