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NinjaTrader Failure:
- Optimize 30min time frame it takes the same time than optimize 1min time frame.
- When you make backtest or optimize and appears a big gap, and there was a limited entry order the entry price does not run at the opening level of the next bar.
Multicharts Failure:
- Using IB with friends and family account, only can see the accound by de "ID" like U1232123, U333444, U565656... You can't personalize the account name, for example: Paul, Enri,... Now imagine that you are working with 10 different accounts
- Using IB with friends and family account then the total money that exists in each account is not truly shown. For example, an account have 30.000€, then get lost 1.000€, logically they should be seen 29.000€, but Multicharts continues showing 30.000€
My personal excel now is only for optimization and backtest. It is simple but work just as I need.
I need SQN? I have SQN.
I do not need to see decimal numbers in the average profit.
Then I see what I want, the way I want it and without mistakes.
In Tharpe's book, he talked about the drawback of the SQN, that it can be distorted by a large number of trades. So, his remedy is to truck number above 100 to 100.
So,
If (Number of Trades >=100)
SQN =10 * Average Profit/StdDev(AllTrades)
While in this case, the favorable number of trades is only between 30 and 100. This range is quite small! And when I used SQN to evaluate the system quality, it seems to have a bias toward small trade numbers between 30-100.
How do you guys think of that? Is there a way to remedy this?
I believe that IS the reason he designed it that way.
It is designed to be bounded.
It is like an oscillator in that sense that the numbers are RELATIVE.
Thats also what makes it so powerful as you can compare systems with a fairly tight correlation. Even in completely different systems.
But at the same time you can understand your own system and see where it lies on the SQN scale (if your have your numbers).
You can also compare your system to it's self at different time periods. Or two of your systems against each other over the same period of time. It is quite powerful.
So the point is yes you can have a thousand trades in there. It just becomes less sensitive as the trade number increases.
One way to fix that might be to examine "chunks" of trades by time. Say a rolling once a day or week or month depending on how often you trade.
From there you'll have a daily or weekly SQN that you can compare to last week or the week before. You can also add all weeks together and divided by the amount of weeks to give you the total SQN as ANOTHER way of parsing the information and to make comparisons.
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."