How can i bring this system to the next level

Discussion in 'Professional Trading' started by Dekor, Jul 16, 2017.

  1. Dekor

    Dekor

    The total return over these 10 months where 40587.25$, this is minus the commissions.
     
    #31     Jul 16, 2017
  2. Dekor

    Dekor

    Give me one second, i have to figure out how to attach a image.
     
    #32     Jul 16, 2017
  3. Dekor

    Dekor

    Aha, i think i see where i messed up.
    I calculated the sharpe ratio based on the return of every day instead of every trade.
    Or does this works as well? If so i can upload these numbers. If not i have to get the exact numbers in a file.
     
    #33     Jul 16, 2017
  4. Image is not going to do it. Post an Excel spreadsheet.
     
    #34     Jul 16, 2017
  5. Dekor

    Dekor

    Ok, so here are the daily returns for the last 10 months.
    In the top row (9,10,11 etc are the months) below are the returns every day including rt commission.
    Highlighted in yellow are average daily returns for the month

    [Image removed at OP's request]
     
    #35     Jul 16, 2017
  6. Dekor

    Dekor

    Oke, one second, i never uploaded an excel sheet before o_O
     
    #36     Jul 16, 2017
  7. These figures look like daily P&L. The Sharpe ratio uses daily returns. Daily return is defined as:

    R(day) = (A(day) - A(day-1)) / A(day-1)

    where
    A(day) is the account value on a given day
    A(day-1) is the account value on a previous day

    Another thing: what's with the $1121.75 daily loss? Why does this exact loss occur with such high frequency?
     
    Last edited: Jul 16, 2017
    #37     Jul 16, 2017
  8. motif

    motif

    Why don't you propose your system to some ALGO developers? If you're system is really strong I'm sure they'll be glad to partner up with you and share profits.
     
    #38     Jul 16, 2017
  9. Dekor

    Dekor

    I am going to meet with a guy i know next week, however he does not have experience in trading.
     
    #39     Jul 16, 2017
  10. I would be happy to look at it in this regard. We have execution, colocation, funding, and unbeatable commissions if you can prove your strategy.
     
    #40     Jul 16, 2017