Certainly an expense, but I think your strategy is long term enough that they won't play as much a factor, though it remains to be seen.
Right now you're at 1.5 points/round turn. Assuming $3/round turn commission, you're still a long way off from eating into the P&L. That said,...
I believe it's set by the broker on the back end. Otherwise, right click on one of the orders; then click "Close By" and click on the offsetting...
Then we agree to agree, an ET first!
I should clarify: it looks like there is a pattern of a string of losses, punctuated by a string of wins, and I wanted to test whether this was...
[ATTACH] P&L distribution: maybe random, maybe not.
Solid, must feel good coming off of last week?
how much do you think the trades you skip are worth?
3380 is net of commish?
Wow, post of the year. All in favor?
I'd also add, 2 trades make up basically all of the return, which goes along with "take every signal" and "you'll never know distribution of...
Thanks for the explanation.
Given that it's been such a great year, does that make you nervous that your 25% vol estimate might not be a good estimate (or that, say, its 95%...
ugh, sorry, I meant "return" not Sharpe. Too much Sharpe on my mind these days..
You expect a Sharpe of 12% unlevered, yes? Perhaps this is obvious, given you've returned nearly 100% on your starting capital.
Makes sense. There used to be a guy, ammo, that posted here. I believe that one aspect of his strategy was once he hit a certain drawdown for the...
why withdraw the 25k? just curious.
Quote from the forthcoming book? Will you reference some of your Python code in the book (not necessarily the "secret sauce," but mostly how to...
Making this look waaaay too easy :cool:
@2rosy when is it more appropriate to use C# as opposed to Python? Just curious..
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