@Anagami: If you talk about optimal f, the results will be terrible for scalping, once you include

-> the spread as created by using stop market orders (stop loss) and limit orders (profit target)
-> slippage
-> commissions

You cannot make any case for scalping if you use any realistic mathematical model. Below is an example which shows two systems, both with a winning probability of 60% and a R-multiple of 1. The first system uses a target and a stop loss of 10 points, the second system uses a target and a stop of 20 points.

The results are appalling. The 10 point system requires 6302 trades to achieve the target of doubling the account, the 20 point system only 218 trades. Even if you take into account that the 10 point system will generate about 4 times as many trades than the 20 point system, it will only have generated 872 trades out of 6302, when the 20 point system is already done.

Spread, slippage and commissions have a huge impact on scalping systems, this is the reason I never will do scalping with my retail account.

Thanks. These are very interesting results @Fat Tails, and they do give me a pause.

HOWEVER,

notice that I did not define scalping as trading on a very short timeframe where spread, slippage, and commissions are such a huge factor that they eat you up.

I defined scalping merely as a 1:0.5 RR. You can use this ratio while trading a longer timeframe where those things are not such huge factors.

What do you think?

You cannot define something, which is already defined. Scalping is

(1) a legitimate method of arbitrage of small price gaps created by the bid-ask spread.
(2) a fraudulent form of market manipulation
(3) a legitimate method of trading based on quick momentum trades triggered by order flow reading setups

We were referring to 3, quick momentum trades. The main characteristics of a scalp trade is the shorter timeframe, not the win ratio.

I assume by "vig" you mean "vigorish":

[I]Vigorish, or simply the vig, also known as juice, the cut or the take, is the amount charged by a bookmaker, or bookie, for his services[/I]

And to clarify, would maximum draw down represent the MIN values as a percentage of the 100 unit base that you use to start the calculations; or does it refer to the minimum value encountered at the end of the 386 trades?

Thanks, Anagami for your work here and also thanks to Fat Tails for his contribution.

@Anagami: If you talk about optimal f, the results will be terrible for scalping, once you include

-> the spread as created by using stop market orders (stop loss) and limit orders (profit target)
-> slippage
-> commissions

You cannot make any case for scalping if you use any realistic mathematical model. Below is an example which shows two systems, both with a winning probability of 60% and a R-multiple of 1. The first system uses a target and a stop loss of 10 points, the second system uses a target and a stop of 20 points.

The results are appalling. The 10 point system requires 6302 trades to achieve the target of doubling the account, the 20 point system only 218 trades. Even if you take into account that the 10 point system will generate about 4 times as many trades than the 20 point system, it will only have generated 872 trades out of 6302, when the 20 point system is already done.

Spread, slippage and commissions have a huge impact on scalping systems, this is the reason I never will do scalping with my retail account.

Harry (@Fat Tails) The # of trades that it takes to reach a target is useful as a comparison benchmark only if the systems are taking the same trades or if the same number of trades occurs in the same time period.

1) Are both systems in your example taking the same trades?
Not at at all! A trade that is 60% certain using the 10/10 system is not necessarily 60% using the 20/20 system. The latter is a much rarer occurrence.

2) Is the same number of trades occurring in the same time period?
No. Same problem as number one. The 20/20 system simply cannot take the same # of trades at 60% as the 10/10 in the same time period. You're comparing apples and oranges.

Consider:
Say both systems have been trading for some time period which we shall call X.
Say at the end of X, the 10/10 system completed 20 trades.
Where is the 20/20 system? How many trades has it completed?

The 20/20 system has completed many times less trades (maybe 5, maybe 7...etc.) than the 10/10 system in the same time period (X).

Which is ahead at this point in time (X)? Not the 20/20 system.

To say that the 20/20 system gets to the target much faster because it requires less trades is misleading because it takes many less trades than the 10/10 system in the same time period.

[B]The 20/20 system gets to the target faster in terms of the # of trades, but it is slower in terms of time.

Endless debate about putting trading records up. I for one will not do it because they are private and can be fabricated on a message board like this anyway. So it is moot.

This is definite doable and I think mistake to overlay your own experience onto what others have done and can do. I will say key though is to setup system that needs much less than 60% to survive and make money.

Not trying to defend any side, but I don't see what is so personal if someone put up trading records and remove personal info, i.e. name, account number. @Anagami presented results for combinations of R/R and profitability expectation, he did some homework. Just throwing hands in the air without substantiating a disagreement with real data or some sort of statistical analyses is not a credible argument.