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- How realist are your backtesting results? No LMT order should be assumed filled unless price traded through that limit. No exception. If your system trades futures, then the biggest problem to be concerned with would be execution slippage, in most liquid futures 1-tick slippage for stop...

yep, 20+years in HighTech/Telecom R&D (although mostly in management roles), and in the last 5 years I have been developing and trading my own systems. FWIW, as a slight twist to this strategy exchange idea, I am also currently working with another trader to automate his strategy.

Performance summary

I though I would give an update on the performance of the reversal system ... I spent a few weeks in August & early September analyzing the behavior & performance of that system from January-2007 to October-2009, and came-up with a small number of improvements. The performance over that...

NinjaTrader does. Easy to have multi-instrument strategies, and going a little bit out of the officially supported API gives you access "on-demand" to historical data for any instrument / any period available in your Ninja database.

Assuming reasonable position sizing (each trade's risk set to 1% of account balance), the answer is a string of 68 losing trades net, unless other risk management rules put you to the sidelines prior to that. On a starting 26k account, 1% risk is$260, for 1 contract that's 5 ES point or...

Biggest mistake is to allow yourself to lose 50% in a week. I would suggest that you assess the costs of your errors this week (not all losing trades are errors, right ?), and that you stop trading actual money until you can re-fund your account for that amount. Do it every time you make...

I am running 2 automated systems on Ninja, w/ IQfeed for data & IB/TWS for execution. I launch them all on Sunday afternoon, and let them run throughout the week. IB/TWS is a pain as it requires to play with its session exit time to stay open, I have had zero issue w/ Ninja & IQfeed since I...

I would suspect the virtual memory (paging) to do that ... Windows has the dumbest memory management ever, you can have any amount of RAM and use only 10% of it, still Windows will page to disk most of that. So if your trading platform is actually using a large amount of memory, everything...

I'd say experienced traders know trading is a statistical game. Whatever you use, there will be losing trades, and there will be missed winning trades. Get used to it. You need to find a trading method with a statistical edge that you verified on hundreds of setups on historical data...

Several aspects - but first, your backtesting itself: - it *MUST* include commissions - it *MUST* provide realistic fills (for stocks nowadays this is next to impossible, for futures you still have a chance if you can guarantee your backtesting engine only provide fills once price trade...

For (cash) forex there is no transaction history (some brokers give you a "last" traded price, but this is never representative of the entire market, since most of it is traded directly bank to bank) ... so the best proxy for where the market is trading at is the bid/ask. To get transaction...

It could be an edge (probably needs some tweaking from this basic formulation) - but the take-away from this should be, backtest it over 500+ setups (if possible, that times several markets), and see if you can get something with a decent profit-factor (> 1.5) - in-which case, it has an edge.

Stop trading, start researching for an edge! Seriously, look into CT at the ATR, especially if you entertain the idea of averaging down. Another don't for this, don't do it on a trend-day. What's a trend day? Read any book on market profile, that's pretty well explained.

For the purpose of averaging down you might want to study specifically CT trades taken once price reach the ATR, especially for markets on which the std-dev of TR is reasonably low (since this would be the basis for your stop, most likely) Another consideration would be to avoid doing that...

The better question is: "does your current system has an edge" ? Something that you verified on at least 500 setups, taken systematically, with same entry placement & trade management rules. If it has an edge, then you know these losses are the cost of making business. You can also test if...

Since you got filled on ES on a price move against the direction of that trade, if your NQ position was same direction it also lost value, may-be this is the reason why your order was allowed but then the adverse excursion of the markets did place you out of margin compliance. For my...

One thing which is important to me, is that from a logical point of view, price needs to trade through a LMT order before a strategy considered it (potentially) filled. Although this makes for realistic backtesting, in live mode an order can be filled when touched, and for stocks it can be...

So, you are trading spot forex using tick chart? I am missing something?

No ... there are tons of trend following strategies, with win% way under 50%, but avg-win >> avg-loss. Most of them do not have a directional edge, meaning with a target = stop they will have a win% ~ 50%. Their edge is essentially in the trade management, and using a timeframe in which the...