Benchmark scalping strategy

alex314159 · May 15, 2018

Hello everyone,

how would you go about benchmarking an automated scalping strategy? Let's assume for simplicity you trade one contract of e-mini all day. I'm curious about how to to judge an algo's performance:

-What's a good return / Sharpe?
-What would you compare it to? Is there an index you can run some correlation against?
-Does it make sense to look at the points made per day against the total path of the index (using same timeframe as trading one)?
-any more ideas...

Thank you!

fordewind · May 15, 2018

You`ll lose your pants scalping the market via automation.

truetype · May 15, 2018

Scataphagos · May 15, 2018

fordewind said:
You`ll lose your pants scalping the market via automation.

That better than losing your mind scalping with discretion?

Handle123 · May 15, 2018

truetype said:
View attachment 186157

So the question is there a huge strong wind pipe at bottom of toilet blowing the money into the pail? For those who think outside of scope of normal, cause trading the markets well, you have to be abby normal.

fordewind · May 15, 2018

Scataphagos said:
That better than losing your mind scalping with discretion?

Depends how strong your mind is.Automated scalping is real gambling, discretionary however is not.

Scataphagos · May 15, 2018

fordewind said:
Depends how strong your mind is.Automated scalping is real gambling, discretionary however is not.

Pardon my skepticism.

fordewind · May 15, 2018

Don`t know anyone who does automation succesfully for years.They might exist.

Arnie · May 18, 2018

Back in the day when I traded at Bright there were a couple of guys that had an semi auto system scalping NY stocks by enveloping for price improvement. It looked really boring. You can really get f***** when news moves the market.