I know I could start daytrading 1 ES with $1,500 and grow it. It's not enough to live on, but it is enough to succeed over time.
Just for grins, I thought I'd post the results of one of my daytrading edges over the same period. This is a breakout edge:
The difference is caused by the neither the profit target or stop loss being hit. In that case I put in a exit MOC to make sure we start fresh...
And here's the results of the 60 min. breakout. Both were done using the 1% of SP 500 target.
Here's the results for your 30min. breakout:
I thought you guys were done. Here's the results this test:
Here's the results
Here's another twist. The one day std. dev. has been about 15 pts. since 1997. Here's what happens when you truncate the loss to 1/2 of a std....
Here's something that may be a bit interesting to those using profit targets. How about a test with a 3 point stop and NO profit target. If not...
And last, here's the equity curve over the 4 1/2 period for the first test. You can see the behavior has been consistent throughout the test...
Here's the TS code for the first test in case anyone else wants to compare results.
Here's the second test results. Since you only had one variable to check I just reversed it. A random test would be meaningless as we'd need to...
I noticed in setting up for the test, that you wanted emini data before the open till the stock close. I don't have that. These tests are on the...
I'll do both tests for you, but it'll have to wait until the market closes (45 min.)
Here's a little spreadsheet that will help you understand the effect. In the A column is the size of win as % of the equity risked. You can see...
I couldn't find one online that was so straight forward. Here's one that has a good introduction to the Pareto-Levy distribution and the...
The distribution of returns for stocks is not representative of a bell curve. It's more like a Pareto-Levy distribution with fat tails and a...
Sit tight -- this is a trend day. If you must, move the stop to under the 20 period MA on the 5 min. chart. Trend days usually bounce along the...
When did you net 90+ points on 1 intraday trade? The largest intraday range I could find was 75 pts. on 7/24/2002.
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