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If you're referring to the lower graph (backtest) yes, it includes slippage and fees. Actually slippage isn't a problem, considering the typical holding time (a few days) and that index futures are very liquid. X axis = number of trades, total period is a little less than 8 years Y axis =...

Thank you. The IB equity curve (upper graph) clearly shows the difference between the two algos, before and after the flat segment at the center. Although the previous one looks smoother, my expectation is that the one I'm using now will produce better results overall.

This *is* actual money, although my account is very small. The balance is currently 41k.

+++ Update +++ Just closed out three positions opened during the last four days. Currently 35.5% up from the beginning (November 14). Comparing the equity curve with the QQQ during the same period it can be seen that the system did a pretty good job in reducing the drawdown and still gaining...

I tried that but got no encouraging results from backtests, by using small and not so small WFO windows. I'm loosing faith in the idea that parameters should be reoptimized often, but that's just my experience. If an algo is to produce good results, it can't be too sensitive to param adjustment...

Just don't try that with oil :sneaky:

Meaning that trading would otherwise be a riskless activity?

Because of the rollover problem. I get historical data directly from IB and I'm not willing to write code to cut and paste different contracts. I've had issues working with continuous contract data, so I use QQQ, which can be continuously downloaded several years back and matches MNQ almost...

Realtime scan and trading are both performed on MNQ. QQQ only used for backtests.

Today, 6 months have passed since the system went into operation. A new high reached. I am cautiously satisfied for now.

Well, no I don't use Sharpe ratio. I prefer recovery factor (total profit divided by max drawdown) which is currently 5 since the beginning.

Thanks. I used to use WealthLab 4.0, but currently less and less. I now develop and use my own platform, a Microsoft Access app with C++ algo and comm modules.

Do you trade manually or automated?

I get the data from IB, historical and real time. I use QQQ as a proxy for backtesting. The system is on 24h, but during extended hours it's only allowed to close positions.

Scalability - Yes, absolutely. Just consider that if instead of micro E-minis I was using E-minis, I would be trading 10x as much and the commissions would remain the same. Problem is... money. I don't have 400k as of now. So what I'm trying to do is to increase position size as - hopefully -...

Almost back to pre-Corona-Chan. All positive months so far, despite the March slump: My son decided to join me and put 8k more on the front line. Trying to get rich by splitting a thousand a month. Added a new trend following, long only algo. At the moment experimenting/fiddling with...

+1.83% last week, slowly recovering back to pre-virus level. Increased contracts no. to 2. I decided to take up the challenge by @traider about backtesting the system over a longer period. So I downloaded the last 7 years of data, backtest below: Indeed it's better fit to the last 3-4...

Maybe in the future. For now, my time is limited because in addition to this project I have to carry on my own professional activity and I prefer not to bite more than I can chew. I heard of several software platforms ready for autotrading, you could talk to @fan27 for example.

1-2 trades per day on average.

Yes, 1 MNQ contract currently. Started with 3 contracts, but due to higher volatility I reduced it.