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Actually I think both of you have good points. I think (and I could be wrong) using the S&P500 as a benchmark is common and is a stand-in for buy and hold. Using zero earnings minus commission and slippage (net loss = commission and slippage) would be the other one based on a more MC like or...

Which is your most profitable or favorite strategy.

you gotta love these competitions. take 1000 curve fit submissions and rank order them. voila, the top 5 must be real because, well they are the top 5! but wait a minute, why enter such a competition when the award is a negligible gain compared to actually trading those profitable algorithms???

If you are live-trading and getting the same trades day after day and the same PL give or take a small percentage over a whole year, then it is impossible that your system is peeking forward, and it shows your slippage and commission estimates are accurate. The only other potential problem...

I guess one thing that sticks out as others have pointed is that your average loss is larger than your average gain. You may be able to fix this with the "smaller stops" setups that were described in another thread. Your profits are completely relying on your higher win rate. I think your PF...

Agreed with everything you say. If you don't back test you are shooting in the dark. And I agree completely that it needs to be done correctly. I believe most people who don't believe in back tests have not put in the time and effort it takes to make them reflect reality. The iron test again and...

remember the flip-side though: successful people don't do what dumb people do.

By the way, do you mind sharing with us the PL curve on that simple MA cross system?

I guess the reason you think so is because the number of trades is low enough that they don't add up. However, there will invariably be stuttering or chopping periods. Those periods (call it trains of entry re-entry failures) usually remove all your gains from the trending periods. Usually at...

To each his own, but I personally would never consider trading live using an untested strategy.

A small stop applied randomly will kill your profits. Absolutely kill it. That's because a stop smaller than the 15 to 30-minute volatility will almost certainly trigger. Applying a larger stop can alleviate this problem, but an even better solution is to identify places where you don't have...

I think this is an extremely important thread, something that I thought I "discovered", and translated into real improvements in profit factors and sharpe ratios. Your scenario above might cover my example, but what I often do is this: wait for a lower high from a day high. Then I wait for a...

darktrader, have you ever back tested a strategy? Or at least have you come up with strategies that at least appear to work when looking at the last 3 years of data? I may be mistaken but it seems to me you are reading books, then just diving into live trading without studying past charts and...

agreed, interest and passion beats discipline 10 times out of 10. discipline gets the job done. passion gets extraordinary results.

news flash: Roubini says xx will cause a global recession, the kind history has never seen ever before. The kind that will lead to full-scale all-out thermonuclear war and complete meltdown of the earth's crust turning the planet into a molten ball of magma. another news flash: the more dire...

Statistics are used to estimate population parameters from samples. Probabilities are assigned for inference, either for predicting future values or assigning confidence / significance for parameter estimates. Bayesian inference is one way to equate past statistics with future probabilities...

I am familiar with resampling and permutations, so-called bootstrapping techniques to improve the confidence on your parameter estimates. But rather than those details, I still would like to see your slippage and commission models within sellShort and buyLong functions.

Hatetherisk, I thought you said you made it big already. The way you seem to have to pump yourself up makes you look like you are still not there yet. Which is it?

Seems to me, there was another turning point in the markets since the start of the year. This seems to mark another big shift since last August. Now, the daily ranges are a lot smaller, the VIX has fallen below 20, and we are in a bull market. Sure enough one of my algorithms that performed well...

I may be mistaken, but Lescor has mentioned that he uses multiple strategies on multiple time scales, and he uses his discretion to decide which ones to use. He also notes sometimes that a certain type of strategy stopped working for a while so he stopped using that one etc. This is indicative...