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1. Tradestation is a sponsor of ET. 2. There's a difference between ordinary ET members like you and me posting info related to a product, or the vendor of the product himself posting that information.

You're posting screenshots of your software as well. see rule #6 of code of conduct

Please stop spamming this forum with your products

11.83 -32% after hours

I think my point is this. Assume you have 2 systems that each do 4 trades, with returns as follows: A. -10 +10 -10 +10 B. -15 +5 -5 +15 these are identical in terms of the inputs supplied to your program, and would lead to identical MC results. Still system A and B are quite...

I use the Sharpe ratio and calculate a 95% confidence interval around it (using the bootstrap method). I closely watch the lower bound of this interval (I never trade a system if the lower 95% bound is less than zero). Sometimes I calculate a rolling Sharpe ratio, i.e. if I have 250 returns, I...

I understand you can simulate different runs based on different values for winning/losing trades and average profit/losses. But how do you choose the values for the different runs--what's your algorithm for that? At the minimum it seems you're making some assumptions on the distribution of returns.

Exactly, however multiplying by sqrt(n) assumes you're not compounding. Wrt higher moments, I think people are more worried about kurtosis. The higher this is, the more likely your variance (and thus Sharpe) is due to some extreme outliers. Usually people don't like this. Thus if you have 2...

How exactly does your simulation work then. If you don't use individual trades, you have to make at least some assumptions about their distribution (normality?), right?

I wouldn't recommend this, as you will lose a lot of valuable information by not using the individual trade data.

If all your returns are identical and negative, both the Sharpe and Sortino ratio will go to <b>negative</b> infinity (because the mean return, the numerator, is negative). Timeframes for Sharpe ratios can sometimes be confusing. E.g. most Sharpe ratios are reported on an annual basis, but...

indeed the spreadsheet assumes non of the trades overlaps any other trade. If trades are overlapping it gets more complicated, and drawdowns will be larger for sure. I usually prefer to work with daily (or weekly) returns instead of per-trade returns.

NB. A more precise way to estimate the confidence level is to copy and paste (as values) the contents of column L to a new sheet, and sort them in ascending order. If you have 1,000 replications and want to know the upper bound on max drawdown for 90% (900) of the runs, you would just read the...

Ok, here's how I would do that: I took your trades and inserted them in column A, I calculated an equity curve in column R, assuming a starting equity from cell Q2 (you can change this). Then I calculated drawdowns in column S (in % of equity), and inserted the formula for the max drawdown...

what is the statistic you're interested in, and how would you calculate it for the trades you posted? Is it the maximum drawdown, average drawdown, etc.?

I think a spreadsheet I posted a while ago might do the job. http://www.elitetrader.com/vb/showthread.php?s=&postid=1246313 The spreadsheet uses a non-parametric bootstrap to give you a distribution of the expected return. For any other statistic than the expected return (e.g. Sharpe, VaR...

I think a lot depends on whether you're able to monitor your trading PC remotely or not. It's a lot easier and safer if you can monitor it remotely from time to time (e.g. using VNC, LogMeIn, or GoToMyPC etc.). It also depends a lot on the risk of missing a signal. If you have a system...

A quick question: Is it possible to buy a QQQQ option and get filled at the open? I understand my broker does not support MOO orders for options. Can I just enter a market order before the open, or would that lead to a potential disastrous fill (I'd be surprised since volume is large)...

I never attempt to buy and sell the same currency. I actually traded multiple systems in the same forex account, and when one of the systems tried to buy e.g. EUR/USD when there was already a short position in this pair, my short position would just become smaller (or turn into a long position...

Morty, Your comparison is flawed, as I think you are comparing on a 1 lot basis. You cannot fully hedge a single GBP/JPY lot with a single EUR/JPY lot. Suppose you bought 10 minilots GBP/JPY for 233.412 on January 1 at the open. That same day EUR/JPY opened at 157.209. To "hedge" the...