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no his system just doesnt work... and it's not pairs trading lol

Wait until you see next week. lever up! ;)

Be careful rollingstatic... there's some truth to what you say but I actually am pretty impressed with the OP's original post. (is that OPOP?) Conners develops one specific kind of systems... everything he does is mean reversion and his tests suffer from survivorship bias. Personally...

that is the way trends work... interlocking conflicting timeframes... you have to figure out some way to reconcile that. remember too a trend change will show first on the lowest timeframe.

i think you have the right idea but probably not quite there yet on trend identification. you also should consider highs and probably the character of the move off the lows... hard to quantify but if you're going to do something like that it needs to be accounted for.

hi bxurbx, there are a lot of questions here. let me see what i can do: 1. measure of trend... yeah that's not easy. i dont like up weeks... forget ADX or DMI or anything like that. you might be able to create a proxy trend indicator from a fast MA - slow MA type indicator, a slope of...

Ok. no question about this one then -- NYSE listed stocks. Trade 100 shares... on a really really bad day you'll lose $200... most days wins/losses will be less than $50 unless you're doing something wrong. There is the pattern day trader issue of course so you may have to borrow money to...

No doubt... I'm sure you can optimize it too, but our goals are different. You can optimize and tweak all you want if you want to create the "most profitable script" on some website, but that's not how you build a robust system for actual money trading. By the way, the best way to look at...

Well I don't know exactly, but my guess is that the amount of money that has to be moved in the time available is just so large that there's no way to hide it. It goes back to what I said earlier... one of the reasons we make money trading is that we're playing a different game. Do you think...

Depends on your timeframe (and that's not a cop-out)... give me more information on whether we're talking about daytrading, swing trading, position trading, etc. Also, your risk tolerance is a factor. In general, listed stocks behave well. Except when they don't. (And there's the problem...

Off topic?? No... I think it's maybe the punchline of the whole topic. Thank you. And you can't overemphasize the importance of getting into an office and getting in touch with other traders. If you're trying this at home and it's not working, and you're serious about it... you owe it to...

good question, and you'll see this is the reason why this was to be the last topic discussed, because it's very messy. i was making money doing some intuitive trading that had grown out of some intraday quantitative work. so, quite a few years ago i took a step back and verified each of...

hi bob, the problem with swing trading stocks is that they are much more highly correlated than the futures markets are too each other. even if you have 5 substantially different swing setups, if the market makes a big move, they are all going to move pretty much in the same direction...

Contrary to popular opinion I am not mentally ill, though I see why you might have thought that. I received an interesting piece of psychoanalysis via PM that suggested I was using BoWo as an excuse to not continue the thread because I never intended to continue it. I don't think that is true...

Thank you for the kind words, but... you have to admit I did come off looking like an idiot in that exchange. As for your filtering question, in a word no. I'm sure you could do that... my sense from kind of remembering these trades (this isn't something I spend a lot of time thinking about...

somehow... in all the layers upon layers of bullshit... the fact that a guy took the time to do a decent backtest got lost. thank you. at first glace those results look better than our actual trading results, but like i said i know i cost us some money screwing around with options... the...

i didn't know that background information joe. thanks for the contribution.

Ok... I'll give it a shot... one of our pairs models dynamically fits a GMM model to 5 minute data and sizes the two legs switching between either a GARCH process model or a simple nonparametric regression depending on a goodness of fit test. in addition, the model makes a final trade or no...

How is it the same? You "obtained" the system in the very first post of the thread and since you were helpless you "obtained" a link with tickers and trade dates a few pages later. As for candor, I think I was perfectly candid and honest from the beginning. The tone (look it up if you're...

Thanks for the illustration BoWo. That is exactly the wrong approach.