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Exactly the same as losing trades - with a trailing stop set according to market volatility. The market doesn't know whether you're winning or losing in a trade and won't behave any differently.

New blog post: http://qoppac.blogspot.co.uk/2015/06/systems-building-deciding-positions.html

Why be in London at all? I'm assuming that liverpool street works because it's where people commute in to from West Essex, rather than because they're living in say Hackney. It's got to be cheaper outside the M25, plus you're going to save on £3K a year season ticket, and travel time. A few...

I don't. I just use prices. This is a time related decision, rather than a 'I can't afford the data'. Theres plenty of free data out there. I like having a system I spend only a few minutes a day looking after my system (on average; rolls can be a bit hectic, sometimes I have to spend half a...

I think in backtest my max DD is around 37%. This is probably optimistic, but on the other hand it doesn't allow for kelly reduction in capital as DD happens. Also reduction in risk as DD happens also reduces margin. So if you're paying 50% margin, and you lose half; by then you'd only need half...

I disagree that edge and time frame are unrelated. HFT and long term traders are totally different skill sets. Mathematically you will have a higher theoretical profit for a given edge if you trade more frequently, and there is likely to be a strong correlation between holding period and...

I reread fortunes formula over the last few days. It's the kind of book where you find new stuff every time you read it. So for example there was some stuff about Kelly with leverage I hadn't really thought about before.

I stole this from an amazon review, but it's pretty close to how I feel about it.

If you have to read just one book, I'd suggest Fortunes Formula by william poundstone. Much more entertaining than Bernstein's book as well.

Right now I'm using on my 400K account (running at 25% annualised risk target a year) about £102K in margin; so about 25.5% cash. However this will vary depending on how close I am to HWM and signal strength. Right now I'm running at about 73% of average risk. At average risk then my margin...

The point is, it isn't. a) The more you trade the shorter your holding period. Why should your edge on a 5 second trade be the same as on a one month trade? You're playing a different game, not just playing more hands of blackjack faster. Turning over my position around 12 times a year, I get...

Trend followers should add to winners, since a winner means the trend has strengthened. The market has no memory, it doesn't know about your original trade. Treat the addition as a new trade. Set the stop on it separately. However if you're adding at a new high (low), and you're using...

Not sure what data services and python have to do with each other. This is my breakout / channel signal literally cut and paste (I've only taken out some diagnostics). It might not be exactly what you want (it doesn't give a binary exit) but I'm sure you can work out how to modify it :-). It...

That may be so, but if you google "backtest" the overwhelming majority of definitions refer to testing systematic strategies. So I stand by my statement that "In most peoples language a back test is for systems only."

I think there has to be some user input to tell the AI what the meaning of 'good' is. So you can teach an AI to play chess by letting it play a large number of repeated games against a human or chess computer, and telling it ONLY (A) when it is moving illegally, and (B) when it has won or lost...

I think you have to stop using the term "back test" for discretionary trading if you want to avoid confusion. In most peoples language a back test is for systems only. In a back test you take the past, and say what would system X have done in a given situation. You then see how things work out...

Quite a few people are trying judging by the few emails I still get from desperate headhunters which don't drop automatically into my spam folder. Most are looking for "data scientists" with "Big data, AI and machine learning experience". In fairness these are not all finance jobs. Of the...

Report since May 10th (3 weeks, rather than two) P&L: GAIN £20,400 or 5.1% of capital Drawdown is 11.6% of capital I'm a bit short of time so I won't be posting a full report. What might interest you to know is that I was on holiday for a week, during which my system ran perfectly with just...

I guess there are two questions here. Does quantconnect make sense? Does tradier @ $1 make sense because you can also connect quantconnect to IB, but at the normal fee level. It looks like other people have answered the latter question - tradier probably not the way to go. Quantconnect is...

Well I don't know what the original authors meant by "mean reverting", but a very simple univariate mean reversion model would be something like -(Pt - E(P)) where E(P) is an EWMA of the price series P0.... Pt. Note the minus sign; we buy when we're below the trend and sell above.