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GC Swing Trading Algo


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GC Swing Trading Algo

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  #1 (permalink)
 Massive l 
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Curious which GC algo you'd trade if you had to pick one. RTYvolumeRTY is not one of the choices.

https://docs.google.com/spreadsheets/d/e/2PACX-1vQtYMx9Hv0frX-JtJzR8f94lXq_XDiCFJ0kXYYnoFMaltY8NIviqngw0b77-D402QWgJP8P9DR449Wj/pubhtml?gid=1074872722&single=true

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 vmodus 
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Massive l View Post

For me, there is not enough data. Give me 10 years of trades and then I can make a call. This entire year is a black swan year in my humble opinion, so the results are going to be skewed. The other problem I see here is the ROE is not realistic, as you can't trade gold on an account that size.

RTYvolumeRTY looks the best to me. I strongly consider profit factor, but I work from 'adjusted profit factor', which is a number TradeStation spits out as a worse-case scenario profit factor. However, I would also want to run these trades through Monte Carlo analysis, take a look at max drawdown and risk of ruin. Other points of concern is in-sample versus out-of-sample data.... trying to avoid curve fitting.

But that's just me.

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 addchild 
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Massive l View Post

If I HAD to pick i'd probably go with "RTYvolumeGC_3+4" as it has the largest sample size and looks like it has the smallest std dev (though just did back of the envelope based on your avg win and avg loss).

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 jokertrader 
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I would look at the ratio of the largest loss to average win all things being equal


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 SMCJB 
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RTYvolumeGC_2 had a starting capital of $10,000 made $50,150 and had a largest loss of $18,700 but has a risk of ruin of 0? With 32 trades that trade is 3.1% of your trades so I would have expected the risk of ruin to be quiet high?

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 Massive l 
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SMCJB View Post
RTYvolumeGC_2 had a starting capital of $10,000 made $50,150 and had a largest loss of $18,700 but has a risk of ruin of 0? With 32 trades that trade is 3.1% of your trades so I would have expected the risk of ruin to be quiet high?

The don't have the formula for risk of ruin defined yet.

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