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...
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...
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...
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...
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...
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,...
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...
@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...
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...
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...
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...
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...
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...
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...
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...
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...
MichaelPatak, thank you for answering my questions.
Separate names with a comma.