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Pretty impressive results. Is your strategy long only, or do you go short too?

When I started looking at this, I downloaded daily data from Yahoo. One of the futures - I think it was EMD - seemed to run out of data. I guess I should find some older data and see what happens for another 5 or 10 years...

I appreciate the responses. I didn't really want to get into the strategies, but several have expressed a opinion that there is "over-fitting or curve fitting". I am providing some more information. Any additional thoughts would be appreciated. Curve-Fitting: I chose equity indexes with good...

Your post becomes more ignorant as it progresses. Your first sentence may very well be valid. Your second sentence is nonsense - any high school kid could create backtested strategies with many small losing trades and small draw downs over a 5 year period. Not sure if your last sentence is a...

Van, interesting comments that I will have to consider. I'm confident that the stops are not a factor. Obviously, I tried to avoid curve-fitting, but this is always a concern. If I understand correctly, you think I have too many losing trades. Wouldn't fewer losing trades indicate curve...

I do the same. I don't really want to discuss the particular strategies at this point, but thanks for your input.

Thanks for your thoughts. What do you mean by "rusty"? If anything, my stops are much larger than many would use. The only stops are: flat at the end of the day, and whatever the balance in my account is. Intraday draw downs may be slightly larger than what is shown - but not enough to...

Thanks!

I agree. Thanks for the suggestion. I am inclined to choose one and scale it up with profits. I like the idea of trying them all, but that would take many months. Since they all use the same instruments, I can't really trade them at the same time. Maybe I will choose one and paper trade the...

Excellent question, and the reason for my post. I like to be in the market, so I prefer more trades (I don't think this is necessarily a good trait, but it is reality). Like everyone, I don't like draw-downs - the draw-downs are close enough that this isn't a factor. I hate periods of no...

Thanks for the suggestion. I can't trade all of them at once because they are already combinations of the same instruments.

I'm not sure what AUM is. I ran this back test in a spreadsheet with imported daily data. Trading NQ YM EMD & RTY. Thanks for the opinion.

Thanks for the suggestion. I'm a little rusty on my sharpe ratio calculation, but I will take a look at it.

I have four similar strategies that have fairly similar results. They all require the same capital, should have similar slippage (included in the number below), and the same commission expense per trade (also included). Over a five year period, I got the following results from back testing...

Thanks for the replies. I guess I may just have to use the indexes for the values (hopefully the arbitrage guys keep things in line) unless someone has another suggestion.

I haven't traded actively for a while, and I'm not sure where to find the "best" historical data for ES NQ RTY and EMD. The approach I am looking at takes signals from the open and close of the equities markets (US), so I need accurate prices at the open - 7:30, and the close - 4:00...

Okay, I guess it didn't take long for me to come up with another question. Is it possible to use the "old style" TWS not the Mosaic? I just want the old quote monitor and some simple charts. I like to use hot keys to enter the orders directly on the quote monitor page. I have been able to...

Thanks for the advice everyone. It looks like we all have the same basic opinion. Looks like I'll stick with the standalone.

Thanks for the reply. I know I used to wait a little while before I downloaded the newest version to see if it had too many bugs. Maybe I will just stay with the Standalone...

I haven't traded for a few years, and I just funded my new IB account. I'm wondering if I should use the Standalone or Browser Based version. I used the Standalone version in the past because it was supposed to be better at that time, but I notice that IB now recommends the Browser Based...