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Karthik, I hate to break it to you but in that case you may not have a profitable strategy at all, just a strategy that found something/exploited some edge based on the noise data from the past and that noise changes all the time. Ignore the sliding window for a second, but if you have a...

That's the thing that kills me too. I'm not sure how often I've heard during interviews "well if it doesn't work you just do the opposite". Once you factor in commission and slippage you end up with another losing system ;) two wrongs don't make it right in that case

Do you think they eventually figure it out or they've no intention of trading their system anyway?

Read one more line .. Do you think a solid system works on most markets or do you think it's ok to cherry pick?

Some of them for sure. Others however seem to want to do the right research but come up with completely different results. I wonder how much of that is based on the backtesting environment versus the data versus the actual logic [the logic seems pretty basic in many cases]. e.g. ninjatrader...

Thanks for that input. I've been struggling with that in the past quite a bit, always looking for a decent slow walking equity curve but you're absolutely correct, the smallest change messes things up quite a bit.

Definitely highly optimized/curve fitted. Right now it seems the cost are roughly the same as the profit but I've estimated the cost very conservatively -> in reality it should be lower. System is ready for prime time, the risk allocation is 10k/position and unless I've messed it up it should...

I searched for data quality, didn't get any hits, so my apologies if this is already covered -> in that case please point me to the links discussing it (that's my guess on the poll for this thread anyway). Disclaimer:This isn't my first rodeo, although duration doesn't mean competence, just...

Some of the pairs are indexes, some of them are sector related and some of them are not related at all. I eliminated the unrelated ones, e.g. AA and BAC since there's no reason why they would work even though the equity curve looks good. I've keep the sector related ones cause for those I can at...

Yes, selling my soul cheap but unfortunately only to the equity indexes ;)

Good questions, for many I actually don't have an answer. I haven't calculated the average ticks per share, I guess it highly depends on the initial cost basis (it'll be different for a 20$ stock than for a 200$ stock). The total average $ per trade is 48$ the median over ~ 49000 trades is 47.8...

I'm playing around with a new system. It's based on a pairs trading trend following strategy using a single highly optimized input parameter. The optimization/backtesting was from 06-12 with 13-15 being the out of sample data. It has a very limited set of pairs that it works on (about 40 pairs)...