Hi N. Sorry I took forever to respond. Thanks for your comment. I missed the position level analytics in the post. I am coding an QC'ing the analytics in detail and will make my next post about it. Probably I should include these analytics in this post itself. The win rate of the system with 10 position cap and momentum entry ranking is …
Hi N. Sorry I took forever to respond. Thanks for your comment. I missed the position level analytics in the post. I am coding an QC'ing the analytics in detail and will make my next post about it. Probably I should include these analytics in this post itself. The win rate of the system with 10 position cap and momentum entry ranking is 46%, for a total of 678 positions in 20 years. Median trade duration is 56 bars, mean is 73 bars, and longest trade ever is 376 bars, for London Cocoa, exiting May 2024. The longest drawdown was 595 days (425 bars) from April 2006 to Nov 2007. There were 4 drawdowns longer than 300 days.
Hi N. Sorry I took forever to respond. Thanks for your comment. I missed the position level analytics in the post. I am coding an QC'ing the analytics in detail and will make my next post about it. Probably I should include these analytics in this post itself. The win rate of the system with 10 position cap and momentum entry ranking is 46%, for a total of 678 positions in 20 years. Median trade duration is 56 bars, mean is 73 bars, and longest trade ever is 376 bars, for London Cocoa, exiting May 2024. The longest drawdown was 595 days (425 bars) from April 2006 to Nov 2007. There were 4 drawdowns longer than 300 days.