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A trade will only be taken, when historically the win rate is good, the points profit per trade is good and the number of trades is good. Nothing new here.
What is good?
Well, that depends on a mix of these 3, but I’m trying to stick (for FDAX) to >67% win rate, >10 points per trade and >8 trades.
And then some sub rules, like only trade based on 8 trades if it has a 100% win rate.
Also, like today, when the number of trades (32 today) is higher than the often 15-20, a slightly lower win rate is ok.
Today I’ll started working with SumR.
In 2010 the 10 points per trade (that I want to see as a minimum for a trade) with a DAX price of 6000 has more value than 10 points today (>25 pts).
So, we created a relative result, which is the result in points divided by 9:00 open price of the FDAX. We multiply this by 10000 to have a number that we can work with.
With the DAX on 16000, I’m looking at the number 6,25. So, when the SumR is 464,4 based on 32 trades, that would correspond with about 23 points today.
I have been reading through your journey/thread; congratulations on the progress that you have achieved since (almost) a year ago, and thanks for sharing it here. It takes a lot of endurance and self motivation to persevere in sailing through the mist, knowing there is a shore somewhere.
I wish you all the success moving forward, and will be following
Yes I am, I created an algorithm designed for crypto volatility, based on mean reversion on small and medium timeframes, it is designed to hold for a short term with a maximum of 8-12 hours.
The alpha plays out in the first 30 minutes generally.
I am looking to diversify and want to make my move back to futures this year, I am still in my decision making process, I have been a user of (too) many different platforms and data providers in the past.
Also been developing strategies/research in many different languages and backends. However my last (DAX) future trade must have been 4-5 years ago, and a lot has changed.
One thing algo trading has teached me is to focus on the process, and then let the edge play out, so I am now very picky in my workflow selection. But I need to decide on things like if I am going to run my research on a platform or if I am going to use/develop my own, or perhaps a combination. I've been using Investor/RT (and others) in the past for studies, but now also have my own scripts in R for example. I am not sure where to go yet, more research is needed. Journals like yours are a good way of collecting other people experiences, so thanks