Many good answers have already been given, starting with Razzle. Whether or not your signals are completely random remains questionable. Over your sample, ignoring transaction costs, your method had a positive edge, and consequently the inverse a ...

Why inverting trades doesn't work?

Ok I'll give you a numerical example, and then a theoretical explanation. Lets assume you set your ultimate TP at 4R, and trail the stop once you reach a multiple of R. (Note that this assumption is made for the sake of simplicity, as the same ...

Trailing Stop Expectancy - A Mathematical Problem

You should give up on this if you aren't willing to crunch the numbers, in order to quantify your edge. The assumption you make is not correct, and the expected return remains 1R no matter how high the ultimate TP is (10, 20 or any other number).

Trailing Stop Expectancy - A Mathematical Problem

In a random market the expected reward would be 1R. If you believe the market isn't random, and have experience on how the market behaves after you receive an entry signal, I'm thinking you could use statistics to estimate the expected return. This ...

Trailing Stop Expectancy - A Mathematical Problem

I have yet to see a trustworthy broker offering a swap free account. Some have islamic accounts, but they tend to build in swap-like products with even more messed up margins. If the broker doesn't actually charge the swap, they have a negative ...

+$40 in rollover everyday

As a Dutch guy I'm suprised you're sharing how much money you made.

How much do you make a month?

Have a look at my results (sharpe of 1.12)

Standard Deviation Query

Yes, squaring negatives results in positives, and thats what has to be done in the Stdev calculation.

Standard Deviation Query

Before spread. Still seems like a market anomaly though.

Systematic trading

I also thought about this, and indeed you overcome certain problems. If you define the local extreme in a 24 hour domain, so that you compare it to the 12 hours preceding and the 12 hours following the bar, I still expect to see more extrema ...

Systematic trading

Nice results. A second step to explain part of the empirical results' divergence from a simple random walk model could be to study the price volatility throughout the day (hypothesizing that high volume and volatility occurs during the EU/US market ...

Systematic trading

I started plowing through the thread, and as soon as I saw the first bar chart with bar highs and lows by hour of the day, I was questioning why we see a lot of highs and lows at the opening hour of the day. The thing about statistics is that they ...

Systematic trading

When I spot a swing, I search for the longest timeframe in which the swing is significant. When this timeframe is found, I tend to play the trade according to that timeframe. (For example, you can zoom out on a 1 minute chart and identify a swing - ...

Minimum and Maximum swing sizes for applying Fibos??

No need to fix: I just hope they can postpone the crash to 12-21-2012

Perfect Head&Shoulder in Dow >> Massive Crash Again

Anyway I would like to stress that, assuming you have an edge, your optimal F is probably much higher than the general 2% rule (or the 1% rule that you are applying). Additionally, as I also already mentioned, it is really difficult to quantify your ...

Position Size vs Time Frame

Today is an interesting day by the way. They call it 'quadruple witching'. For those who don't know what it is, you should google it

Silent Service Method

I shorted it. I must say that I don't like the congestion in the area. I do like the butterfly pattern, the 50Fib, the MACD convergence on different timeframes, the long term downtrend.

james16 Chart Thread

I was looking at the GBPUSD chart, and noticed another butterfly pattern forming. It has been quite a choppy pair lately, but if I get a nice PA signal I might short it.

Silent Service Method

From my experience outsidebars and DBH/L can also be interpreted as continuation signals. However, I still see the price being in a problem area at the moment.

james16 Chart Thread

Doesn't your edge provide an indication of your ability to 'beat' variance for a given timeframe? Thereby making variance a useless concept in this discussion.

Position Size vs Time Frame