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Certainly an expense, but I think your strategy is long term enough that they won't play as much a factor, though it remains to be seen.

Right now you're at 1.5 points/round turn. Assuming $3/round turn commission, you're still a long way off from eating into the P&L. That said, who knows what the ultimate points/RT is going to be. After, say, 100 RTs, will the points/RT at that point be a good estimate for the overall?

I believe it's set by the broker on the back end. Otherwise, right click on one of the orders; then click "Close By" and click on the offsetting order.

Then we agree to agree, an ET first!

I should clarify: it looks like there is a pattern of a string of losses, punctuated by a string of wins, and I wanted to test whether this was random or not. It's hard to say, but I'd bet that there is no pattern to the wins or losses. That being said, yes: I believe that this strategy is...

P&L distribution: maybe random, maybe not.

Solid, must feel good coming off of last week?

how much do you think the trades you skip are worth?

3380 is net of commish?

Wow, post of the year. All in favor?

I'd also add, 2 trades make up basically all of the return, which goes along with "take every signal" and "you'll never know distribution of returns." Btw, at what point will this test end?

Thanks for the explanation.

Given that it's been such a great year, does that make you nervous that your 25% vol estimate might not be a good estimate (or that, say, its 95% confidence interval might be wider than you think?) In other words, what would be the probability of earning 150%, given you expected 12.5%?

ugh, sorry, I meant "return" not Sharpe. Too much Sharpe on my mind these days..

You expect a Sharpe of 12% unlevered, yes? Perhaps this is obvious, given you've returned nearly 100% on your starting capital.

Makes sense. There used to be a guy, ammo, that posted here. I believe that one aspect of his strategy was once he hit a certain drawdown for the month, he was done for 30 days. Your withdrawal seems to be something like that, some automatic feature that prevents marriage to a position/allows...

why withdraw the 25k? just curious.

Quote from the forthcoming book? Will you reference some of your Python code in the book (not necessarily the "secret sauce," but mostly how to handle various bits of data etc.)?

Making this look waaaay too easy :cool:

@2rosy when is it more appropriate to use C# as opposed to Python? Just curious..