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I don't know what "equal" means here. What is the measure you can apply? Obviously, a swing trading system and a longer-term position trading system cannot be "equal" in any sense other than ROI. Especially the drawdown will be quite different and the Sharpe ratio. Ron

Technical Analysis considers OHLC together with volume in its most general form. Strictly OHLC analysis leads to the concept of price patterns. APS is a good program that analyzes OHLC values of up to six bars daily or intraday and finds price patterns that satisfy user-defined performance...

I agree but why do you have to limit position size to 15% of capital if you have already set the max loss at 2%? Ron

Expectancy E = avg. win x prob. of win - avg. loss x probability of loss We only know the probabilities for each system. But Expectancy is an equation with three variables since: prob. of win = 1 - prob. of loss and you need avg. win and avg. loss. Alternatively, given the expectancy...

I think you will find this free article by Michael Harris very informative: http://www.tradingpatterns.com/Kelly.pdf In addition, Michael Harris in his new book Profitability and Systematic Trading has a section about position sizing, explains the fixed fractional method and offers some...

It is.... I agree. Even 10% drawdown is too much for me. I'm getting older I guess...clear sign... So far this year I have limited max drawdown to less than 4% but I'm making only 9% return. The way these parameters are related is dictated by basic economics. More risk more reward, plain...

No, you don't have to identify a trend before you trade it. The idea is to trade and identify simultaneously. If you wait for positive identification, you will get there too late. Many experienced traders trade first and identify after. If you trade size you need to do that. Ron

TA is an art, not a science. It does work, but only for the artist. You cannot learn how to apply TA from books. You learn only the principles. Nobody will teach you the tricks of the trade unless you are the "successor". Even then, you may not get it, especially if you are not an artist...

Positive Expectancy is a fancy way of saying that you make more than you lose, with a sufficient rate of success: http://www.tradingpatterns.com/profitability.pdf Ron

I know that Merrill has a custom RealTick application and that should work fine for your purposes. The algorithms Merrill uses to route orders should be available with that platform. Ron

No, this is what the software industry wants you to think. This is a quote from Michael Harris' new book "Profitability and Systematic Trading": "one severe theoretical limitation [of backtesting] arises from the fact that when a trading system is back tested it is not a real market...

Contrary to what you and other people think, that will be in dollar's favor. Ron

This is good advice. Ron

Thanks droskill for the info. A few questions: does the scan create the indicator based on the available historical data? What about if one security in the index has less data than the rest? Can you also use things like RSI(x) in the scan? Ron

FIbs are good but you never know whether is going to be 50% or 61.8% for example, and that can cause a lot of pain if you are wrong. Ron

dareminator, very good info you provided. I don't know how complicated your strategies are but can you tell me if you are kind enough whether I can do the following with Amibroker? I have a universe of 55 stocks and I construct an indicator based on the price and volume of these stocks. It...

Kicking, You made some good and valid points. I have just a few objections. Continental Europe has had it's history of bubles, actually many. The biggest current bubble is the Euro. Besides, EU contries do not and are not supposed to have any price controls and if I recall correctly there...

Michael Harris is one of the few real experts on this subject, his software is amazing and his books contain realistic and practical trading and risk and money management rules. His trading methods work and make money: http://www.tradingpatterns.com/About_Us/articles/article3/article3.html Ron

I see a bottom in S&P 500 at 1,257 and a h&s type of formation in the weekly chart. Looks like price is testing trendline resistance now, the line from the Oct 2007 high. Any correction may be short-lived unless new worries emerge and bad news. Ron

I am looking for backtesting software that can do the following: (1) Backtest all Nasdaq 100 stocks since 1998 and calculate on a daily basis the number of them that moved up more than x%. (2) Create a historical indicator of the above count. (3) Use the indicator in backtests as part...