Do these findings mean that intraday only (scenario 3 - scenario 1) is only worth 59% over 28 years? That's interesting as well. So overnight only in a tax deferred account this strategy looks good.
Thanks- that was a long ass thread- from 2005 until now! I might paper trade this strategy but include SSO and UPRO (2x-3x).
Rick's thesis is not on the SPY. It is on the ES/NQ futures (mostly NQ). Try again, and to make it easier, just start from 2015. But do not forget to apply all performance bond changes during the time period. Good luck.
The amount of performance bond does not affect the tick value of a contract, and means absolutely nothing for calculating simple buy/sell or sell/buy profit/loss.
It looks like finance.yahoo.com has "NQ" data (they actually call it NQ=F when you type NQ in the symbol bar) going back to September 16, 2000. I can easily run the same analysis there. Does that work? If you are talking about some NQ futures data that I can't get into excel I can't run the numbers, excel is how I run all my numbers. Performance bond changes wtf???
It does because you have to include that in drawdown. TIME affects the tick value of the contract. In 1993 the ES was most likely more than $50 per point.
I don't apparently lol. So I'll model what I put in my last post, probably tonight, and post results.
Geezus... you have a knack for over-complicating even the simplest shit!! First, the analysis he did is session close to next session open. Secondly, there is no "time" affect with futures that affects the tick value of a contract. The tick value of a contract is fixed! It is the same value on the last day of trading as it was on the day the contract was first listed. All he needs to do is Buy or sell 1 share or 1 contract. From there he can normalize and tell you percentage profit and loss based on account value. He can use any number to represent 100% account blowup... but I believe 11K is the current exchange margin on ES. And it is the SP that is the mother of the ES... don't be a smart ass!