through 20,000 trades the day trading strategy has an expected value of .10% including slippage & comission, however the standard deviation is 2.94 so 62.5% of the results lie betwee -2.84 to 3.04 opinions?
THERE are not enough to say about this method..say please about profit , max DD, profit factor. So it is be good if you show us a equity curve.. Fron Russia with Love
I don't like it. With such a small margin and a relatively large SD, trade size would have to be relativley small to prevent ruin. Even a $50K trade only "nets" $50. Not with my money. :eek: Joe.
Kelly ratio ~= E(return)/E(return²) == E(return)/(Var(return) + E(return)²) Kelly ratio ~= 0.001/(0.0294² + 0.001²) = 1.15558843 Good to go!
Standard error = 2.94/sqrt(20000) = 0.02 Looks pretty good as breakeven is 5 standard errors away. How often does your system trigger? If you get 20000 trades over 10 years, you probably won't have the patience to trade it. But if that's over 3 months, that's pretty nice.