1. Tradestation is a sponsor of ET. 2. There's a difference between ordinary ET members like you and me posting info related to a product, or...
You're posting screenshots of your software as well. see rule #6 of code of conduct
Please stop spamming this forum with your products
11.83 -32% after hours
I think my point is this. Assume you have 2 systems that each do 4 trades, with returns as follows: A. -10 +10 -10 +10 B. -15 +5 -5 +15...
I use the Sharpe ratio and calculate a 95% confidence interval around it (using the bootstrap method). I closely watch the lower bound of this...
I understand you can simulate different runs based on different values for winning/losing trades and average profit/losses. But how do you choose...
Exactly, however multiplying by sqrt(n) assumes you're not compounding. Wrt higher moments, I think people are more worried about kurtosis. The...
How exactly does your simulation work then. If you don't use individual trades, you have to make at least some assumptions about their...
I wouldn't recommend this, as you will lose a lot of valuable information by not using the individual trade data.
If all your returns are identical and negative, both the Sharpe and Sortino ratio will go to <b>negative</b> infinity (because the mean return,...
indeed the spreadsheet assumes non of the trades overlaps any other trade. If trades are overlapping it gets more complicated, and drawdowns will...
NB. A more precise way to estimate the confidence level is to copy and paste (as values) the contents of column L to a new sheet, and sort them in...
Ok, here's how I would do that: I took your trades and inserted them in column A, I calculated an equity curve in column R, assuming a starting...
what is the statistic you're interested in, and how would you calculate it for the trades you posted? Is it the maximum drawdown, average...
I think a spreadsheet I posted a while ago might do the job. http://www.elitetrader.com/vb/showthread.php?s=&postid=1246313 The spreadsheet...
I think a lot depends on whether you're able to monitor your trading PC remotely or not. It's a lot easier and safer if you can monitor it...
A quick question: Is it possible to buy a QQQQ option and get filled at the open? I understand my broker does not support MOO orders for...
I never attempt to buy and sell the same currency. I actually traded multiple systems in the same forex account, and when one of the systems tried...
Morty, Your comparison is flawed, as I think you are comparing on a 1 lot basis. You cannot fully hedge a single GBP/JPY lot with a single...
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