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The next datapoint, is the average total-size per trend ... as can be seen, the average trend total size is also down about 22% from the prior years (again, 2008 excluded)

As I was reflecting on this year of trading CL ALwaysIn, and in the midst of developing v51 - still doing stat analysis on 2007..2012, and "forward testing" on 2013, I was puzzled by the somewhat low P&L result for 2013, no matter what I tried. At some point, I realized that overall, 2013...

CL AlwaysIn v51 backtest performance data

Results for the week ending March 211st, 2014: - 6 win ; 7 losses ; 1 BE ; net -2220 of which -200 result of a human error. This week marked the 1st year of trading live CLAlwaysIn (on Wednesday, March 19th) ... I thought I would give a few highlights, good & not so good: - 598 trades...

I'll trade a detailed description of it for a detailed description of your A1 setup :)

There are a number of traps one can get into with programmed systems & backtesting ... like assuming a LMT order is filled when price hit that level, or not accounting for slippage on STP & MKT orders - not to mention assuming anything with STPLMT orders, which are the most difficult ones to get...

Duh?! :) In some market models I do reconstruct the bars from lower timeframes so that I can have more insight re. what's going on in a bar, the H/L order being the most obvious. In other market models, I just get rid of the notion of bars, go to a very small timeframe to get enough...

NinjaTrader is my platform of choice, and I do run multiple systems on it, 24/7, of which CLAlwaysIn which as its name suggests, is always in the market. IMO it is a great platform, although not perfect (no software ever is). NinjaScripts are just C# programs, with all the flexibility that...

"Build or buy" type decision. Or, rather, "in-house vs contracted". Without programming experience, contracted would be your best bet, IMO.

Re-read what I wrote ... it is a statistical certainty that any system will fail, system failure defined by drawdown exceeding the predefined system stop. Yes, it is up to the trader to decide if he wants to trade the system or not. But let me tell you that a great system will still have...

You're welcome. Quoting myself: "nothing can substitute to one's own experience, so use the MonteCarlo spreadhset I shared, put your own system(s) trade distribution in it, and try to trade that P&L curve for yourself". When you are trading a profitable system, you shouldn't fear the...

I was exactly in the same place 5 years ago ... I had wasted 3 years discretionary trading several "trading plans" w/o success. I decided to backtest my trading ideas using the computer. I took me several years to get to my first mildly profitable system, BUT I had enough faith in it that I...

Yes

I understand your comment wasn't directed at me, but I'll give you my point of view: That "system" isn't a finished trading system - it is merely showing that a given pattern can have in & of itself enough merits to produce profitable results, year after year, on a large sample size. The...

Yes - although for that amount, I would only sell a non-exclusive software license.

Here is the raw performance of 1 single pattern, no stop, no target, entry on entry-signal, exit on exit-signal. Includes commissions & 1-tick slippage on entry / same on exits. CL 2007..2014 (7+ years). 3000+ samples. Enough for convince me that patterns can have a statistical outcome...

I think each asset-class has its own personality, and often inside an asset-class you'll find sub-classes with very distinct personalities. A discretionary trader might say he/she trades the same way different markets, but this is very very very difficult in a programmed system. I have...

I hate to "optimize", except for trade-management aspects (initial stop, target if any, trailing stop parameters), which is an area where a broad brush is enough anyway - the end performance doesn't change much if you pick these parameters in the correct range (usually, pretty wide). As for...

Try RAPACapIntro for example

I wasted a few years searching for a trading edge in a million dead-ends. Along the way, I decided to focus on automated trading, in the beginning so that I could "quickly" backtest systems on large number of trades. In 2011, I created my first profitable system (that is, profitable once traded...