Traders' Roundtable

For swing trading of 2-3 days, I use whichever of (yesterdays Low) or (yesterdays' close - 25% of ATR(20)) is the greater (for Long trades).

For medium term or longer systems, I generally use a similar mechanism with the ATR factor being larger, and/or an ATR multiple calculated from the highest ...

Their name is misleading since they are not really free, at least not here in Oz. They have also soured their relationship with most of their client base with their ad hoc changes.

True.

Deal4free will no longer be commission free in Australia from 12-Jan. At least we got a months notice on ...

My apologies. I associated the hourly phrase with the advancing issues. My reading skills are obviously deteriorating.



Peter K

S&P 500 Historical Cash Prices can be obtained free from www.yahoo.com under ticker ^SPX. The data goes back to 2000 only.

Peter K

To answer the original question, if a trend-followers typical target is 40% winning trades, with av profit:av loss ratio of 2:1, then for each dollar risked in a trade, the expectancy is $0.20, i.e.

40% * $2 + 60% * (-$1) = $0.20

I think your R is effectively the same as the above calculation, and ...

I have also seen Monte Carlo used to simulate random selection of trades where it was likely that multiple trades were offered on the same day over a portfolio of stocks or commodities, and money management would not allow all trades to be taken.

In this instance, the backtested trades are not ...