Scalping portfolio

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

Analytics

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%




  Morning notes
Scroll to Top