The Black Box

[exp]

Hul, thnx for great info...a few points:
(0) it was NOT me who did work with fractals...also i never had any website...so, whose work are you referring to here?

(1) i wonder if being in the market every day is optimal since on many days the probabilities of up/down are very close to 50/50 (unless your signals are quite definite or you are riding a trend)

(2) position size as % of acct is really key imo...a very very difficult math/stat problem though...any more info from you would be great as it often determines the level of trading success

(3) this "smoothed-out" cash flow model closely corresponds to your results:

 
         aug1  sep1  oct1  nov1  dec1  jan1  feb1  mar1 
 gain            10    12    12    12    12    12    10 
     
 before   100   110   122   122   122   122   122   120  
 cashout 
 -------------------------------------------------------- 
 cashout  - 0   - 0   -12   -12   -12   -12   -12   
        ================================================= 
 after    100   110   110   110   110   110   110   120 
 cashout 
 

Initial acct=100, Final acct=120, Total cashouts=60(50% of 120)

Note that your gains were in the 10-11% range every month or
3-3.5 times the initial amount after 1 year...
this translates into 200-250% annual gain which is very very impressive imo..congrats...

george

p.s. i am really really excited about your system and your trading approach as my trading approach is conceptually very similar to yours