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Strategies & Market Trends : DAYTRADING Fundamentals -- Ignore unavailable to you. Want to Upgrade?

To: KymarFye who wrote (14224)	9/22/2001 6:46:00 PM
From: Eric P	Respond to of 18137

No trading system can protect you from getting hit by a bus either. That is for sure. This would include any system that was unfortunate enough to have you long on the evening of 9/10/01! -Eric

To: KymarFye who wrote (14224)	9/23/2001 5:07:07 AM
From: fut_trade	Read Replies (1) \| Respond to of 18137

"I don't customarily apply chi-square tests to my results" I should have used a symbol like: f = profits - losses - X% * drawdown It's been a while since I've solved optimization problems and I've forgotten some of the nomenclature. I just tried a few problems using drawdown in the optimization function, and it doesn't seem to make a significant difference. Here are results for trading 1 e-mini contract making no more than 2 trades per day: (I used data from 1982 to 2000 to optimize f so the current model is independent of 2001 data): contract profit drawdown % days traded es1998h -43 1095 38% es1998m 150 2458 46% es1998u 4371 1043 46% es1998z 642 1748 43% es1999h 3208 2174 49% es1999m 6470 1746 46% es1999u 426 1265 41% es1999z 4089 868 35% es2000h 6917 1484 43% es2000m 1489 1900 38% es2000u -3935 5141 49% es2000z 3551 5375 43% es2001h 1170 2157 39% es2001m 2147 2267 44% es2001u 5195 581 40% es2001z 176 0 33%