This was already done, but the conclusion is: MDD is higher the smaller the acct is.
An acctsize of 600k seems ideal in many aspects.
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Offering auto-trading long-only options system "sys13"
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An acctsize of 600k seems ideal in many aspects.
This was already answered in the previous postings. Main reason is: lack of capital :-(Why don't you test this on actual market data?
This was already done, but the conclusion is: MDD is higher the smaller the acct is.
An acctsize of 600k seems ideal in many aspects.
Showing proof of a 5% MaxDD for returning 100% profits would be already absolutely outstanding! imo
Showing proof of a 5% MaxDD for returning 100% profits would be already absolutely outstanding! imo
This is possible, just need to find the right params:
$ ../periodpct1.exe 100 252 0
PeriodPct = 0.275437038
But, the question is: how big should the initial account size be?...
This was already answered in the previous postings. Main reason is: lack of capital :-(
Huh?? Actual data not actual trading capital.
Oh sorry, you mean testing on a paper account using real data?Huh?? Actual data not actual trading capital.
If someone can provide an API I can do it.
But the question is: how many days/weeks has it to run?
Isn't GBM much better?
Just 2 cents:
Perhaps open several simulation accounts with $100,000 each, from different brokers.
However, start trading only with $80,000 as initial capital size, setting aside $20,000 as FX.
More than a broker and API is too much work.
Best would be a testacct of size 600k at a brokerage house with an API.
But as said: how many days/weeks to trade?
What's the maximum days for a trade? 8 days ? 10 days? Perhaps a distribution chart would be useful.
When a system can make decisions every 30-second, that means many of 30-second trade is possible.
I would think the maximum days for a trade must be very large, in order to produce an average 5 days per trade.
Ok, here's the results of a 6th run, together with the distribution of the trade durations:
Code:
Profit in 1 year 1012.00%
Avg Monthly Rate of Return (ROR): 22.23%
Avg Weekly Rate of Return: 4.90%
Avg Daily Rate of Return: 0.96%
Highest Daily Gain of AV: 18.49%
Highest Daily Loss of AV: -3.63%
Max Drawdown of AV: -10.38%
Code:
Trade durations in days:
days trades cumul_trades cumul_percent
1 888 888 44.98
2 300 1188 60.18
3 194 1382 70.01
4 156 1538 77.91
5 106 1644 83.28
6 80 1724 87.34
7 55 1779 90.12
8 42 1821 92.25
9 22 1843 93.36
10 29 1872 94.83
11 49 1921 97.32
12 17 1938 98.18
13 13 1951 98.83
14 6 1957 99.14
15 9 1966 99.59
16 4 1970 99.80
17 1 1971 99.85
19 1 1972 99.90
20 2 1974 100.00Attachments
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