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Well said - AUM size differences can lead to huge differences in Sharpe. I have more than one 2+ Sharpe strategies but they will scale only to medium size say 3-4m PL per year. So, I can not run any 100$ fund, even if someone gives that kind of money to me today. Maximum I can look for would be...

So, if you want to establish a fund, 1) So, how much absolutely minimium seed money is required. 50k? 500k?2m? 2) What would be a terrific track record on this seed money. 50% annual return with 15% maxDD. or 100% return with 20% maxDD. 3) For how long this terrific track record is needed...

out 2 @ 1407. Order to buy again at 1402, 1404.

adding @ 1400.75 so entries at 1401.75, 1403.5 and 1400.75 for average of 1402.

adding to long 1403.5

long 1401.75

LOL, seems you got some raw deal from some IL guy recently :) Nevermind though, I agree with your basic sentiment. 5yrs working, developing and refining a model and actually trading it on a 20k account is more valuable to me than a 1 yr out of the sample trading using 1M, if the effort in...

out 1413

long 1406.5

Flat @ 1407.5

Reduce 2 @ 1409.5

covering 2 ES @ 1410. Left with 3 ES @ 1410.5 average. Will carry this core short position and will short on run-up again.

Adding 2 ES to short at 1423.75 Average price short 5 ES @ 1410.5 - Trading in Ammo's style :)

Did you compare waiting for some time vs buying the breakout immediately on historical data? For how many years, you mind posting the results if you compared the two choices? My testing on a particular breakout strategy on ES showed that if I miss explosive moves by waiting, returns become lower...

As an independent, you are responsible to do everything. Even though I like MC, I know if I had my own custom built trading platform with 3 programmers working on it. I would be able to get instant help on any operational issues - working with MC can take more than a day to resolve the issue...

I waited for others to respond, because I think my response will most likely sound less than attractive to you. I have started to believe that even with rudimentary tools its possible to cover a lot of ground. Currently, I have just one laptop - thats all. All my trading, research, ET time...

I was looking for Chuck LeBeau's forum archives. It seems Chuck LeBeau's forums don't exist anymore on web. Googling "Chuck LeBeau's forum" yielded the first result where a guy said he has copied all of Chuck LeBeau's bulletins into a word file and attached it. Unfortunately, it is on Trading...

Bill, thanks for adopting this civil tone. Much appreciated. I suggest you approach the moderators to delete the earlier attacking posts you made in this thread. This topic of creating a portfolio of systems is a hard problem - a clean thread will make it much easier to follow the thoughts and...

Following is the PM that sle sent me. Posting here with his permission and my response following it. Thanks! Thanks for your comments. Great points. If I understand correctly, both of us are conceptually tackling this problem in an identical fashion. We differ in implementation. You are...

Hi, your suggestion seems much simpler than what I have proposed in my post above this reply. However, I am not completely following you. If you have time, can you please write a psuedo code for what you suggest? And probably illustrate with an example of say 3 strategies and 10 trades. That...