Recent content by TAM

The slippage I mentioned was not assumed, it was observed by comparing actually trades with back tested trades during the same period. It should be more meaningful since this is actual slippage. The other thing is that I always use market order, not limit order. This may be why the slippage...

This is monthly return chart

To give more color about the result I would like to post the related return curve and chart. Thanks for any further advice.

If you read my previous post carefully, you should notice I also have real-time trading results. The problem is that my real time result has only a few months, that's why I come here seeking more experienced advice. I did compare back testing and real time results, for most trades the...

I posted the real life return in previous post already. Want to post again here. Win ratio is one aspect, don't you think average winning trading is also important? Eventually Net Profit = Average Winning Trade X Number of Trades Is this correct understanding?

To Murray: That should be a good way to test. I haven't tried that. To my limited knowledge, Ninja platform allows me to test on a group of pairs but show results for each pair separately. I may give a try when I have time.... Thanks

To intradaybill: Good point too. Holding positions for 3 days is not my intention, it is just the optimized result for AUDJPY. If you check the GBPJPY result I posted, the average holding period is about 1 day. For USDJPY, it is about 1.5 days. To me, this is a medium-frequency instead of...

To Big D: Thanks for the advice. Good point. Although there could be possibility of over-optimization, I remember for most optimization runs the optimized point is not a spike. There are a fair amount of points close to the optimized one. Actually in many cases it is hard for me to pick the...

Based on my study, different pairs show different patterns / cycles, mine is a simple strategy that only use a few parameter to determine trades. It is hard to find a simple algo that fits all. For example, the strategy that works well on AUDJPY generates zero trades on AUDNZD. I have another...

This is real time trading result for two months including March. The system actually performs better in real time than back testing during earthquake period.

Thanks for the comment. The same strategy performs similarly on other JPY pairs such as GBPJPY, EURJPY, and USDJPY. But for different pairs the optimized parameters are different. It is a simple strategy, using the same parameters on other pairs can lead to profit but not as good as optimized...

This test is on 15min AUDJPY using NinjaTrader with Gain data. Any comments on the result? Thanks