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Strategies & Market Trends : ajtj's Post-Lobotomy Market Charts and Thoughts -- Ignore unavailable to you. Want to Upgrade?

To: Sun Tzu who wrote (82132)	10/18/2023 9:08:38 AM
From: Qone0	Read Replies (1) \| Respond to of 97593

Simple is usually better. The more complex the more indecision. What does SL mean?

To: Sun Tzu who wrote (82132)	10/18/2023 2:26:30 PM
From: Sun Tzu	1 Recommendation Recommended By ajtj99 Read Replies (1) \| Respond to of 97593

Now that I can at least sleep talk, I'd like to talk a bit about algo 2. One of the ways to judge how good a trading algo is (and this is by no means the only way or even the main way), is to look at how much profits it generates relative to how much the stock has moved. For example, below is the chart of spot oil prices. On August 24th, the algo took a long position @78.58. The PNL at the time was 574.43. Today it took a short position at 87.03 and the PNL stood at 601.76. In other words, if you had perfectly guessed the direction and bought oil back in August and had kept it till now, you would have netted less than 10 points in profits, but the algo generated more than 27 points during this time. In other words, it is about 3x more effective than a buy and hold that gets the direction right. Here's how it went about for natural gas. It went long NG @2.48, PNL = 66.486. Now NG is at 3.075 and PNL = 67.97. So a mere 0.59 move generated 1.49. This is 2.5x the buy and hold, IF the trader had gotten the direction right.