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Thanks for clarifying - but you seem to be under the impression that I am pitching / selling/ giving away some system. This is not the case. Actually, I am looking to develop new ideas. The systems I have already are proprietary and are not likely to ever be sold.

milehigh - sounds like you have truely mastered trading. any further details of your zero-drawdown trading strategy would be much appreciated (lol) indrionas - thanks for the response. yes, I know about crabel's book, although have never read it. my investigations have carried me to look at...

HoundDogOne has given some very solid advice there. All I would add is - try not to get too disheartened. It's a cliche but the markets really are very hard to beat. The fact that you have started out testing ideas rather than just trading puts you ahead of many on the curve. Also, try...

Hi guys - does anyone out there trade an intraday volatility breakout system on the eminis? I have been toying with a few ideas and here are some of my thoughts: ORB style breakouts don't work. I have back-tested a number of varieties incl time-based (30 mins, 60 mins, etc) and pure vol (eg...

The futures didn't open on Sunday back in those days - '87 was pre-Globex.

I don't own the system but from what I understand it is essentially a vol breakout method with a few bells and whistles. So I am wondering what the recent performance has been given the recent vol expansion in the SPs, NQ, etc. Does anyone out there track it / trade it? I have seen in the...

Agreed - also depends on the time-frame you are trading in. For example, intra-day in ES I might look for 1pt av profit after slippage. Multi-day it might be 5pts av profit. etc etc Trade frquency and profit factor are two key stats for profit consistency (look up prior comments from acrary).

Hi Frost I'm sure you know that a simple % chance of a direction next bar is not enough to form a strategy (altho it's a good start). Other considerations include: 1) Slippage (as you have already said - esp as you say on a small timeframe, not because liquidity is not there but because...

Murray - are you abandoning this thread? I am interested in this type of analysis - I had previously tested most of what has been shown so far but I am interested where you might take the analysis. I'm always on the lookout for new ideas. I see there are a few flamers of these seasonal...

where are you based / where do you want to trade?

They are rare but I might be able to help you - send me a PM

I'm really not sure there is one. I spent some time looking for this stuff a while back and couldn't find anything reliable. In the end I had to settle for last traded price. I know a few hedge funds and private traders who collect this info for themselves real-time from their trading...

think this guy is just joking - he asked the exact same question about ES a while back: http://www.elitetrader.com/vb/showthread.php?s=&threadid=97332&perpage=6&pagenumber=1 i don't see the relevance of trading the NQ exclusively to answering a question on it. several guys here trade...

Trouble is, none of these ideas have an aweful lot of value unless you have some (back test) numbers to support them. I can't tell you how many times I have looked at an intraday chart of FDAX (or ES, NQ, ZN, etc) and come up with some simple ideas that make money whilst eye-balling the...

Great post MGJ - think getting dirty with the numbers is the only way to do this kind of thing. SoundFX - good luck with the project. I have done similar things myself in the past. I found it very frustrating - defining a trend or trend day is easy with hindsight but creating a robust...

thanks guys - appreciate the views. i'm in the process of designing a breakout system for the energy complex so wanted to get a handle on what to factor into the cost side...

Anyone with experience trading these contracts - what sort of slippage is fair to expect when leaving stop orders in these markets? i'm used to trading ES and ZN (TY) where slippage isn't really a problem at all - 1 tick max. i've heard it can be far worse in the energy futures. thanks

Hi Art - just for the record I also read the thread regularly. Thanks for setting it up and staying so committed to it. Also, sorry to hear about your recent loss. Out of interest, how often do you refresh your back-testing of these market biases? I have read your book which tested up to...

I use WealthLab which uses a $ amount as standard but will also let you code your own script to define commissions

Think I must be misreading your question but let me say upfront that i do not use any software like this - my trading is not high frequency enough to warrant it. Your question reads to me like you think a FoF offers trading environments to it's portfolio managers, which generally it does not...