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8 Week Assessment Time to compare my actual results against the strategy expected results for each instrument. For this comparison the strategy expected result includes an original slippage factor for each instrument. Commissions will not be included when comparing to actuals, but treated as...

Week Feb 5th – Feb 9th In a week where many fortunes were made or lost, this strategy produced a result almost equal to its weekly average for the past two years. I guess in a way it validated its design to make a profit by keeping losers small and letting winners run through end of day to...

Just keep pushing ON. You built it up before, you can do it again.

Nice timing BNT! Hopefully by this time next week you are busy working on a maximum profit plan for all these call options you picked up today.

To be fair the perma bulls have been right for years and have made a lot of $$$ to show for it. So long as they used basic hedging and/or stops for their recent positions, they are still up nicely overall and deserve those gains.

This is turning into a margin calling, account busting event. The Perma Bull god is officially dead, he has forsaken his flock.

That was about the most orderly, 1000 point YM Dow Mini Futures drop you can have in 8 minutes. Chart below is in 10 second bars. Triggered stops didn't get horrible fills in this unlike some of the flash crashes of the past.

Yes, I concur. I think continuing to my last paragraph in the post echoes this thought. One cannot predict the future.

I wanted to back test with a large enough sample size that also had recency relevance. 1 year entails about 260 trades. 2 years entails 520 trades. I felt the larger sample size of 520 would help smooth randomness. But why not then increase sample size to 3, 5, 10 or 20 years? At some point...

Currently I stick the SL levels that have shown the best P & L performance over the past 2 years, except with the change I made in KC. The analysis post was hypothesizing whether I should investigate switching SL levels or not in instruments like NQ and CL as they appear to have different...

In the thread intro I tried to allude tongue-in-cheek that any back tested system that looks this good is inherently flawed in some way as no holy grail exist. Going live is the only way to expose the flaws. The journal is a method to present real life challenges of system and the trader as...

Then to take this a step further, use a percentage of each contract as you suggest and then apply a volatility factor for each contract in some fashion to help determine the stop loss level. Is anyone out there doing this? If so, how are you determining the volatility factor and applying it in...

I agree with the mathematical principle in play here you are referencing, but if you have a positive expectancy better than a 50 - 50 coin flip, say 60 - 40, then I think this method becomes slightly more feasible even though I'm sure a math PhD can prove me wrong on that assertion.

I've looked at the TST rules as well and see the max draw down as the biggest hurdle. But looking at their rules, they treat max draw differently than I would expect. I think it should be a -$2,000 from any peak to any trough. But their explanation doesn't treat it as such. If you get a $50K...

Making Discretionary Tweaks to Systematic Strategies My trading of this strategy so far has been mostly rigid in terms of sticking to the model’s trading calls and the stop levels used. The two changes I have made (changing HE & LE entry to 8:35AM and using the -3.0 stop loss on KC) were...

Week Jan 29th – Feb 2nd Back to red and “The Grind” continues. Seems like this week was a “So close, no cigar” type of week. Several trades just clipping stop loss levels to close out losers, then reversing in the direction my trades needed. This includes a NQ stop on the big drop Friday...

At least with this type of selloff we will find out whether the Plunge Protection Team is real or not. They got the whole weekend to figure out their strategy. If they can orchestrate Monday to bring the DOW, S&P and NASDAQ back to the Thursday close levels, I'll start drinking the PPT Kool Aid.

You are correct, the continuous contract data is really dangerous to use. I performed all back testing on the actual contract I would have traded at the time to try to prevent the continuous contract erroneous data point errors.

Question to the crowd - When to roll trading forward financially settled contracts? For deliverable contracts, IB shuts down buying and selling a couple days before the first position date, so that is when I move to the next contract month to trade CL, GC, NG, HO, and LE. For NQ I'll roll...

I would say that slippage number matches to my first 8 weeks of KC live trading.