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I attached a strategy report for a system I am developing. What I find puzzling is that the Average Run Up is +.65 and the Average Drawdown is -35. This system uses 1.5 slippage and 5 drawdown value.
My interpretation is that on average this system when a signal is generated runs up +.65 and drawsdown -35.
This implies to me that this "should" be a profitable system when in the market at all times as is now but it actually looses money after slippage and commission.
When I alter this or other systems that actually have better run up drawdown ratios to utilize profit targets and trailing stops trying to "capture" the profit they ALWAYS end up doing worst.
This is really driving me nuts. I have been working for years trying to develop something that makes money intraday, utilizing 1-5 minute data and it's perplexing that even when something actually has very favorable run up drawdown ratios, when you actually put in the money management code to capture the "run up" it disappears.
I would appreciate any help you could offer, and wanted to thank you again for all your help and in particular the recently published sample programs, you have no idea how helpful they are to me.....
trying to tweek them to make money intraday, but it's a tough nut to crack......
glen demarco [email protected]
My interpretation is that on average this system when a signal is generated runs up +.65 and drawsdown -35.
This implies to me that this "should" be a profitable system when in the market at all times as is now but it actually looses money after slippage and commission.
When I alter this or other systems that actually have better run up drawdown ratios to utilize profit targets and trailing stops trying to "capture" the profit they ALWAYS end up doing worst.
This is really driving me nuts. I have been working for years trying to develop something that makes money intraday, utilizing 1-5 minute data and it's perplexing that even when something actually has very favorable run up drawdown ratios, when you actually put in the money management code to capture the "run up" it disappears.
I would appreciate any help you could offer, and wanted to thank you again for all your help and in particular the recently published sample programs, you have no idea how helpful they are to me.....
trying to tweek them to make money intraday, but it's a tough nut to crack......
glen demarco [email protected]