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Thanks frost... Good luck with your system! :)

Just a quick update since I started this thread in Feb. I have been trading this system and am glad it is still working. Up about $7,000 in 8 months on a $10,000 account. Hitting the bottom (hopefully) of a drawdown now. I'm still reluctant to scale up my size and am trading just 1 lots...

Do you (or anyone) have any OHLC data you'd be kind enough to share? If not, where can I get some? My eSignal only has about 5.5 months back.... :(

Came across this PDF that might provide some ideas...

Try this forum - it's a little dated but still applies: http://www.elitetrader.com/vb/showthread.php?s=&threadid=8533&perpage=6&pagenumber=1

Mechtrader - thanks for the additional ideas. And your English is just fine - no worries :D Where do you call home? I'm in Chicago (the futures capital!) If I'm able to try some ideas of yours I'll be sure to let you know the result. So far I have added the Day of Week to spreadsheet...

mechtrader - The results of this system are remarkably similar to mine. Have you started trading this yet? Are you? Did you look at the system on other indexes and were results similar?

I've exhausted all my data actually (back to 12/11/03) If you have older ER2 data to send me, I'll take a look. In the meantime, I think I'll start backtesting with YM and/or ES data to see if my system has a shot on another index...

steve46 - I appreciate your thoughts, certainly time will tell. I do have concerns that perhaps when I sorted by V1, V2, V3, V4 in my optimization that I "saw" more than was really there. I'm a perfectionist and am susceptible to analysis paralysis! -------------- mechtrader - thanks...

Thanks risktaker - I agree results aren't that impressive but I've been trading for several years and am convinced that "slow and steady" is the way to go. If my system works somewhat like the backtested period, I could double my account every year... (famous last words - lol) What good...

Yes and No - I took it into account but didn't include any slippage for a couple reasons. 1) All entries are on Stop Limit orders and I'm only trading 1 contract (initially) so I will get filled at my price 98% of time (from experience). 2) all exits are with Limit orders and my backtesting...

sorry forgot to attach

This is my attempt to come up with a mechanical trading system for the mini-Russell. I would like to get some opinions if you think this will work going forward. I backtested ~2 yrs. of data then optimized. Obviously I don't want to reveal the details but want to know if my thought process is...

Can anybody help me fill in some missing data? I'd need 7/8/05 thru 9/2/05 mini-Russell 15 min. data Open, High, Low, Close 8:30-15:15 CST of U05 contract If you can email a spreadsheet to me - thanks!!!!! :) If not, anyone know where I can get this? eSignal only has about 5.5 months...

quote from m&m&m: More interesting question – is it possible to predict in advance, will the pair reverse or diverse if it has 2SD and RSI is at extreme levels? My back testing shows that it is possible. So, I trade both strategies. Even more interesting that winners/losers ratio about the...