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I am not impressed. These days, 100% winning rate is not enough. You have to get to at least 125%. :)

The tick size is irrelevant to the concept of leverage. In your example, the contract value is 40 * 1000 = 40,000 and the maximum leverage allowed by broker for that particular instrument is 40,000 / 4,000 = 10 To generalize, Maximum leverage = contract value / contract margin Your leverage =...

I would not use either Profit Factor or Average Trade for performance evaluation. Consider the (extreme) demonstration below. Systems A and B have the same profit factor, 2.0. Clearly, a lot of information about the system performance was lost in that "2.0" figure. Virtually all risk-adjusted...

One of the choices is to sell short the NYMEX coal futures (ticker QL) that have a distant expiration.

I don't see any evidence of "success". Sadly, the OP lost 15% in 1 month.

In his much referenced paper, our friend William Sharpe does not actually use a "risk-free" rate in his formula, but rather the "return on the benchmark portfolio", such as the S&P 500 index: http://web.stanford.edu/~wfsharpe/art/sr/sr.htm It's not clear to me how and when the industry decided...

Dividing the 0.16% annual risk-free rate by 365 is not quite the right way. The correct conversion can be derived from here: daily = (1+annual)^(1/365)-1 = (1+0.16)^(1/365)-1 = 0.000406713 Since you use 252 trading days for excess returns, you may as well use the corresponding risk-free rate...

Trading styles, strategies, setups, and portfolio allocations vary wildly. Some traders hold their positions for milliseconds, and some hold for years. Some trade with no leverage, and some trade with the 1000:1 leverage. Some trade with the trend, and others trade trend reversals. Some trade...

Some companies chose "dual listing". That is, their stock is traded on two exchanges simultaneously.

LOL. Nice and easy. What do we use to drive a nail? If the screwdriver is heavier than the hammer, use the screwdriver. Otherwise, use the hammer.

Think of a fair coin and a loaded coin. If you analyze the history of the flips using the fair coin, you may think that you've discovered some "patterns", such as "heads-heads-tails-tails", for example. These patterns are spurious, of course. There is no predictive value in them at all. On the...

There are position limits imposed by the exchange. A position limit is the maximum number of contracts that any particular individual/entity can hold. The position limits are there to presumably prevent someone from manipulating the markets. These limits are typically very high. Here are the...

Not quite. If you have $30K in you account, and make a $10K trade, you are not using leverage at all (more precisely, your leverage is 0.33). Leverage (of over 1) occurs when you make a trade in which the notional value of the trade is more than the value of your account. In theory, yes. In...

Any leveraged instruments, such as options and futures. Along with the 100% annual gains, they also feature 100% (and greater) losses.

I assume you are referring to the U.S. tax rules. IRS treats the futures contracts as "Section 1256" contracts. The tax benefits of the 1256 contracts are: 1. Reporting is much easier. Effectively, instead of reporting every single transaction (as it would be the case with other instruments)...

Java technology has moved on. For example, the JavaFX technology allows you to write java code and deploy it to pretty much any imaginable platform: -- any desktop (Windows, Linux, Mac OS, Solaris) -- web browser (IE, FireFox, Chrome, Safari) to run as a RIA web app -- mobile devices (Android...

d http://www.nailsinvestments.com/

You are predicting that the "green" follows green and that the "red" follows red.

Thanks. Interesting connection between NP-completeness and market efficiency.

I still fail to see the novelty here. There are plenty of existing open source and commercial backtesting/optimization frameworks out there (Quantpedia, NinjaTrader, MetaTrader, WealthLab, TradeStation, MultiCharts, OpenQuant, AmiBroker, TradingBlox, RightEdge, just to name a few) which allow...