all I ment was something like 70 longs, 30 shorts, win % long, win % short, biggest and average winner/losers.. The only thing you can get with from what you posted is what you already know, that you kicked ass. I also think sharpes and drawdowns are quite overrated if its your own money.. Obviously, if your investing in someone elses trading you don't want to see a bunch of a nice wins then a big draw because you might enter the fund right before a draw...if its your own money you will always be in on the ground floor so who cares so much about the volatility of returns. If you really want to dig, what you would really want to know is what a random system with the same distribution of long/shorts and hold times looks like over this period.
@atticus Already using stops and as can be seen from the equity curve, no significant DDs have occured apart from the 'one' No its not a mean reversion strategy. @ASusilovic First account of $15k was wiped out. Second account of 40k generated 150% return in 2008 with a sharpe ratio of 3.65 @Dominic Real trades are being placed with real money. @Vikana These are real results and not simulated. There has been only one significant draw down through out and that has been due to foolish mistakes on my own part which I have described earlier. Moving forward, I am expecting DDs and average loss to further diminish as I have modified my strategy to enter trades offering higher R:R only than my current setup
68+23=91<>100 (68*1536-23*1253)/100=756<>538 66519+756*100=142158<>120863 <>81.70%? ??? Anyway, very good performance indeed for these 100 day!
Ok, so first account was wiped out. What makes you think to have an edge with your second account after 100 days ? Are you still "refining" your methodology ? It seems so...higher R:R...1:2, 1:4, 1:8, 1:16...define.
@Oddtrader thanks but you need to do the calculations again. As far as discrepancy in number of days is concerned, there were some holidays and some days I took off @ASusilovic With 2nd account generating 150% with minimal stand. dev of return on a monthly basis (signifying consistent returns) and 3rd account (this one) going strong I believe I have the 'edge' (what ever that is supposed to mean??). Anyways that is not the point of this thread. What I am looking is for suggestions to improve my risk adjusted returns. Someone suggested a monte carlo simulation.
As you get around to examining your rules and your strategy, you will see that you are using the SAME strategy all of the time. The market is offering a lot more than you take from its offer. All days are not alike and it is a good idea to differentiate according to what is going on. For the last hundred days things have been changing day to day. I suggested that you put a reference on your intial curve. Further I suggested that you scale your inital curve so that you can see the trend of performance of your rules and strategy over time. Should I do that for you? Probably. All trading makes more profits over time. There are several reasons. Some have to do with the trader some have to do with the market and some have to do with the trader's connection to the market. So far you are not taking advantage of the changing frequency of market moves as the market moves to a new and different operating point from an old operating point. Maybe before you got the chance to find out that trading an account changes as time passes and at some point the account maxes then declines and becomes empty. Maybe you were unaware at the time when the account was coming to its maximum. Maybe you sat through the events after the maximum was reached. Maybe you watched the account zero out after that. Account data and trading data are helpful for examining what is going on. If you have that and you have the market behavior at the time the various trading categories of events took place, then you get to look at cause and effect and iterative refinement.
hulton are you trading stocks or commodities ? what is your hold time per trade ? i do believe you can achieve the returns you show . thanks, bgp
I'm in the jdeezero05 camp, Interested in these type of breakdowns. With track record timelines. Maybe just alittle tweaking and it might be a usuable addon system