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...IMO that depends on what you are backtesting for. If you want to determine the robustness of a pattern- or time-based entry rule, I would say the longer the better, to verify that that rule represents some enduring structure in the market. If you want to optimize price-based entries, stops...

...thanks for that detailed explanation. Perhaps I am missing something from your history of posts, but I don't understand what you mean by beginners, intermediates, and experts. Are those progressive levels in your decision tree? Best regards. - Mike

...to be specific, you indicated that your exits are discretionary. Is the same true of entries/ Thanks. - Mike

...thank you for explaining what you mean by failure points. With the exception of trying to be on the right side of the market for the 10:00 AM Eastern news announcements, I don't try to catch the big ones. I sympathise with the problem you have described. I am a terrible intuitive trader, so...

..sorry, perhaps my Southern self-deprecatory humor got in the way here. To get the context straight, I consider an intraday trade in NQ to be mediocre if it makes $15 or less per contract after commish and slippage (trading with market orders). I am thrilled with a system that makes $30 or more...

...that is so contrary to my own experience (admittedly limited) that I would like to ask, please, what time frame you trade in, and what instruments. It occurs to me that perhaps you may be trying to capture a larger fraction of a move than I am, which might explain your dissatisfaction with...

...may I ask, please, if your conclusions are based on backtesting to a set of rules? No offense implied. Rigid personalities love rules. Thanks. - Mike

...could you comment, please, on the time frame (intraday, daily, etc.) in which you apply the approach you so eloquently described? Thanks.

In my experience attempting to develop mechanical trading systems for intraday, most of them benefitted significantly from the addition of a "take profit" rule. Admittedly, most of them are mediocre at best (not worth the trouble to trade). However, from contemplation of those few which are a...

FWIW, here are the opinions of a mathematical fool who tried for years to apply advanced signal processing techniques to the markets: it don't work, it can't work, and it will never work. The market is in no way analogous to a physical system, although it exists physically. The key supporting...

...I used to refer to EliteTrader in posts elsewhere as oxymoronic. Now I must humbly concede my error. Thanks again for elaborating on your trading philosophy. However, from my perspective $3K leveraged up in 1 NQ for 30-45 minutes in the morning is a lot safer than $28K in cash left overnight...

...thank you kindly for your thoughtful response. Your recommendation of $10K per contract I assume applies to ES, so that the equivalent in NQ would be about $6K. Re stops and percentage of account risked, I use the backtested (and realized) drawdown as a measure of risk. Do you have an opinion...

You obviously have a different perspective based on longer experience trading index futures than I have. Could you please comment on how you would size a futures account? This is a subject over which I have agonized much. Given that in a disaster you're liable for the losses regardless of your...

IMO $3000 per NQ with $1125 intraday margin leaves plenty of room for drawdown plus the possibility of a comms disaster that puts you into overnight $2250 margin and the risk of a 20 point death spike. What you want, I believe, is to maintain control of your account by not getting sold out. A...

Jay - Thanks for your reply on IB automation. I think I am missing something. By full automation, I mean automatically placing the order with IB, without going through the step of manually approving it in the E-Signal brokerage window. Like TradeStation does, where you punch the "automate"...

$3K per NQ intraday

Jay - Thanks for the reference for the documentation on the setup for automation of trades to IB. Can you comment on when you think full automation will be implemented? If not to IB, then to other brokers? - Mike

IMO E-Signal is a good value for data and backtesting. I pay $113 a month including the CME futures feed. If you prefer a "conventional" programming language to TradeStation's so-called EasyLanguage, E-Signal is a good choice. It is also possible to automate trading from E-Signal to IB.

Can you comment on any plans to directly automate trades to IB without going through third party software? Thanks.

JRKOB - From my experience the larger question is whether or not ma crossovers work at all. I spent about a year backtesting ma crossovers daily and intraday on index issues and attempting to trade them. I concluded, after losing money, that the optimized pairs are simply curve fitted to the...