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Week 14 TF: 3 wins, 2 moved stops (special note) Corn 1: 2 wins, 1 full loss Corn 2: 2 moved stops for break even Soy: 1 win, 2 full losses HSI: 2 wins (should have been 3 wins and 1 moved stop) DAX: 1 win, 4 moved stops (I didn't trade it) Total: 29452.91, up 94.34, up 0.3% for the...

Week 13 TF: 2 wins, 1 moved stops Corn 1: 1 win, 1 full loss Corn 2: 1 moved stop for a loss HSI: 1 win, 1 moved stop, 2 full losses DAX: 3 moved stops, 1 full loss (I didn't trade it) Total: 29358.57, up 797.4, 2.8% for the week, down 18.9% for the year...

Curve fitting is when you over-optimize the input parameters of a trading strategy to the point where you maximize profits, but the actual results won't produce a winning strategy in real life. You can over-optimize any strategy to produce fantastic results. Take any simple MACD crossover on...

So if it's always long or short, how do you always guarantee a fill? Isn't there the possibility that your strategy goes from short to long, but your limit order never gets filled? Then you'll be taking additional heat that your backtesting doesn't account for.

Actually, I do think you're right about this, and in fact, I'm going to do what you suggest and just trade less size with respect to my own trades. I've been suffering from too wide swings for sure. Regardless of whether I believe you're right :) I'm curious to investigate this further. I...

Yes, I'm well aware of the "casino vs gambler" perspective :) I've been struggling with this particular problem myself, because I force myself to trade in order to try to be the casino as opposed to the gambler. But just like automated traders look to find an edge for the behavior of a setup...

I think you'll find that backtesting vs autotrading with real money is going to be vastly different. As someone else mentioned, commissions and slippage are going to take a large chunk of your profits. And even if you trade only with limit orders, then there are situations where it will hit...

Did you ever calculate your correlation coefficient for your trades? :) I've been thinking about doing an analysis where if I have a bigger than average gain for the week, have a cutoff level where I stop trading for the week. Too often I've been up and then have my gains wiped out. Today...

Yes, I'm finding that volatility has been drained from the TF, but I'm seeing the same behavior across all the index futures that I trade. The same thing happened with the DAX for me as well, which was experiencing big losses for several months now. This past month has been the first month...

As a matter of posterity, here's the theoretical results for the TF strategy for the YTD. The first table is my original setup, using the original parameters. DATE TOTALPTS WINS LOSSES MOVELOSSES AVERAGE TARGET 2011-01-02 2011-01-08 2.400000...

Week 12 TF: 4 wins, 1 moved stops Corn 1: 1 win, 2 full losses, 2 moved stop for a win Corn 2: 1 wins, 1 full loss, 1 moved stop for a gain, 1 moved stop for break even, 1 moved stop for a loss Soy: 1 moved stop for break even, 1 moved stop for a loss HSI: 2 wins, 3 moved stops DAX: 1...

Based on my initial backtests in 2009, the TF, DAX and HSI were markets that I could trade in profitably. My initial goal was to trade once a day per market, so that was just 3 trades a day. Since then, the only market that has held up is the HSI and I stopped trading the DAX. Last year I...

Week 11 TF: 2 wins, 2 losses, 1 moved stops, 1 win and 2 losses on discretionary trade Corn 1: 3 wins, 1 moved stop for a win Corn 2: 3 wins, 1 full loss, 1 moved stop for a win, 1 moved stop for a loss Soy: 3 wins, 2 full losses, 1 moved stop for a win, 2 moved stops for a loss, and 1...

Hmm, I would say that the value of 0.15 might be pretty close. You do seem pretty uncorrelated to the S&P which is a good thing :)

I would calculate the % based on the previous day's capital. The reason is that you want to know on any particular day, if you were to take the trade with X amount of money, what would the PnL% be, and then what would the PnL% be if you had instead put that same amount into the S&P's. This...

Actually 0 means not correlated at all, -1 means 100% inversely correlated, so 0.14 is actually great! Just out of curiosity, the chart looks like the daily cumulative PnLs, is that what you correlated, or did you correlate the daily % PnL? The daily % PnL is likely what you want to...

Can you get a daily % gain/loss for your system vs the daily % gain/loss of the SPY and then run a correlation calculation on the two? It should be relatively straightforward using excel.

You should probably invest some time and learn how to maintain your own computer. As someone else said, you should learn how to make your own backups using Windows Backup or some other piece of software. You should have TWO copies of every backup, on 2 separate USB external hard drives...

Thanks for your comment. Yes, it's in the front of my mind these past few weeks, and something I need to really consider whether or not my setups work, and whether or not I should even be trading futures anymore. It's largely been a complete disaster, but I'm trying to stick through the...

Week 10 TF: 1 wins, 1 losses, 3 moved stops, 1 win on discretionary trade Corn 1: 2 moved stops, 4 full losses Corn 2: 1 full win, 1 full loss, 1 moved stop Soy: 1 win, 3 full losses HSI: 1 win, 2 moved stops (would have been 2 wins, 3 moved stops) DAX: 2 wins, 3 moved stops (I didn't...