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At 50% a month, you can turn your 6K into about 20 trillion in under 5 years. That's more than the entire U.S. gross domestic product. I'd suggest you study common sense.

Wouldn't that be the square of volatility?

I'd suggest re-running your stats with commissions included and allowing one tick slippage on the last trade of each day. Your profit factor will drop to about 1.1, I think.

It's more meaningful to express max DD as percentage. In your case, it appears to be 40%.

I thought you said you only use limit orders and therefore there is no way for slippage. How can you ensure that your strategy is flat every day at 4:15, unless you use a market order to go flat?

You never explained what needs to happen for your order to be "filled". Does the market have to touch your limit price, or to exceed it?

I am still confused. Let's say your strategy generated a "long" signal. It paces the limit order to buy at 1200.00. The close of the bar is 1200.00. Does this mean to your strategy that your order was filled?

So, if the market is 1200.00/1200.25, do you make an assumption that you can buy at 1200.00 and sell at 1200.25?

So, with the commissions accounted for, your average trade expectancy is $5.50. Now, what were your assumptions regarding the fill price for your orders. Did you use limit or market orders?

Why are there zeros in the "commission" row?

POC = Person on Cocaine. The term refers to energetic, restless market, with the price all over the chart. Not to be confused with the term "Polish Orthodox Church", which refers to a trader stubbornly unwilling to give up his convictions about the market direction. VAB = Volunteers...

I didn't say the entire thread is worthless, just your model predictions are. I come here to mostly read about the virtues of selfishness and your speeches against those virtues. Your interpretation of Ayn Rand's objectivism amuses me a great deal.

I can't help it. Whenever I see some obscure acronyms, such as FWIW and FV, I leap into some kind of higher perception state, which makes me want to figure out what FWIW and FV are, thus recursively submerging me ever deeper into the depths of the call stack.

It would be more interesting to discuss the model itself, rather than its predictions. It's pretty evident that the output is quite useless, so why keep posting it?

"Wash sale" is perfectly legal, it's just treated in a specific manner for tax reporting purposes. "Wash trade" is illegal. The difference between the two is that in the latter case, you are trading against yourself. It's easy to see why "wash trading" is illegal. Let's say there is a very...

JBookTrader consists of about 120 Java classes. I consider it a small codebase. In terms of speed, the optimization is about 30 million ticks per second on my quad-core machine. Backtesting is very fast, too. If you don't need the backtesting and optimization capabilities, then what needs to be...

Assuming 220 trading days in a year, you are looking at 200% return on investment. The top investors in the world are making 20%-40% return. So, you tell me, what are your chances?

Where is the "stays in the range/consolidates" option?

I am curious, what do you guys need IB customer support for? I've been an IB customer for about 5 years now, and never had the need to call them.

It's a negative sum game. Every time you trade, you realize an immediate and guaranteed loss because of the bid/ask spread and commissions. To overcome this effect, you have to be way better than "average" to break even.