The figure shows the result of Emini Futures Day Trading Algorithm, backtesting. The algorithm is an implementation of the Statistical Mechanics of Day Trading.
But in real trading wouldn't it likely be the case that when simultaneously placing a buy and a sell order, both with 1/4 1SD stop loss (approximately 15 points with sp500 at 4132) that both positions would almost always be stopped out the same day and no winners would run or very rarely?
The white swans part is the answer to your question. Keep in mind that this is an introduction, a real life algorithm needs hedging and other working parts.
But in real trading wouldn't it likely be the case that when simultaneously placing a buy and a sell order, both with 1/4 1SD stop loss (approximately 15 points with sp500 at 4132) that both positions would almost always be stopped out the same day and no winners would run or very rarely?
ReplyDeleteThe white swans part is the answer to your question. Keep in mind that this is an introduction, a real life algorithm needs hedging and other working parts.
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