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LOL guys :D

http://www.elitetrader.com/br/?sort=1

By checking strategies with similar parameters you are making sure that you are not picking up random noise. By noise I mean strategies that accidently did well in the past.

I understand what you are saying but I prefer different approach. First, you need to change all parameters slightly and see if it still works with similar performance. Second, run it on different markets and see if it still works.

I was thinking about grouping similar strategies and assiging some kind of score to the group. If group of similar strategies performs well that means it is likely that one of strategies from this group will perform well in the future.

I don’t believe this works. Just imagine I used one third of data and found strategy that I posted then I used another third and I verified that it still works and then I used last third and it still works but this tells me nothing.

No, I am not saying this. This particular system generates a lot of trades. During backtesting you assume that you can enter at any time at any size and you can exit at any time at any size but in real life this is not how it works. I don't get fills almost every day when I get signals. Try to...

I suspect so too. Do you have any pointers on some studies to back that up? I think number of parameters can increase as you increase number of trades. If your system generated 30 trades then 3 parameters is too much but if you verified it on 500 trades 3 might be ok. I stopped using NN...

I perform walkforward testing with real trading. Because I trade more than 4 strategies at the same time I can afford loosing one or two. But this kind of testing is expensive. I have better ones too but drop them from my radar too because they look unrealistic. How do you know it is curve...

What makes you think so?

It is not a random result because there are more like that one with similar parameters and returns but I am afraid that some of them are curve-fitted. I will search for curve-fitting on ET. Thanks for help.

I had situations like the one I attached. Eventually performance recovers but it sucks right after you start live trading. Have anybody tried trading strategies that performed poor recently but good before?

This is backtesting result of trading on IWM for year+. The problem is I found a bunch of similar strategies with not a bad returns but I need to pick just one to go with it with real trading. How do you pick a strategy that not only worked before but will also potentially continue working in...

How do you know that?

Check your calendar. It is start of earnings reporting today.

Yup. Some shorts got smacked pretty hard today.

You should watch for dividend pre announcement.

Are you working for them?

2.0 is not out yet. I like .Net. Don't get me wrong but I will use it only after I see successful products developed on top of it. Until now I saw none.

Just a side note: Never ever use version 1.0 of any software product. Current vestion of .net is 1.1 wink wink