Is this profitable strategy worth trading

Discussion in 'Strategy Development' started by Sky123987, Mar 6, 2008.

  1. 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?
     
  2. 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 :)
     
  3. What is an expected value of 0.1%? Is this expected return per trade?

    Sounds good to me:)

    Bill
     
  4. u21c3f6

    u21c3f6


    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. :)
     
  5. kut2k2

    kut2k2

    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! :D
     
  6. kubilai

    kubilai

    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.