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That is wonderful. Thanks. Will check it out.

Most commodity futures trade in last 30 years or less. It is entirely possible that the result is due to data-mining.

Data mining result. This article shows what happens to 1-min forex traders that do not have substantial edge (no one does, only MMs)

RSI value depends on starting point and if you do not have enough data the calculations will not match.

I agree with point about actual performance.

If I knew the distributions I could agree with you but i do not. They may not even exist.

If you do many trials and tests you will possibly find a system with PF > 2 that is random. The question is not the metric value but how you test it for randomness. Some good reads: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253...

Statistics are descriptive, trading is predictive.

Maniacs rule the world.

Before you spend more time backtesting take a look at this book (worth time and money) The idea in the book is that backtesting creates data-mining bias and you must know ways of dealing with that before you consider something seriously. Also the author claims that the more you backtest the...

R:R does not determine P/L. You also need sufficient hit rate.

People say this for months and they get squeezed out. 10-year is going to 1%.

Before using NN or machine learning read this paper: http://rnm.simon.rochester.edu/research/MSES.pdf

I would love to see an example. Good post!

S&R imo.

The most important thing about TA is staying away from most of it. You decide from what.

In a service with many strategies listed some will offer high returns for a short period of time. But then what? GLD has gain > 20% for the year. TLT alone has more than the strategy. What matters most is how robust this startegy will be when markets change.

Some good points. Here is another article from the same blog that lists some of the reasons with basic being analysis by paralysis. In my opinion the author is one of the most honest and knowledgeable traders in the business.

Puzzling, isn't it? Three extremely simple mean reversion strategies that have made tons of money but traders in ET and elsewhere complain that markets are rigged, trading is hard, etc. I think losing money in trading is due to an attitude problem only. I agree, trading is simple.

Long if ma(50) > ma(200) - Short is ma(50) < ma(200)