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Right. But I stated in the very first post, both A ad B have exactly the same performance stats, including average gain/loss, number of trades, max DD, net profit, etc. The only difference is the average holding time. So, going by your YM example, let's say both A and B capture 20 points...

In case anyone is interested, my entire strategy scoring function looks like this: score = 100 * (K * P) / D where K = pp - (1 - pp) / (averageProfitableTrade / abs(averageLosingTrade)) P = sqrt(trades) * (netProfit / trades) / stdev D = sqrt(sqrt(averageTradeDuration)) pp =...

I am the OP, and yes, my motivation is scoring the trading strategies (I have literally tens of millions of them during the optimization) in such a way that takes average position holding time into consideration. Along with other factors, it would form a "cost function", or a strategy...

Yes, both A and B trade the same instrument. I am surprised that you guys are not universally convinced that the shorter trade duration is preferable. Let's make the difference between A and B a little more pronounced. With everything else being the same as before, strategy A average holding...

Ok, thanks.

According to my calculations, both A and B have the same expectancy: E(A) = 0.55 * 433 + 0.45 * (-407) = 55 E(B) = 0.1 * 1000 + 0.9 * (-50) = 55

Which Sinclair? I found a ton of Sinclairs on Amazon. What's the title of the book?

There is either a gain or a loss. What's the other "possible outcome"? A break-even trade?

I use a simpler formula which gives me the same result as yours: Kelly = probabilityOfWin - (1 - probabilityOfWin) / (aveProfit / aveLoss) Kelly(A) = 0.55 - (1 - 0.55) / (433 / 407) = 12.7% Kelly(B) = 0.1 - (1 - 0.1) / (1000 / 50) = 5.5%

Let's say you have trading strategy A and trading strategy B. The performance stats (such as net profit, max DD, profit factor, number of trades) are exactly the same. The only difference is that strategy A holds a position for an average of 4 minutes, while strategy B holds a position for an...

So, you are now short 1@1572, 1@1567, 2@1629, and 1@1642. Right? S&P is at 1650 at the moment, which means that you are 211 points in the red. Do you have a stop in mind?

Thanks for your input on this topic, Jack. I have a question: how do you measure the first and the second derivative of the price (velocity and acceleration)? I've been using the differences between the exponential moving averages for these purposes. For example: Velocity = EMA(N) - EMA(M)...

Matter matters only when it matters.

The "correctness" of the call should be determined by the entry and the exit points, and the corresponding trade sizes. Whether the market makes a new high or the new low is actually irrelevant. The OP does not specify his entries and exits (beyond the abstract "I started selling" and "I think...

TF is the ticker symbol of the maize future contract on the Bangladeshi exchange. The price move was caused by a villager attempting to manipulate the maize market. The number "213" on the chart indicates the number of contracts exchanged during that particular price bar. Bangladeshi Securities...

I have to decide if this goes to 1680 or not.

There are no such words as "rebouncing" and "rebounce", so I don't know what you mean.

The market will not drop until 95% of the people are convinced that it's going higher. This will happen at about S&P 1640.

I saw the blooming trees, with white and pink leaves, and green blades of grass, none of which had any license plates.

Thanks for posting the chart. How do you measure the order flow?