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I'm also automated 100%. I unplug the keyboard from the trading machine and turn off the display during market hours. I do the rest of my work on my development machine. rt

Oh I see, I misunderstood your post. Yes, looking at individual session PNLs, in terms of avg session return vs. worst individual session return also makes sense. I never really thought about it, but I think this would also be a pretty good metric. rt

IMO there is an issue here, but the basic idea is right. You are using the minimum balance seen, which is a negative value. This redefines a drawdown to only be an equity dip below the initial seed capital. The correct definition of a drawdown is any equity dip below a most recent equity...

The basic idea of walk-forward optimization is this: Your historical data has N sessions (days) Choose a window of this data with K sessions, K < N. K is the in-sample data length. Choose a length of data J to be your out-of sample data. In total, K + J <= N The process is...

Looking forward to having my mind blown. rt

Anyone else notice the air is getting a bit hot in here?

We'd all love to be wow'd by your stellar performance. Why not offer up a sample of the kind of results you're talking about? rt

here is the second pic

I built a software tool in C++ that analyzes session PNL data from file. The file contains a scan of the user's parameter combinations, and each combination has a vector of session PNL numbers for the entire window of historical data analyzed. The tool breaks up the vectors into smaller...

You'd be hard pressed to convince anyone that any market-system won't produce drawdowns, or even periods of flatness (no return). More or less, the equity curve the OP has posted does not really have any glaring drawdowns, just periods of relative flatness. Money management, which seeks to...

What kind of money management do you suggest to improve these stats? Also, win / loss stats by themselves are not necessarily meaningful. Trade expectancy is what influences long-term viability. If you have 99 trades that yield $10 / contract, it only takes one considerable loss to wipeout...

One other issue I have is with the tradestation performance report. What I don't like specifically is that the performance metrics are not calculated at even time intervals, only on a trade basis. For day-trading systems, it means metrics are calculated too frequently. For long-term...

If the only parameters you use are for managing trades you have already entered, then I would say this strategy has a lot of promise. Any strategy that requires numeric definition of setup and entry, based on input parameters, should be treated with care. Not to say that such systems don't...

Does your system take any parameters? If so, how many? is the equity curve you posted based on an optimization? rt

Hi Kris, yes, it does. in general, you will find that the smaller targets you choose, the higher win rate you will have, but the average trade profit will decrease in tandem. Consequently, all else being equal, the trade expectancy will remain roughly constant. However, the frictional...

Can you send me your code by PM? Thanks, rt

nonlinear, Please don't misunderstand me, I'm not looking for help from anyone. The point I have been trying to carry across to anyone interested in this thread is clear. Simple setups work, but only if all components of the strategy are there to complement the setup. In this case, the...

Yes, that is what I expected. Like I mentioned, using the setup as an entry will produce a losing strategy. I can't go into any further detail other than to say that there are ways to produce the curves I have shown in this thread, using the same setup. However, If you post your code, I can...

The performance is really dependent on the entry. This is a trading system based on a rather crude definition of support and resistance, but still makes money because the entries I choose can still produce a relatively decent equity curve in spite of the mediocre setup. The multiple targets...