The risk protocol: the terrain decides

Risk is not a universal number, it depends on what you are after and on the rules of the environment you trade in. The competition trader who published his protocol distinguishes four terrains, each with a different goal and different constraints, and he insists on a point that backtests forget: real costs turn a winning strategy into a losing one, especially in scalping.

Real costs

He insists on validating models with real costs, commissions, slippage, liquidity limits, which turn a winning backtest into a losing strategy, especially in scalping. His own competition results (a net return of 54.6% for a maximum drawdown of 0.42% in a competition run by the exchange operator, by his own account) are presented as atypical and not reproducible. It is the same honesty as the module 11 lesson on expectancy: 0.06 to 0.08R of costs per trade, and a method that does not exist below 0.10R.