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I do exactly that, and in fact by a weird coincidence I was refactoring the exact bit of code that does this calculation yesterday! However there are other ways of doing this, and there's a long discussion here. GAT

Found it https://www.elitetrader.com/et/threads/fundseeder-my-experience.298394/ GAT

I use FS. There are several good threads including a very detailed review I did a few years ago, if you search for them. GAT

You don't have to. GAT

Starting simple is good, although I wouldn't bother with a TP myself. You also need to define what you will do if a trade gets closed, but the system then wants to put the same trade on again. But be careful about costs. Such a simple strategy isn't going to produce massive returns, so you need...

What do you mean by just exceeds? The probability that the return will be exactly the same as some precise value is of course zero (ignoring discretization effects in prices). The probability that the return will equal or exceed some r will depend on the distribution of returns, which for short...

On average, should be over several years if possible. Month to month, year to year, will vary. GAT

I was doing that annual thing IB make you do where you have to declare what kind of experience you have, your income and where it comes from, and I thought it was actually quite an interesting question. So on average, what percentage of your income comes from trading?

This is extremely good advice. And applies equally, if not more so, to non systematic traders. GAT

It might be possible, but it's very difficult. And it's unlikely that someone who has just read a few papers and used an off the shelf package will be able to find the holy grail. As you've discovered, the most likely outcome is that you will end up massively overfittedd. A more benign outcome...

I did something similar in my long only portfolio. I wasn't aggressive as you; I invested in a broadly diversified set of UK equities with deliberate sector diversification* rather than, and I bought gradually over a period of several weeks (so though I called the bottom almost exactly, my...

Yes, that's definitely not a significant difference. GAT

So, the data is telling you that faster momentum rules have more in common with each other than they do with their variations. Is the right response to ignore this, or to listen to it? (I don't actually know if there is a right response, but it's interesting information none the less). Would...

My heart says equal weights. My head says the new method is correct. My gut, which is very pragmatic, says it won't matter very much eithier way. What are the two assets, out of curiousity? GAT

Fair. I was talking mainly about the drawdown, which is widely used by retail traders, and the simplistic version of a tail risk measure where you take a single point from the distribution. The drawdown in particular is very worrying, since it implies a safety net that isnt' there in reality and...

" maximum drawdown and attempts to create tail-risk ratios are simply noisier measures than the original because they rely on fewer observations to determine their values." This is a key point that not many people appreciate... GAT

https://www.businessinsider.com/heres-what-happened-to-stocks-during-the-german-hyperinflation-2011-11?r=US&IR=T Obviously it went up: several million % in mark terms. But it also doubled in USD terms, i.e. did better than inflation. Why? Economists answer: Assuming firms have pricing power...

So your real leverage is much lower? So you agree that higher leverage is risky, if you use the correct definition of leverage (exposure divided by available trading capital, not just what's in your account?) I suppose there are some pyschological advantages there, if you completely lack self...

OK, I'll bite. Why isn't high leverage risky? GAT

Why do you need so much leverage? GAT