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http://localweeklytrading.blogspot.com/2009/11/stats-from-system-1.html http://localweeklytrading.blogspot.com/2009/11/system-1-with-medium-sized-portfolio.html

ok, our last messages crossed, thanks, I get it know ...

maybe I overlooked something in going over things: from what I understand now you just take the closes ... and then the nth percentile ... :confused:

I still don't get it: I see about four different ways to calculate this over the last 15 days at first glace, there might be more if I think this through: do you use closing price, range, volume-adjusted prices, ... What seems 'obvious' to you isn't it to me, so I would like to see the actual...

I still don't get the concept, the way I was thaught using percentiles it had a totally different meaning. Could be semantics but who knows ... Maybe a practical example would explain this better; take for example AAPL and give us the calculations, please ...

thanks for the good ideas: I will try to let my spreadsheet run with a catastrophic stop of about 2.5% of my total portfolio, that will probably not affect my results whatsoever while it will protect me ... but that will be work for tomorrow cause I got some other fish to fry today ...

This testing out of a stop gave me allready a good idea for my system 2 where I got not much data yet, cause that's a long only system. Blacks swans in stocks tend to happen most on the long side so I going to keep track there of the low of the day and will have an alternative version that stops...

I have been testing out several stops this morning (with different intervals as a percentage) but the only thing happened (as I allready presumed it would) that overall return severly diminished or drawdowns became much bigger; not exactly the thing I was looking for, I might have lived with a...

This was the perfect strategy for the last seven months ... were we had the biggest bull market since decades, so this is hardly a representative period ... like MTE said allready don't mistake bulls for brains ... you will have to come up with something more sophisticated imo ...

My results so far were walk forward, my original idea was to have another six months of walk forward testing, that should be about another 100 trades. Considering profit ratio I was allready glad I got that one above 2.5, however the remarks here gave me the idea that using a stoploss after...

I really get where you are coming from ... but ... that would take me another five and a half years at the current rate ... not too realistically ... the problem is it is very hard to backtest: I got something like 20 candidates yesterday through my scanner but then I still need to look at the...

Thanks for the replies thus far, overall my results don't come from just a few trades, my profit factor is after costs, my biggest loser is -2.07% of the portfolio, my second biggest loser is -1.87% with the current money-management, my biggest winner is 5.85%, my second biggest winner is 3.94%...

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Just a bit about me first: I used to trade options (DIA) untill about 5 years ago through IB, really fun game semi-marketmaking from home, although the hours were odd living in Europe. Arbing things till they were delta-neutral and keeping track of inventory as I was sitting on either bid or ask...

there is the combined reason of the macro fact that the economy grows over time or even better said, grows into something more sophisticated (there was a time when a bike was a sophisticated vehicle, then came trains and cars and planes) and the positive bias of selection in indices: stocks that...

you don't seriously think anyone is going to give away their algo here ? You will have to invent your own.

now you are making me curious ND ... gives us a chart. Maybe Timber Hill gave away their money-making ATM by accident. Finially the mystery is about to be unsolved ... :D

SPAM !

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