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I use a formula based on drawdown and maximum loss, as well as volatility and a safety margin to come up with what I think is the best amount of capital to use per contract. Then I multiply the amount of contracts up to a level where the maximum loss/drawdown of each contract would equal an...

Right now I'm guessing your position size is a percent of current account value. It's a lot easier to understand your backtest results if you use a fixed size, that way you will get a more normalized result. Try it and see how the equity curve looks.

I'd be surprised if it was all random, probably just random to some degree. It was pretty easy to beat, just buy on up ticks and sell all on down ticks. The nature of the movements in the game make it easy to use a stupidly simple strategy like that. Didn't see a single unexpected big move in...

I'm not trying to discuss whatever is the optimal bet. I'm saying that system 1 is by far better than system 2, because of the big difference in how much we can bet on each system.

I was going to add a comment on Kelly in my post, but I decided not to. Basically, using Kelly here would be meaningless, no matter what it tells you, 1% of capital will be your max bet on system 2. As an example: If you allow for a max 10% loss on your capital. You can only bet 0,10% of...

Lets not forget that we can literally only bet 1% of our capital on system 2 to go bust. So one major factor in evaluating which system is better, is the bet size. If we plot the win/loss percentages for systems 1 and 2 into excel and create a simulation of 1000 trades. We'll easily see that...

The results looks very nice, until you look at the total trades. You're working on too small sample size. It's pretty easy to create a simple system for a very short time frame. I'd try running that system on 500-1000 trades at least, to get a proper idea of how it performs on different...

@J.Joseph If you trade frequently I can see how that adds up quite a bit over the course of a year. Just shows how important it is to consider even things like that, no matter how insignificant it might look like. Thank you for the screenshot.

Yeah, I try to keep things as simple as possible as well. I find it more 'robust' the simpler it is. Your calculation looks pretty similar to mine in essence. You have specified a certain risk capital per contract. For me, fees are not really much of a concern, as I trade on daily basis...

I didn't think about inflation, thank you for pointing that out. Now it looks something like: 5000*(1,025^10)*(1+0,25)*(1/0,15) = ~53350 I did think about just doubling my max drawdown, however, for me that would look like: 15000*2 = 30000 I regularly have an open position drawdown...

Hey, I have been searching around for a while to come up with a formula for calculating the minimum capital I'd need for my system(s). After thinking about it a little while I realized that calculating something like that is very subjective to each person. People have different criteria for...

I'd just create a system that make a lot of trades each day. My system would lose very consistently due to commissions and slippage. I guess thats cheating though. From my experience (daily+ bars, fewer trades), creating a consistently losing system is just as hard as doing the opposite...

Thanks to the both of you. Will try out SelectedValue() and LastValue(), looks like they could be very useful for me.

Thank you very much for that reply, aldey. Now my strategy is finally starting to look like the one I made in NinjaTrader. I didn't expect such a thorough reply, this has been really helpful for me. Apologies if my questions seemed a bit confusing, my programming knowledge is indeed very...

Hi all, I bought AmiBroker a couple of weeks ago and have been testing playing around with it for a bit. I have a couple of questions that have been bugging me for a little while now. 1. From my understanding, instead of using different data types like double, bool etc. it converts...

Oh wow, that's a nice webpage, will definitely be reading more on that. Thanks a lot :)

Margin interest is something I didn't even think about. I will consider just keeping it simple and going long call then. Thank you.

Thank you all for your replies. To answer some of the questions here. In my current strategy I only trade stocks with a 2:1 leverage, and don't have any intentions of increasing leverage until my strategy is proven profitable. I don't really look at leverage as an advantage, or disadvantage...

Hello all, I have a couple of questions I was hoping you guys could help me with. I have tried searching for it but I can't really seem to find specific answers to what I'm wondering about. I'm currently working on a strategy for stocks and got it working pretty well for the most part. Now...

MichaelPatak, thank you for answering my questions.