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These are not the systems that I gave in my examples, and I never said anything about systems E and F. So, you are misquoting me, and it looks like you are looking to argue just for the sake of arguing. So I am out of here.

For N >= 1000, min[1, N/1000] always results in 1. So, it does not make any distinction between system A with 1,000 trades and system B with 10,000 trades. That's way too discontinuous, not to mention that the boundary of "1,000 trades" is too arbitrary.

Your "final SPS" is nothing but what you call "Bad Kelly" multiplied by W/L and adjusted for the number of trades. That's it. Again, this is a dubious "improvement". It can be easily shown that your formula overrates W/L. I'll leave the verification up to you.

Your "version 3" of SPS is definitely better than the previous two versions. However, upon the analysis, it turns out to be a butchered version of the Kelly Criterion: Kelly = p - q / (W/L) SPS = Kelly * (W/L) = (p - q / (W/L)) * (W/L) = p * (W/L) - q So, in effect, your "final SPS" is...

Ok, let's try your latest version of the formula, with the percent returns. System A: [-8, -8, -8, +25, +25] System B: [-1, +1, +1, +21, +50] SPS(A) = 0.450763 SPS(B) = 0.446332 So, according to your formula, system A is better than system B, while everyone with common sense would...

Now you are mixing the absolute P&L and the percentage P&L in the same formula. This will lead to confusing results. I think if you experiment long enough, you'll come down to this: SPS = sqrt(trades) * (P / S), where trades is the total number of trades P is the average profit per...

There is nothing there that indicates the bet sizes. For all we know, system A bet 5% of the account, and system B bet 50% of the account on each trade. Or it could be the other way around.

I don't think it works for unholy systems, either. Here is another example: System A: [+10, -5, +10, -5] System B: [+20, -10, +20, -10] SPS(A) = 0.04 SPS(B) = 0.02 In this case, your formula says that system A is twice better than system B, but it's actually exactly the same system, scaled.

Something is missing here. Let's apply your formula to two systems, A and B: System A trades: [+10, +10, +10, +10] System B trades: [+20, +20, +20, +20] SPS for A: (10 + 10 + 10 + 10) / (10^2 + 10^2 + 10^2 + 10^2) = 0.1 SPS for B: (20 + 20 + 20 + 20) / (20^2 + 20^2 + 20^2 + 20^2) = 0.05...

Personal income tax: 50%.

The "elegant party" in your dream represents the wealth and the wealthy who became wealthy by participating in the market. The attractive woman in glasses represents the market itself. The glasses symbolize the "poker-like" attributes of the market. I think you wasted a good dream by asking...

I've been trading the ES for quite a while, and would like to diversify to the CL. My ES strategies are fully automated, and so would be my CL strategies. My plan is to run both the ES and the CL strategies concurrently, for a (hopefully) smoother equity curve. So, I'd like to know...

Looks like you averaged the net profit of about three quarters of a cent per share. Is that right?

70% of all trading volume these days is algorithmic.

It means discarding both technical and fundamental analysis. Instead, you enter a position when your scalp itches. That is, the signal to enter is when you scratch. This is an incomplete system, as it doesn't tell you when to exit.

I'll go with it. Let's say that out of 65,000 members, only 6,500 (10%) are potential subscribers. To get the desired 150 subscribers to your system, you only need 2.3% of these potential subscribers, which doesn't seem like a big stretch, if your system is the top-performing C2 system.

Here is another suggestion: in your RAPA score formula, incorporate whether the account history was verified or not. I'd make it full 50% weighting in your formula. These would have two desirable effects: -- It would give the traders the incentive to give RAPA the ability to run the Flex...

For any type trader, as a matter of fact. The key is the length of your trading history, of course. For example, my Sharpe over the last 2 months is 2.6, but this was an exceptionally good time for my strategy, and I don't expect it to be that high over the entire year. Consistency over...

I noticed that Pei Fang Siow jumped up and down in the leaderboard in the course of just few minutes. Does it mean that you RAPA guys generate the IB Flex reports continuously intra-day?

What does it mean, click the "share" button? Done.