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I changed my backtest to 2001 - Oct. 2006 to see if it showed any curve fit tendencies. Here's the annual summaries with the 2 additional years. The profits in 2003 got a boost because the 100 bar exclusion in TS wasn't affecting it anymore.

Here's the net profit chart to parameter value. Some pretty noticeable improvements over the take any trade strategy.

So, I'd go short on a cross below 45 and go long on a cross above 55? Stops on a cross back to avoid a big loss? And use some trailing stop to treat it as a breakout?

And the last I'll post on this is the annual performance. You can see it's pretty consistent.

Here's the code that generated the TS report. I forgot to mention I included $30 for slippage and comm. per round-turn as well. If it ends up being less, then thats great.

Ok, I did lots of tests to figure out what I can use to trend trade the emini. In the end I found a combination of using pullbacks in a trend and the addition of locking in larger than average profits worked well enough to say "I'm done". Also, it seems my original profit taking point should...

Thanks for the book. I'm not really into systems trading. I use it mainly for trying to understand market concepts. Then I use lots of screen time to come up with my trading approaches. In the end most everything I use can't be converted into code, so I don't try to do automating.

When you increase the length of time in bars you normally have fewer trades and hence lower profits. I was looking at the sum of the profits to see how much of a drop there was from 15 min. - 30 min. and from 30 min. - 60 min., etc. The 60 min. looked like a good compromise. At 120 min. the...

Optimize from 10 - 99. Then view the optimization. Move over to the average trade column and sort it in descending value. Then go down until the average trade drops below $80. Then move to the start of the row and see what number it is ex. 1 - 90. Then use that number to divide by 90 (number of...

So where am I at? So far we found there were some trends, though the parameters aren't stable. Up until now all we've been doing is checking general trendiness in the data. 2004 looks like it was a pretty good year for this method. All the others have unacceptable results. The next step is to...

Sometimes you can find hidden relationships using the graphs by switching the x and y axis. Here I swapped the net profit and parameter settings and plotted the graph. We could see the higher parameter settings had some profit but here you can see them trending higher (with plenty of noise). So...

Here's the optimization graph of parameters to net profit. The parameters from 10 - 99 are the x axis and the total net profit is the y axis. Notice how the lower parameter numbers are all underwater. If we avoided the lower numbers we'd have a pretty wide area where we could have made a profit...

For the next step I went and optimized on all the data from 2003 - 10/31/2006 using 60 min. bars for the data. To do this test I added a cost of $30 per-round turn to reflect the loss of a tick on entry/exit and $5 comm. The optimal parameter was 77. Here is the annual performance for those...

Finished doing the tests. For the tests I used backadjusted data from Tickdata.com from 1/2/2003 - 10/31/2006. I used 100 for Max number of bars strategy will reference and optimized by total profit. I ran optimization tests for each year separately from 10-99 so a total of 90 tests were run on...

If you want to check your results against mine, here's a example: Here's a test run on 15 min. ES data for 2003. I used 100 bars for the max lookback, 43 bars was the optimal per. I assume no slippage or comm. costs. You can see the basic idea follows the trendfollowing idea.

Here's the tradestation 2000i code for those interested in trying it for themselves.

Fully disclosed of course. lol. So, I was flipping through the Dec./Jan. issue of Trader and came across this quote "Trade with a trend, ride the winners, cut the losers. How you do it doesn't matter" from a past market guru. What the hell I thought, I can do that in my sleep. Let's see if...

In the absence of a trending market, tops and bottoms can reliably be called using simple divergence strategies. Here's one I posted and tracked: http://www.elitetrader.com/vb/showthread.php?s=&threadid=20761&highlight=nopmplease Consult a higher timeframe to determine when conditions are...

When I came here and started this journal I was very excited. Since then I've lost interest in continuing. From now on I'll keep my ideas to myself. Sorry to all those with a interest in the topic. Just too much negativity for me to bother. I'm done with this thread and ET.

Stopped out at 1305.25. I like the upside today. I'm looking to re-enter if 5 min CCI crosses back above the average. I know I'm ignoring the rules. I figured since the rules can't be coded anyway I might as well just trade the way I did last month (which is to use the method as a guide...not...