Recent content by no_pm_please

I found lots of useful info. in the backissues, here. http://www.iitm.com/weekly_update_backissues.htm

And lastly...er2 results from July last year to the present.

Results of trading from the last few months in ES. Obviously it's current trade is way underwater...so far.

And the equity curve. Looks about as good as most stuff I've tested.

Here's the yearly report.

Here's the overall summary from 1995 - 2006. Looks pretty decent for a system with no stops. Largest losing trade and only losing year were in 2001 due to being long during 9/11. Throw out that trade and all years would have been profitable.

Here's the code for TS200i using 60 min. bars.

Want to post your calls? Put'em here. I've done some backtesting and found what looks like a decent dip buying system (as long as you love unlimited risk...lol). I'll post the TS code and backtesting results for the past 10 years in the spirit of the site. Just have to wait until the markets...

Is this real trading? I noticed the CFTC hypo. statement on your website. If yes, do you have a link to the statements to verify the called trades?

I've revealed lots of stuff because I thought showing the structure might help others. I don't worry about strategies going away because the markets are not static. Since they constantly change, it's up to us to change with them. If the markets were static, quants would rule and everyone else...

I'm going to check out other options such as overlapping multiple models that might have a even better payoff.

Yes, that's true. We've been in a lower volatility environment for years than from the 90's. It's also consistent with the use of a single variable for all periods. The single variable model is not very useful when we've seen a huge change in market volatility over the years. We all know as a...

Probabilities in trading isn't a easy project. First you have to create a artificial normal distribution. Then you can apply probability techniques that are only estimations. It would be much easier to do one on a game like blackjack where there is a solid structure.

You can keep your risk low by doing a long term trade and add multiple positions. Only add a position once the stop for the previous position is in the money. When you lose, your losses are small. When you win...you can win really big.