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Reading the very first post, it seems to me that the basic principle for entry is to wait until MACD crosses the zero line and until MACD crosses its moving average. I am not sure what "X" stands for. Look, I thought I was doing you a favor by back testing your own method. If you don't want...

Here is back test #2. The parameters are now hopefully closer to what the thread starter had in mind. Data set: Russell 2000 E-Mini Future (symbol ER2), 44190 2-minute OHLC bars (includes after-hours trading data) Data set dates: 09/07/2006 to 12/06/2006 (3 months when Dec 2006 contract was...

Are you saying that if Israel drops a nuke on Iran, the stocks will be down just 5%?

Ok, I'll do another test, this time on ER2, using both 10-min and 2-min bars. Also, I am not sure whether I got the exit rules right. If I use both MACD from 2-min and 10-min charts, when should I exit long and short position? I saw one criteria (10 minutes if the market doesn't move in the...

OK, here is my first back test. Data set: S&P 500 E-Mini Future (symbol ES), 5147 5-minute OHLC bars Data set dates: 09/07/2006 to 12/06/2006 (3 months when Dec 2006 contract was the front month contact) Start of trading session: 10:00 EST every business day (original poster specified not...

But in the back test, there is no "person", so it's very objective: it simply follows the rules of the system. So, I am still not sure what you guys are talking about. If the system in question requires "discretion" (which, I suppose, means going against the system from time to time), then this...

I am still confused. Why does it matter if it's a lagging indicator? The point of a back test is to see if the system has a positive expectancy over a reasonably long period of time. Are you saying that the back test for any system that uses lagged indicator has no validity, or perhaps that the...

I am not sure I understand what you are saying.

Has anyone done a back test (using at least 6 months of past data) on the original method? I was hoping to find the results of such a test somewhere in the contents of the first 100 posts, but I gave up after reading the first 500 posts. :) If that has not been done, I'd be happy to be the...

Well, there is obviously some disconnect here. From the charts that Frost posted in the past, it looks like his "trend-fighting" system made a net gain of about 125 ER2 contract points over the 3-month paper trading test period, from which it is fair to conclude that trend fighting does work (or...

JSystemTrader version 4.10 is now available: http://www.myjavaserver.com/~nonlinear/JSystemTrader/JSystemTrader.html Added a historical data downloader. With the downloader, you can get up to 1 year (that's IB limit) worth of back data for any stock, future, and Forex contracts, and save...

I think the idea is this: suppose you have system A that returns 40% and has 10% drawdown. You also have system B that returns 30% and has 15% drawdown. Because the strategies are negatively correlated, if you run both, you may see 35% return with 5% drawdown. Adjusted for risk, this new system...

Ah, OK, fair enough. I guess I misread the intent of your thread then.

Well, Frost actually defined his system as anti-trend, so it makes sense that it didn't take advantage of today's move. I would also say that an anti-trend system is as legitimate as a trend system, and perhaps even more legitimate for intra-day trading. What makes commenting difficult is that...

You have 3 numbers in your post: 1231.8 (poll question), 1331.8 (thread title), and 1431.8 (contents of the post). Sounds like you are drunk. Define "effective immediately". Doesn't it mean "now"? What's your preocupation with "leaving ET"? Is it that bad around here?

Profit factor of 16.5? Do you define it in a standard way (gross gain divided by gross loss)? What's your average win and loss? I seriously doubt a system with profit factor of 16.5 exists. Perhaps you misplaced the decimal point.

So, what is it then? Something like "Never risk more than 3% of your equity on a single trade", or perhaps "Scale down when profitability goes down"?

I don't follow. Perhaps we are using different terminology. To me, a trading system will have a set of rules, such as: -- Use a 3-point stop -- Increase/decrease position size when the reward-to-risk ratio is increasing/decreasing Then by definition, the trading system already defines...

This is like saying, "Creating culinary recipes is easy. The cooks are about the salt and spices". I mean, a trading system is evaluated in terms of risk and reward, and that's what counts in its performance. So, I don't know what you are saying at all.

Your stats show the total slippage and comissions at $77,952,945,204.73. That's almost $78 billion. It's just ain't realistic.