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Well, you are missing a lot of costs of employing someone, for starters. If you employ someone with a $40K salary, chances are the other costs associated with employing them are close to another $40K, so you need to almost double your number right from the start. Second, it's laughable that...

That's interesting that you assume that the initial parameter values are random. Do you think that is the case for all strategies? I ask because I don't consider my initial parameter values random at all, or, at least not my primary parameter. As I gained more experience with the strategy, I...

A post, subsequently deleted, stated that there are no non-random moves of 3 points in the ES, so it is impossible that such moves could ever be captured via a true "edge". Well, I will concede that my data is less than exhaustive, so I can't speak to every 3 point move that has ever...

I'm curious what sorts of profit factors people look to get on the initial idea for a strategy they think has potential. My gut tells me that it's rare to find a strategy which, prior to optimization, has a profit factor above 2, but my gut could be completely off on this. In my case...

I don't like the negative skew, either. It smacks of those forex bots with 90% win rates and negative expectancy. They tout the win rates and put the part about negative expectancy in the fine print. I look at the un-optimized base results and if they are at or near profit factor of 1, I...

OK, good. The thing with the large gaps is that there is a logic to how the initial stop gets set and it is very difficult to optimize beyond that logic. If I were to, say, change the algorithm such that the initial stop was only 50% as far, yes, my loss to win ratio would become more favorable...

I did think that going right to the "curve-fitting" argument as to why the first few trades didn't meet my expectations was a little premature. If you look at the threads I've started in the past, they almost always involve asking how to avoid "curve-fitting", so it is really my primary concern...

It actually was not deliberate. This "system" is based on the entry and initial stop movement logic of a broader intraday system. I've separated the "entry and initial stop movement" component of that trade from the "intraday swing" component. I found that for many values of my model parameters...

But the out of sample trades have been over the last couple of weeks and are trades I've taken, so there isn't any other data to backtest on during that period.

Whoa, two predictions that disagree? What's the world coming to?

Ironically enough, this week I saw the two extremes that come with my way of setting stops. The first trade was in Crude and I got stopped out by a single tick just before that big post-Fed Minutes rally. Fortunately, my rules got me back in and I caught the rally, but I'd already taken the loss...

So if I have real fills and real trades, that "hypothetical" return document should just be those fills and trades, right? Now, do they look at any trading history prior to those 12 months or is that it? My last 12 months have been the best I've ever had, so if I get to start from there, I'll...

Yes, that makes sense. The CTA might sub-contract out to you, but as the "general contractor", he wants to see a 3-year track record of your own CTA. Now, can you be a CTA without actually advising anyone, just trading your own capital? If I set up a CTA structure, but only trade my own...

Do existing CTAs hire outsiders to trade for them? Can I go to a CTA and get hired to trade direction or does every directional guy start his own CTA and do it his way?

Does the ratio of the maximum win to the maximum loss tell you the same thing or something similar? On the optimized version for the ES, the biggest loss is 8.75 points and the biggest win is 30 points. Unoptimized, it's 25.25 and 40.75, so the ratio tightens up a lot in the unoptimized version...

Yes, I was aware that I probably would see degradation from the test and that there are always deviations from the backtested samples and that those deviations can be for the worse and that the skewed risk to reward ratio made the accuracy of the win percentage more important than usual. The...

Right, but apparently the only thing I'm good at is curve-fitting. :(

Yeah, I'm not going to set a profit target hundreds of ticks away for this system. Capturing those bigger moves is what the main system, which does not use profit targets at all, is for. This is designed to be incremental to that system. And, as I put in the other response, that is an average...

Yeah, but as I mentioned, the profit targets can be fairly far away, so it's not as if I'm grabbing a tick or two. Average ES target is 0.19% (range of 0.04% to 0.43%), average Crude is 0.28% (range of 0.03% to 1.0%) and average Euro is 0.16% (range of 0.015% to 1.104%). If you want to show...

No, peak P&L was only about 1/6 as large as the backtest. But, I would have to look at the profit targets in the backtest vs. live. The profit target algorithm may have been setting the targets closer on these live trades due to the market action, which would make for smaller wins. The...