I think your analysis is misleading you ... there should be no direct relation between your stop size & your trading size. Your trading size...
ES isn't known for being a day-trading "trend" instrument ... Have you looked at TF ? Its moves are way more dynamic than ES
It seems you should use your current contra-trend exits as entries in the trend ... at least if these exit have the same precision than your...
Thanks! your definition of clean A is quite stringent, but it certainly allows to identify the strongest directional opens. Thanks also for the...
I am using the vanilla 8:30-9:15 OR for CL, as well as A / C values (8 / 13-ticks). The requirement for a valid A is for price to trade "at or...
I have been reading all this thread and I found it very informative! Now I am trying to refine my understanding of ACD - I have a question...
Based on win% = 68% & Average Winner to Average loser =1.72, the P/F would be 3.655.
I know the feeling ... it has taken me several attempts with various automated systems of my own creation before one delivered a live performance...
If I may ask, where does your December drawdown stand vs the MonteCarlo mean (that is, how many std-dev away from the mean) ? (using a MonteCarlo...
Sorry I have no time to waste in trying to replicate your worksheet, when I have used mine successfully for several years. What are you afraid...
Of course I cannot tell what you are doing wrong for I have no clue re. what you are doing ... please post your spreadsheets, or list all trades...
Go back in the thread, I posted lately 1 spreadsheet to do the bucketing from your backtesting results, and in the beginning 1 spreadsheet for...
I have to disagree with this ... at a minimum, a system's edge must overcome the cost of commissions, bid/ask spread and market/stop orders...
To the person who asked me how to "bucket" a list of historical (or backtested) trades to use the MonteCarlo spreadsheet ... here is the...
BTW, for my MonteCarlo simulations I use YASAI which is a free add-on for Excel ... A long time ago I had shared the attached sample spreadsheet...
This assumption was unfortunately way too optimistic, as you just found out. I am coming back to MonteCarlo simulations, as these are providing a...
It happened to me a few times, too. To give myself some objectivity in assessing whether a drawdown is "reasonable" or catastrophic, I run...
I suggest you take a look at Matrox Triple Head To Go http://www.matrox.com/graphics/en/products/gxm/th2go/ or buy/build another PC
(2nd try with this post) Thanks to all for your suggestions & comments. - My backtesting engine requires price to go through LMT orders to...
P&L Chart attached
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