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Don't make trades until the bar of the timeframe you are trading on completes, unless you are using a breakout method where you are entering on a stop that was defined the pervious bar. Otherwise you can never validate your methods via backtesting.

Random: 1, 3, 5, 6 Real: 2, 4, 7, 8, 9, 10 Method: Digital Signal Processing to determine persistence (periods that tend to trend) vs. ergodic (periods that tend to mean revert) vs. random. I'd be interested in repeating this exercise with a true random walk representation. This would be...

c5.txt gives me http 404 not found. I'll go ahead and run my quickie analysis method and see what results we get.

I think you are "close enough" for this exercise. For your reference, here is a quickie on brownian movement.   http://davis.wpi.edu/~matt/courses/fractals/brownian.html Do a search on Google with this query string:   +"brownian motion" +"random walk" And you'll...

In the random charts, how are you determining the magnitude of the change? In other words, you are using 50/50 random for the sign of the next day's close, but is the magnitude of the move based on brownian motion or your own custom derivation? If it's just as likely to change 3% as it is 0.5%...

Interesting way to have some fun. Can you also post the OHLC data in CSV format? Some types of analysis require the raw data.

I should mention that a trading competition, even if using real $, does not test the same abilities as, say running a hedge fund or trading your personal account. You take much larger risks because the goal is to have the most amount of $ in a set period of time. I have gotten some ideas for...

An oscillator only has to give you an edge some of the time. Also, try looking at different approaches to using an oscillator other than the "canned ones". Try looking at a detrended oscillator and see what it tells you above/below 2 or 3 stdevs out. Is it just an outlier event or is there...

Perhaps would make a good fade...

Ponder this grasshopper. If entering on MA crossover and exiting on same MA crossover yields no edge.... then do you really have an edge by using MA's to determine trend?

It just depends. I can give you a system that will win 90% of the time, positive expectancy, but you won't trade it. That 1-in-10 times you take a hit it hurts, even if you are profitable in long run. Most people can't handle drawdowns well.

How about optimize for robustness? So you have a higher chance that small changes in underlying market behavior won't derail your system. Looking at the point of maximum robustness vs profitability, you then decide if the system is worth trading or not.

Interesting thought- every newbie and their grandmother learns early on that "the trend is your friend." Yet 90% of traders or whatever still lose. Is it because they are all too stubborn to follow such advice? Or is such advice not really useful afterall? If you study the nature of...

Only strippers? What you trading 100 share lots? :p I had some other ideas in mind! Speaking of Vegas, an essay from a part-time poker pro I sorta know: http://www.piclab.com/cgi-bin/wiki.pl?Professionals

What's there to do after say 10pm outside of bars and clubs over there? Bars and clubs getting boring after awhile. I suppose there is Miami. I'm tempted to move to Vegas because it's so hard to spend money after 10pm. Lots of ways to blow a day's profits in Vegas... :D I'm...

Don't underestimate "the human element". Discipline is required in many areas of money management, portfolio analysis, overall execution, continual research, assumptions about systems, markets, brokers, etc.... the list goes on. Also, while Metooxx may use 100% ATS, but I am only 100%...

How do you account for slippage? Be very careful when testing a system on SP then applying it to ES. The nature of the differences in tick increment and open outcry vs. electronic trading can easily result in half to full handle on S&P depending on your time frame and what type of methods...

Have to agree with metooxx. Trading is about making money, period. You decide on risk. The rest is mumbo-jumbo, feel-good wannabe trader speak that sounds good for an interview or book but otherwise won't help you.

You may want to build your software first and test it on a limited data set before embarking on such a grand journey. Find other ways to test that a potential edge is there to be found before you begin. This may sound catch-22 but there are ways to identify the potential existence of...

For the retail trader who can't exploit the very small inefficiencies available to those with an edge using speed, volume, and low execution costs, there are other edges to be found. Specifically, how do you differentiate between noise and semi-deterministic price activity? I say...