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95% of backtesting is probably useless IMO. That is unless you are doing something very unique and you probably will not get to that stage until after years of work. If you are using "time interval" charts you might as well give up now. Most of you are really marginalizing this effort. It...

1 ) Slippage was misrepresented - Let's take this a step further. When you trade 5-10x a day and your estimation of slippage is off by one tick I can almost guarantee you will be a net loser and see the same upside down equity curve I did. All it takes is to be off a half of a tick...

you > me

Define proper backtesting. Then after you define it tell me what software will let you perform your "proper backtesting." It most likely will not be anything you will be able to utilize. Proprietary software ( a small percentage of it btw ) will be the only way. The only way you will...

That would be really hard for me to do. At least with a straight face. For a while I had a job in Orlando where we sold this phony ass vacation over the phone for pennies on the dollar. Oh my god, what a riot that was. I was really good at it too until I started investigating on my own...

Btw, it wasn't just my eyes that were looking at all the data. There were many more. They invested in the idea as well. It wasn't like I just sold some random people a get rich quick scheme. This research looked very promising. In the end you come to find out that you should REALLY take...

It wasn't my money that was lost. Maybe I am not making myself clear. I invested all of my time and money into research. Not the market. I don't think you understand what an upside down system looks like. It just leaks money consistently. Not too fast, but fast enough for the people...

Even if we started in year 2000, investing $1000 at the beginning of every year into SPY here is something close to what you would have done. 2000 - 152 = 6.57 shares 2001 - 125 = 8 2002 - 115 = 8.69 2003 - 85 = 11 2004 - 100 = 10 2005 - 120 = 8.3 2006 - 125 = 8 2007 - 140 = 7.14 2008...

Well I am not so sure. If you are truly DCA I believe you are investing less money at the top and much more at the bottom. I haven't ran the statistics myself like I said, but if I did I believe you would be net positive at this position right now if you started in 2000 even. I might...

No, it was because the results were flawed from the backtest. This misrepresented my past and soon to be future results. It is because I invested ALL MY TIME AND MONEY into the operation in the first place. It was only going to go two ways for me. It didn't go the optimal way. It isn't...

I'm just telling you what I have learned after many years of trying my hardest and dedicating all my time to this effort. Maybe I am an idiot. Could very well be so. There are many more people much more intelligent than I am. Hopefully it works out for you. I really do.

No, you are really wrong. But please feel free to prove me wrong. I am not saying that it is out of realistic bounds.

I still believe you would be doing well. That is really cherry picking dates though.

Backtesting really hurt my entire psyche. I spent years on this, bragging to people I know, only to fall flat on my face and well in debt. Most of it was CFitting. After I overcame that aspect I came to find out that the smallest problem in your code or market conditions will manifest...

Slippage, orders being filled, incorrect data, slippage not correctly being accounted for is probably the biggest killer. Don't forget about adding commissions etc.. If you account for even an average of .5 tick in the ES slippage it will most likely turn any short term trading program...

Oh, wasn't sure - thanks. Imagine investing the same amount ( or more ) every year from 1970 to 2000. You would be sitting real pretty right now. Any sort of market timing seems almost dumb in comparison IMO. Not that I am on top of all the statistics etc..

There are so many inherent flaws in backtesting. What software are you using? Are you saying that you have only backtested on 1.5 months of data? Tick data.. or? If it is just 1.5 months of any data sorry to say it isn't close to significant. I recommend looking into getting...

I'm not sure I understand. I thought DCA was investing the same amount of money for example every year? No matter price.

Dollar cost averaging is probably the best way to invest in spy. No need to be a hero. Start at 30, investing every year the same amount no matter what would probably bring an astonishing sum of money by the time you are set to retire. I don't see the downside to DCA.

A four month track record doesn't mean anything. A sharpe ratio should be calculated over years, not months or days. Perhaps you already know this. There are plugin's though for excel that calculate a lot of these. I can't remember where I ran past them though. If I can find them...