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I have been under the weather . I just check my E-Mail's a bit ago. I plan on starting this course back up and answering your questions in this thread as soon as I can. Just give me a day or so to catch up. Sorry about this.

I plan on putting my next lesson up tomorrow. I have been a bit under the weather the past few days. Thank you for being patient.

That what I was looking for, the point is that this system does not make as much money, but the Drawdown is lower. Our problem is that we miss the big moves that don't retrace. If you are going to develop break out system which we filter out breakouts , you need to design a fail safe mechanism...

I fixed the spreadsheet, the problem was for some reason it got corrupted when I did not zip it. Does anyone have any input on why this strategy did not work well?. I will give members a little more time to respond , then I will publish my analysis. I will give you a hint. What happens if...

I am not sure what happened. I zipped the file this time.

Let's now discuss this next installment. In this lesson you will learn that your best ideas don't always work but you can learn from them. This series is special because we are showing the steps, both good and bad. Most articles show you a cookie cut world where everything works. Our goal here...

I did not have time to finish the next installment of this tutorial today. I will as soon as I get a chance, I hope by tomorrow night. I will give you a hint about our next lesson. Sometimes what you think should work does not. What is important to learn is that this is ok. You can learn...

The workbook I uploaded was produced in TradersStudio 2.0 . We plan on shipping 2.0 offline in in March. I have built some proprietary counter trend systems that work on baskets. Intermarket systems really only work on a given sector or groups, so it not really basket trading like you...

The sharpe ratio penalizes volatility both positive and negative because we divide by standard deviation, which can be high with a volatile upward path. I have built many counter trend models which have done well, for example intermarket analysis trading the thirty year bond using UTY ...

The problem with most trend following systems is that they win about 35%-45% percent of their trades. This is part of the problem with these methods. The only holy grail I know is to trade multiple uncorrelated systems, combine them using money management. This is exacting what TradersStudio was...

Here are the results as produced by TradersStudio for the base moving average set of 21,35,85 , though Friday Jan 27th. We will add our entry trigger in our next installment.

Here is my analysis relating to the optimization results. It is contained in the PDF attachment.

Since we are testing it on a portfolio, I would say that in general the best set of parameters would represent an average set of characteristics for short, medium and long-term trends on the basket of markets. In terms of Sharpe ratio, I don’t like it as a performance measure because it...

There are a lot of variations of them. Some have been put in the public domain. Look at John Ehlers work on them, he has published the formulas for some of them but , most require understand Trig functions and converting Degree to rads to code. We have some of these built into TradersStudio...

I have many different types of moving average in TradersStudio. I wanted to keep it simple so that people only using Excel could follow along without having to do too much coding to understand how the logic works. Most people could not code any of the advance moving averages, so they could...

You are correct using any indicator-based approach introduces lag, but also it reduces the noise. In our example we used simple moving averages. There are many other types of smoothing methodologies that have less lag, for example Kalman filters. Most of these add a momentum component back into...

I played with this and did not see anything exciting. Profitable on the long side, loses money on the short side. This ratio does not work anywhere near as well as thirty year or ten year bonds.

Thank you for reminding me. I have been working on TradersStudio 2.0 as well as my system tutorial thread and it slipped my mind. I will look into it and post it soon.

Here is the new optimization workbook using our new optimization grid. Let's now evaluate these runs and pick the best set of parameters based on performance and robustness.

Here our analysis Since drawdown and recent performance is used in the scoring, the highest net profit is not the highest score. For example the top score of 2.86 only make a bit over 579K, even though some combinations make over 800K. The top score combination is isolated at 12,25,30. We...