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alfonso, I think your method of calculating slippage (when using market orders) overestimates it. Last trade price is either at bid or ask. So, 1/2 of your trades should have zero slippage, while other half - slippage = spread. That's why my calculations assume 0.25 / round turn.

OK Brother candle, If commish are 1/4 of your gross profit, then you either avg 2 pts gross; 1.5 net or avg 1.5 gross; 1.12 net :) This tells me little since I don't know what is your return, so I'll stop asking these questions.

:confused:

If you prefer to define drawdowns in % terms... I have another question: how much contracts you trade per $10k? As you can see, I try to find out what is your avg p.a. return vs worst drawdown :D

OK. Can you tell us what is your worst drawdown in ES points per contract? Thanks

Only two ticks? Well, candletrader makes 1.5 pts or 6 ticks. http://www.elitetrader.com/vb/showthread.php?s=&threadid=19359&perpage=10&pagenumber=2 :D On the same thread Scientist says he makes 2pts per contract per day on average. :eek: And now let's get real...

Candle, 1.5 pts before or after commissions? Thanks

Not true. Market isn't random at any timeframe. Otherwise, how would trading work at all? :) I've noticed: the longer time frame the more trends > noise. At intraday level: trends = noise. Trading can work well with longer time frames. In this kind of trading timeframe, however, it's...

In my view, markets at tick or 1-minute level aren't far away from random. Am I wrong? How can you profit from it? Maybe you can predict intraday volatility with some edge. I assume we talk about directional trading. I don't know what's the source of edge in scalping systems.

I don't know, I don't have detailed statistics from his research. One thing I remember from my EOD backtesting is that the best set of param. for DAX index was almost the worst set for S&P ! Of course, within some range of values e.g. fast EMA 8 to 40, slow EMA 45 to 400. I don't believe in...

Is it really better than EMA, WMA? My friend did some tests on EOD data on many markets, many parameter sets. Performance of trading systems based on JMA crossover vs EMA crossover was similar, on average.

You're right. Trading fx on 5 min candles with 4 pip spread is a suicide for the trader and a dream for the broker.

Yes, sure ticks in futures. Can you trade $12.5-tick contracts via IB? I thought they offer only Minis with $6.25 tick. Yes you can place orders inside the spread, and this makes currency futures vs FX cheaper, IMO.

Derivatives exchanges :)

What is the average spread on CME Euro FX futures? On LiveCharts I see 1~6 pips for EC03U. Plus r/t commish can cost around 1 pip.

1. For traders with small acct it may be an advantage. However, FXCM has 5 pips spread on EUR/USD with Mini vs 4 pips with Standard account. Plus $1 rollover fee / contract. So if you trade with 1 mini and 1:4 margin and always hold overnight, rollover fees can amount up to 10% of your account...

"I guess" are the key words here. On a 1-minute or tick charts all I can see is - randomness! How can you people make money by scalping? Plus there is an execution issue. With market orders spread is your cost. With limit orders you may avoid the spread, but your order may not be executed -...

Surfer, Do you execute all of your contracts at the same time, at the same price? Why YM are easier than ES, NQ? Can you name any reasons? Maybe because Dow consists of only 30 stocks vs 100 and 500 for nq, es?

Sure I saw the video! Prodigy is one of my favourite bands, among Red Hot Chilli Peppers, U2, Nirvana... Surf, I didn't read your journal carefully, do you use profit targets? Do you consider DJ fut. easier than NQ, ES?

Now for something newer The Prodigy I'm the trouble starter, fuckin' instigator I'm the fear addicted, danger illustrated I'm a firestarter, twisted firestarter, you're the firestarter, twisted firestarter I'm the bitch you hated, filth infatuated Yeah, I'm the pain you tasted, fell...