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It looks like a reasonable strategy but your timeframe is too short for me. The DAX tends to trend better than the Emini's so it looks to me like it's better to hang on to the winners longer. I've only been trading the DAX for two weeks using volatility breakouts. So far I'm up about 3k...

I wasn't trying to post a performance summary of one of my models. Merely trying to provide some general observations. The ranges I provided were not from statistical analysis but from looking at some of the trades. The average win/loss are much different than what you've assumed. If you look...

I don't think those items are important at the beginning of analysis. After I've collected enough edges to create a system, those tests would be important to make decisions about expected max. DD, rate of account growth (frequency of trades), and number of expected trades between equity highs...

I only traded the SP and ND contracts back then. Today it's the ES, and starting Monday (early AM)...the DAX. Charts were the same...entry and exit difficulty were the same. Trading was more dangerous in 2000 with the rising volatility. The risk was having too many contracts on as the size...

For Mark Fisher enthusiasts, here's his seminar at the NY Merc. in which he discloses his daytrading system. I think it was opmtrader that sent me the link...thanks. http://www.clicklive.com/NYMEX/symposium_2003/content_page.htm

100% Discretionary. I use my models to indicate locations where the market acts non-randomly. I trade against them and use them as straw men traders. This satisfies my need for competition and keeps me on the right side of the market when I'm not trading well. They also help me determine...

I'll be using Tradestation as a broker. The daytrading margin on the DAX is about 10K/US per-contract (10% of underlying contract). DAX pts. * Euro per-pt * exchange rate 3500*25*1.16 = 101,500 * .1 = 10,150

7.25 pt. range so far for day session. If this becomes the average range then I'm done with the ES. Very tough getting good r/r trades. DAX....here I come...

Look at the one min. Prem (spread between SP futures and SPX). You can find the Buy and Sell levels here: http://www.indexarb.com/index.html

Another Buy program 2:58 - 2:59.

Program trading Buy program. Look at Prem at 2:21 and 2:22.

Very tiring first hour. Probably the toughest 2 pts I've had to make all year. The test of yesterday's high leads me to believe this is going to be a inside or narrow range day. I don't see much energy to go up or down right now. Normally I'd be buying at 1042.00 but I just don't see any buyers...

If payoff's were equal that would be a true statement. What I said was that the payoff's were not equal "non-normal distribution". That's pretty much the heart of all trendfollowing methods.

Trading 101 The frequency of a win/loss can is a normally distributed random process. i.e. coin flip The payoff or size of price movement is a non-normal distribution and in some instances non-random. i.e. fat tail (pareto-levy distribution) Simply put the chance of the coin flip may be...

The results were single contract testing using 1.16 Eur/Dollar exchange rate. I plugged in a conservative MMGT formula and the compounding pushed the ending equity past 73 mill. starting with 25k in 1998. Obviously the fluctuating exchange rate and taxation affect the "real world" results...

No takers on ET...oh well. I can't imagine why two Yankees fans wouldn't want to go see horse races..:p :p I'll check elsewhere. Have a good weekend everybody!!!!!!

Anybody going to the Breeders Cup tomorrow? I'm flying out with the buds later today and have a couple of extra tickets in a VIP section if anyone wants to hang out with some old wallstreet traders. We won't punk you too bad....no doubt we'll be betting on stupid things like whether a guy...

About time it broke 1026! I'm starting to get that kid-like feeling...+7 so far today. Now lets see if the session low is support so I can make some on the long side too.

Now that's funny!:D :D You're probably long right now too!!! Good luck....looks like I should switch to getting long soon. Only 3 pts. in this short....better than nothing I guess. 1026 is holding tough.