Recent content by palm

Thank you all for your comments. The reason I compare returns distribution of the 2 is that I want to understand how 2 trading systems with exact opposite philosophies both works. Here are the systems that produce the returns distribution you saw above. For Momentum system, long if closing...

Hi, Thanks for your response. I'll try to clarify my questions. 1.) I group breakout and trend-following under the same type (Continuation of price). Is there a fundamental difference between the two? 2.) The CON system is a Breakout system with Time-Exit. In fact, both system have the same...

Hi All, I am now trading continuation systems and would like to add a mean-reverting system to compliment my portfolio. I compare the returns distribution of the two systems below. (pls see attachment) The red curve is for MR while the green one is for CON systems. Both have positive...

Hi, I also ponder your question. I think if you like the backtest results, you should attempt to trade them all! I did this with my latest system (short-term breakout in stocks). So i would try to capture every signals and doing so by divided my total cash into small size. This, i reasoned...

Hi all, I’m trying to develop day trading systems for stocks (close position at the close) because I have some idle cash in my account. The problem is whatever bias I found in the markets is not big enough to beat trading cost (commission and slippage). So I would like to ask how much are you...

Hi all, I’m trying to develop day trading systems for stocks (close position at the close) because I have some idle cash in my account. The problem is whatever bias I found in the markets is not big enough to beat trading cost (commission and slippage). So I would like to ask how much are you...

Sorry i messed up the table

Method Suppose i have a trading system A which has historical 100 trades data. I ran simulation 10,000 trials and look at the worst drawdown that this system A could have produced by chance alone. Let's say that System A has max simulated Drawdown (DD) at -40%. Now if I set my maximum drawdown...