Steve2 Elite    Posts: 750 Joined: 10/11/2012 Location: Annapolis, MD  User Profile | Hi Steve, Things would be so much easier if market position outcomes were like flipping coins. Sadly, I think it's more like flipping a weighted coin where the market gods vary the weight on each flip. I routinely capture max winning and losing streaks on the simulations I do. Here's an example of how sequentially correlated position outcomes can be. My live portfolio consists of 23 strategies (20 RTM, 3 Trending), has a hit rate of 66.3%, TPM of 105.9, and a CAR of 98.6%. A 6+ year simulation (2008 to present) contains a maximum winning streak of 39 positions and a maximum losing streak of 30 positions. Let me add my thanks for all the contributions you've made to the forum. Your stuff is always an interesting read. Steve | |
