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Yea you can program your own software ;)

How important do you believe it is for a strategy to perform well on other securities? For example..... Lets assume you have a strategy that opens a position in a particular stock in the afternoon, then liquidates at 9:00 AM the following morning. It is tested over 1000 days. During that 1000...

Does anyone know where to download historical fundamental data?

I do not understand what you are referring to here. Or how it relates to what I proposed. Can you elaborate? Thanks

I have recently been wondering how sound of an approach the following is: 1. You take a series of data and a basic strategy. One direction at a time, for instance take a long strategy. You now GREATLY optimize it on the data until it has a good return and only a handful of trades. 2. Now...

Anyone competing in the traders Olympiad this year? Last year they had some bots that did pretty well. I haven't seen many threads this year talking about it. Does no one know about the competition or just not many college kids on these forums anymore?

After seeing these results the next steps to improve the strategy i will do will be to focus on strategy #2. Right now its a stop and reverse strategy. I will lave the current long entry signal alone, but convert the reverse to short signal into just a go flat signal if currently long. Then I...

Well found something slightly interesting for strategy #2. The long trades seem to be the only ones doing very well. The short trades seem to be where most of the losses are comming from, however it does make about 4k over time from the short trades, but the curve is horrible. Here are the...

Here is the one for strategy3...... Anyone notice anything helpful in these charts?

Here are charts from strategy2, strategy3. These charts show how much money was made or loss for each hour of the day...

apex82, You made some good suggestions. I'm going to take a look at some of those. Thanks

I wanted to see how well the strategies perform on other data sets. So I just ran strategy2, strategy3, and combined(strat2+strat3) on about the same time period worth of ER2 and YM data. Here are the notable results: YM: Strategy 2: PL: $9,061 Strategy 3: PL: $1,481 Combined; PL...

apex82, The sample goes from 2003 till now.

Here is what happens if i take rules from strategy #2 and rules from strategy #3 and allow either one at a time to provide entry or exit signals: Total PL: 39,376 Trades: 2096 Win%: 50.5 Max DD: 4209 PF: 1.27

Here is the chart for strategy 3. All comments and questions are welcome.

Here are the performance charts of 2 more strategies. The first one "strategy2" uses the same indicators as the original strategy of this thread. However it has been tweaked for better results. The second strategy chart I'm about to post "strategy3", uses different indicators than the first 2...

As I expected and as was confirmed by the optimizer, no hard stops increased performance at all. Does anyone have other ideas on how to refine this strategy? The next steps I could try would be to find filters for entries.... also to try and find other ways of getting out of a trade early...

BTW all charts i'm showing again are using only 1 tick of slippage for easier comparison with the first posted charts. After putting in a hard stop at $200, the results have got worse. Total PL: $22,104 PF: 1.12 Win%; 41.6 Max DD: $5136 Anyone has any theories on why the hard stop...

Looking at the 2 charts, a good cutoff point I see would be $200. Doesn't appear that many winning trades go past -$200 and still end up positive. However, looking at the losing trade draw downs we see that a lot of them go past -$200. So the first stop we will try is hard stop right at $200...

In my next 2 messages I will show some draw down charts. The first chart shows draw downs only for WINNING trades. Like this I can see how much heat the trade took even though it eventually made money. The second chart will show the draw downs for only the LOSING trades. Like this perhaps we...