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Hi, Both are valid ways to trade and I do both ... though not on the same stock. I expect most favor the breakout.

35% gain w/ less than 8% max drawdown. Gain/trade/day of .35% on almost 1000 trades so I was well less than fully invested.

Good question because there are many ways to measure risk. My comment was based on max drawdown. My stdev is close to the market's. I find similar results in my backtests. Although stdev may be close to the market my drawdown is much lower.

30% with 1/2 the risk of the market.

If you had started trading it with just $59, thirty one months ago, you would already be over your $200K limit (under certain market conditions). Why would you be looking to sell such a strategy rather than just trading it?

No, I try to keep things as simple as possible. If I were to measure it in additional detail it wouldn't help me going forward because the correlation of my strategies is what it is and while I measured the correlation with a static number, the correlation itself is dynamic.

Here are two articles that describe how stocks hurt mean reversion strategies, particularly strategies that hold overnight: http://www.tradingmarkets.com/etfs/commentary/best-of-the-battle-plan-stops-hurt-951402.html...

At the beginning of the year it was my focus to set up my spreadsheet to better track my trades. I trade several strategies across a few accounts and now I can analyze data for any strategy or any account, or overall, for any timeframe (I set up input fields for start and end date). So I can...

There is a good book on this topic called Trading Risk by Kenneth Grant. My trading strategies are based on backtests, but I've found real life to be more difficult than backtesting, and so an analysis of my actual trades is essential.

As described in the previous post, I used the Excel Correl function to find the correlation of the daily returns. It's been very useful.

In days past I was a programmer but I'm not really clear what you are doing in the example. To me, combining strategies is pretty simple, as long as you have daily equity returns. I simply post the daily equity returns into a spreadsheet and then calculate returns based on allocation to the...

I just put Jack on ignore. Now if only I could only put all the discussions about him on ignore as well.

Well I don't have a phenomenal reading of the markets but I have tested the specific strategies I trade over thousands of trades as well as reviewed my real time results. Stops hurt the results so I don't use them. In fact I am likely to be one of the buyers taking people out of the trade when...

Yes, but mostly smaller cap, the edges are larger.

I trade equities and ETFs using quantitative strategies. Typical hold times are 1 day to 1 week but I have some strategies that hold up to several weeks and just went live with a strategy that typically holds for months. But that's just me, I'm not sure what is "usual". I'm sure some trade...

Here's a clue to finding the holy grail. Past performance IS predictive of future performance.

A backtest of 100 to 200 trades is not a very large sample. If you optimized to this sample then it is not surprising that out of sample results are lower. Trading on the ES is competing with the best. I trade stocks and ETFs but have the best edge in stocks that are too small for many pro's.

Interesting perspectives. Clearly there are different approaches to trading, but while I have heard many traders claim the need for intuition or a feel for the markets, I have never heard that from someone that I could verify to be a successful trader. From the people I know to be successful I...

It's an approach that works for me. Interesting that this is under trade management because that is clearly my weak point. Rather then try to manage the individual trades I keep the entry and exit criteria very simple so I can take a lot of trades at once, across multiple strategies. It makes...

Diversification