Programming

I think rather than randomly generating 10,000 positions and testing to see which one is profitable, it might be better to generate a file of realistic positions and use that. There are some that look fantastic P&L wise, but all that would be gone from slippage alone. Besides the fact, it takes about 15 minutes to run, definitely not something I could run on the fly.

Edit: I take this back somewhat, this is producing interesting results. I just needed to make a few tweeks.