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Thanks for all your comments; I find it an interesting topic. I wouldn't say I was making good money though; I'm making a little bit, and always trying to improve. The one other thing I would say about testing systems against data is that the market is very good at equalising things up. For...

Thanks for clarifying. So you are saying that you want to enter anyway as you think the market is going up, then why not just enter at the market? I guess using orders to do it might get you a marginally better price, but with many liquid instruments it wouldn't make much difference would it...

This post seems to be the crux of the matter. It is indeed a simple question, but the answer is anything but simple. I understand what you go on to say in later posts that knowing your market, you can predict with some confidence when a pullback is likely to happen. I think I can do that too...

I haven't investigated in detail, but my impression is I do best on a Monday (or a logical Monday as they used to say when I had a proper job - i.e. the first trading day after a holiday).

I daytrade the 5 minute timeframe, mainly the Dow, NAS100 or SPX500. I have recently been doing ok, using an automated system with occasional manual intervention, though I am working on limiting that to a minimum, as I have discovered I am a useless discretionary trader.

Glad to hear it is working. "Everyone" in retail trading is wrong most of the time, which is why most of us lose. That's why testing your own ideas seems very important to me. I think simple systems are the most likely to work in the long run. From experience, most systems that show...

Thanks for this. Personally i have found moving averages too laggy to use as the basis of a trend following system, though the charts often look very promising. But all power to you if you can make it work.

Various strategies, mainly trend following day trading based on trend strength using simple Price Action or a Kalman Filter, using minute data (open, close, high, low) mainly on Dow, Dax and FTSE. Have you had different results?

Well ... the fact that it's quite hard to know where the market is going. That's what we are all trying to do isn't it? Have you cracked it, and would you like to share?

That would surely depend on the timescale you are trading? 5 years sounds plenty for a day trader say.

I agree that markets seldom move in a straight line one way for long, but the downside of waiting for any kind of reversal is that you can miss the best part of the move, and also find that the 'pullback' might actually be a reversal. So you can place a closer stop loss, but with more chance of...

Doesn't that just show that a mean reversion strategy works when the market reverts to the mean? What if the trend continues?

Yes I agree with you. The data seems to support that, but maybe others have found otherwise?

You said "You really need to know the market you're trading - where it's at and where it's going". That would be ideal wouldn't it?

If only...

Thanks for this. Good to know I am not alone in finding waiting for pullbacks to not be particularly successful. I can understand that different instruments may have different quirky behaviours. That is partly why I tend to stick to very liquid instruments such as indices which seem less...

It seems the prevailing wisdom is that when a market starts to move in one direction, you should wait for a pullback before you hop on board the trend. I suppose the idea is that if you buy a rising market at a lower price, that is in some sense a ‘bargain’. I have never really understood...

In reply to the OP, I think perhaps trading is simple rather than easy. I now trade a small amount a few times a day (sometimes not at all) when a promising set up arises. Personally I like failed pullbacks in strong trends, but that's just me. Whatever you may think about Al Brooks, one...

I agree with all the recent comments. I play some online chess to a reasonable standard, and I am amazed by the number of threads started by people who have just more or less learned the rules asking how long it will take them to become a grandmaster. (The answer is they probably never will...

That's interesting, thanks Millionaire. I have experimented a lot with automated systems, and have found the same as you. A lot of them look fine on backtest, but typically perform much worse going forward, which is to be expected, and spend a lot of time in drawdown. It's also hard to...