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So you will be taking on positions with a notional value of 100k plus? If so, then the results are going to look nothing like the stats that you have posted.
IB fixed rate comms start from 0.005 per share( min $1).
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
Can you help answer these questions from other members on NexusFi?
Because your Avg time in a market was 121min. A popular sub $300 stock could move $1-2 within that period. If your min position is 500 units and the stock is moving $1-2 dollars, you could be +/- $500-1k. So your Avg winning/ losing trade is going to be much greater than what you have reported.
How do you intend to get 10:1 margin from Trade Station? I assume your account size must be in the low six figures.
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
I see your point. 121min is not by any means a fixed number. The range is more like 1min to several hours. I don't plan to use TradeStation, I just used it as a reference to compare my options for commissions. Thanks for your input.
The performance numbers will be worse if you add commissions. Less net profit will mean lower Sharpe, profit factor, avg. trade, etc. Am I wrong here? I am a futures trader so my assumptions might be wrong regarding FX.
Back to your original post, any strategy that actually makes a net profit in live trading could be a good strategy. Personally, I calculate a reward/risk ratio to determine whether a strategy is worth trading live or not.
Hmm, well even when including commissions in NT8 Strategy Performance, the other parameters are not affected. So I think that it is measuring your strategy's fundamental performance characteristics. Yes, if commission were factored into each trade, I think that it would be much worse. I agree, we have lots of work to do to get my risk/reward ratio up!
Thanks. I see. I definitely went back and created a commissions template after creating this post. I guess it didn't affect my performance parameters very much, so you're right about that (sharpe ratio, profit ratio, etc are the same).
What's interesting is that it didn't include my commissions in my net gain. The performance results calculated commissions, gross gain, and gross loss separately and used netGain = (grossGain - grossLoss). So I had to subtract commissions manually. Does it do that for you as well?
Hmm. I'll have to ask NT support about that then. Yeah, I need to use replay because my strategy uses tick data. Nice results (: Your commissions are super low. I'm assuming you're frequency is less than 2 trades/day. Very nice PT as well. I don't know if I could survive that Max draw down though haha.
