Thanks, Matt.

    SPY Multi Entry System trade examples

    Posted by lessarda on 26th of Apr 2011 at 02:16 am

    I knew you had to have considered the 2x non-compounded return disparity. It makes sense to me to start with 100% allocations to the instrument of one's choice on the first signal in order to get everything that the single entry system would give, and then add on when multiple signals are generated. There have only been 58% more trades generated in the multi-entry over the whole backtesting period, so one isn't really allocating that much more capital that often to capture the higher winning percentage. That is, one rarely would get to the 2.5x commitment of capital, and not even get past 1.5x all that often, all things being equal going forward. The backtesting makes it clear that as the system works, there is much more bang over time for $'s committed in the 1st trade of each signal. So even if someone only went from 1x to 1.5x overall, the results would be better than .6x to 1x. The capital constrained could get creative on leverage after the 1st trade, etc. A lot of possibilities come from a solid underlying system. Thanks again.

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