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If the entry is changed then 5 bars after that results in a different exit price and that makes it Type I still. I also think it is a good exercise but there is opportunity cost. It is a lot of work. If you have the time then it is good for you.

You state in your blog: "Keep in mind, because this is only one pattern, the number of trades is a bit low. Because of this we also validate the pattern against the Dow Mini (YM). This allows us to feel more confident that the pattern is not simply curve fit to the ES data." The two...

The author of that paper is probably confused. Kelly is about bet sizing, not leverage sizing.

You have to first understand how the profit factor is related to other metrics that are directly affected by volatility. Read this first. According to the formula: pf = w x r /(1-w) Now measure your win rate and r before and after. If the win rate is the same, this means you have to...

Manually? You must be kidding of course. The code generator is the last step. Before that there is a search step. It isn't as simple as you think or it may be simple for you, not for everyone else. They provide the ingredients for developing more complex systems based on stats you...

Long options requires impecable timing or you lose everything. Not true with futures. There you only lose what you risk. Options can lose 50 or even 90% of value in a few hours and this happens regularly. This is gambling, not trading.

Maybe this is something relevant: http://bit.ly/sBNuZn

Thanks

There is money to be made in all timeframe. Daytrading is more demanding but you sleep better. Swing trading takes away some of the peace of mind during sleep.

You are not going to get any serious attention with spelling errors like: "Our only mission is to develop hihgly successful trading..." Ten PhDs working there and nobody knows how to spell "highly"?

No, the opposite will fix the US economy. Oil going to $200. Only then China will not be competitive and jobs will return to US.

Some people, especially university theorists, believe randomness means you can't make any profits. This is totally wrong. If you can spot random processes with a very small winning bias then you can make a lot of money by simply buying and holding assets. You exit when the bias slowly...

500k is small change for disclosing to you a proven startegy. Nobody will do it. As a matter of fact, if you think 500K means anything these days you are not in serious business. That is much less than the amount most winner traders spend yearly on cars, vacations and evenings out.

Do you require full disclosure of the strategies?

Measure his performance. If he is a consistent loser, just take the opposite side and profit. You need the losers. If there are no losers there are no winners.

+ I have to admit this post summarizes well what one will learn after reading 10 books on the subject. Do you also optimize for optimum performance across multiple markets? To me optimization is not the important issue. I'm worried when my combined systems fail to perfom well when...

Good link. Here is the link to the derivation of the formulas: http://www.priceactionlab.com/Blog/2011/01/why-trend-following-is-hard-a-quantitative-answer/

A good rule of thumb. I agree.

The Germans don't want to pay by printing more money because that is essentially a tax from reduced purchasing power but the FED comes in and wants to do that to Americans. Maybe a few US Banks will benefit from a bailout of EU but the average American consumer will see higher gas, energy and...

+ Some should read your post over and over again. Whether curve-fititng is good or bad depends on how one does it and what are the objectives, timeframes, markets, etc. The worse type of curve-fit is the one that moves signals and their exits on a price curve until the profit is acceptable...