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I'm curious why you expect that a system must work across multiple markets to be valid? I didn't say that the system has to work across multiple markets to be valid, but that if the system did work well across multiple markets, it increases the likelihood that the system has successfully...

Baron should post the IP address that each poster is posting from. While it's not a perfect system, inevitably posters using multiple aliases will make mistakes and post from the same IP address that they did in the past and get caught. It's a deterrent, like a low paid security guard in the...

One of the best indications that a system has a good chance to work in the future, and that it is not overly curve fitted or optimized (in addition to the test mentioned here), is to see if the system also performs well across many markets with no changes (or minimal changes to account for...

Hitman, you might consider defining some mechanical rules and run nightly scans on a large basket of stocks to generate a list of stocks that fall into your preferred profile. For example, scan for thresholds based on momentum, volatility, new highs/lows, volume patterns, overbought/oversold...

Companies like GSCO already invest in such systems by investing in hedge funds with proven track records. Whether the hedge fun is 100% mechanical or some degree of mechanical + expert trader's discretion varies, but this is where the "best of the best" systems traders eventually gravitate.

Tradestation (and it's kin) is a tool that is a standard weapon in this war. It is unlikely on it's own to give you an edge is all I am saying. I disagree with you to a tune of six figures a year for six consecutive years. Many other people will disagree with you on this one. There are...

Funster, this doesn't make any sense. Tradestation, and other charting/analysis software such as Wealth-Lab, can only do what the trader programs it to do. It is as much or as little as the logic programmed in by the trader. If your statement was in regards to commercial "black boxes"...

Commisso, with all due respect, if you understand expectancy, then you should also understand elementary probability theory. If you define the "micro view" as the result of an individual trade, and the "macro view" as the sum of all trades, then the average probability of each individual...

Trader's Edge = Method + Execution Luck = Probability of a single trade Trading without a plan = Luck - Costs Trading with a plan = Luck - Costs + Trader's Edge

I agree there is a lot of arb activity, especially in the index futures. Intraday "noise" is much more now than it "used to be" but arb activity has only a minor affect on noise if you go to larger time frames. I use a 5m and 30m for intraday trading and have done quite well. I would like...

The subject matter in question was not trying to predict the game of roulette, the mathematics of which are obvious, but predicting the underlying assumptions of that model. In order for the results to be fully random, the wheel has to be perfectly balanced, be spinning at a variety of speeds...

The only thing different between what I do and what many other traders here like Candle and Dozu do is that I put all of my "trading logic" into 100% mechanical rules to identify when to buy or sell. Whether you are buying a pullback in an uptrend, trading momentum, pattern recognition (aka...

There are many other ways to trade besides "dumb man's trend following". Even within the general trend following wisdom, there are many ways to trade a trend. Following the trend works. It all boils down to determining when the trend is likely to resume. The Turtle techniques are what I...

DT, when you say "luck" I read "probability". If I have a positive expectancy system, and I generate 1000 trades in one year, I have a high degree of confidence that the results reflect the profitability of the system itself, and luck is a pretty much a non-factor. The big question for...

DT, what happens if you take one system tested on historical data then you use that system on out-of-sample data and find very similar results as far as % winners, average profit, risk factors, etc. Then you take that same system and test it on completed unrelated markets and produce similar...

I can tell you working for a large firm has always been my dream and I will give up everything I have at Worldco (can always go back to it later) if I am given a position to actually trade at Goldman (after whatever training/clerk/waterboy stuff I have to go through) This would suck for your...

Thanks for the info, Hitman. I always appreciate hearing the real numbers, especially to provide context to the frequent hypothetical (and sometimes useful) discussions going on.

Stone, I think your "what if" statement is flawed b/c you are assuming that any good prop trader can make $20k any day. Of course no one would care about paying $5k commissions if they had the ability to make $20k per day. Avoiding commissions just to avoid commissions is like saying you don't...

Tom_p, yes, I definitely agree on maintain. In addition to profit-to-commission ratio, you might want to run some formulas for risk-reward ratio, then combine the two and create a formula that analyzes p for both reward:risk and profit:commission.

I've seen prop trader's P&L's where they pay up to $5,000 in commission in one day, but net $30,000 after. The idea is, if I can make 20g's paying up $5,000 I don't care if it is $5,000. What's more important to them is the bottom line. Same applies to the guy making $20,000 net, but end up...