I close the scalping portfolio after completion 1 quarter, tired of this constant website crashes. Since the trade is sent for execution over the Internet, This results in a strong slippage on such volatile instruments, like copper. There have been cases of 30-40 cents when buying and selling. ES is more or less normal also because, which is more liquid.
Periodically, maybe I will experiment on it then, what I don’t do in the model.
I leave only the main model portfolio, which I will periodically show.
C учетом комиссии 2.20 per side
Statistics
| Trades | 903 |
|---|---|
| # Profitable | 491 (54.4%) |
| Avg trade duration | 1.6 hours |
| Annual return (compounded) | 355.8% |
| Average win | 6 |
| Average loss | 6 |
| Profit factor | 1.1:1 |
| Max peak-to-valley drawdown (historical) | 13.54% |
| drawdown period | Oct 08, 2009 to Oct 27, 2009 |
| Correlation w/ S&P | -0.219 |
| Sharpe ratio | 3.583 |
| C2Realism Factor | 93% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 19.5% |
| Chance of 20% account loss | 2.4% |
| Chance of 30% account loss | 0.0% |
