Replies to post #295 on exp system

[exp]

WLD, as I stated before, my goal is to capture the maximum possible percentage of that 50% average total NDX daily % changes per month. I am constantly analyzing NDX data to see what percentage of that 50% monthly total is achievable on average (consistently in the long run). It is really mainly a question of what's theoretically possible given the probabilistic behavior of daily NDX changes. An approximate answer to that question should imply a corresponding actual monthly trading return.

My conjecture is that capturing 10% a month of NDX daily changes is the theoretical limit in the long run. This 10% a month is equivalent to a net 20% of 50%
(simplifying, assume 60% of wins and 40% of losses, so
expected value= .60(50%) + .40(-50%) = 10%).

Capturing 10% a month in NDX translates into capturing 20% a month in Profunds (ignoring compounding effects). 20% a month equals about 9-fold increase per year or 800% a year. This 800%, I believe, is the theoretical limit for EOD NDX trading in Profunds. If I am correct about 20% a month as a theoretical limit, then 15-20% a month may be achievable in practice.