Search results

After many years of hard work, I have been unable to find/create a system to trade. In some ways, deep down, I feel that trading may be too complex to systematize, so I look at discretionary trading methods. But even discretionary trading has rules. In order to "prove" that a discretionary...

For anyone interested, some of Crabel's work is included in Linda Raschke's book "Street Smarts".

I remember when I owned Tradestation 4 that it had a feature called something like "look inside a bar", where based on the relationship of the high and low to the open and close, it tries to determine what order the high and low occurred in. I imagine the current version of TS still has this...

I use IB and would like a product that will download my trades from IB and allow me to review them, adding comments, etc. It would also be great if it could perform statistics: i.e. long vs. short trades, etc. I don't paying for a product as long as it works well. (i.e. doesn't have to...

I don't understand why all of us don't have all of these previous posts memorized. :D

What do pt1 to pt5 stand for? Thx.

You may want to start a separate thread for this question. You should also search for 'backtesting' - its probably been asked and answered before. There are many choices: Tradestation, Ensign, eSignal, Amibroker, Wealthlabs, etc. Features vary. A key question is how difficult is the...

I am somewhat embarrassed to say that I found Amibroker was using the open price of the bar being tested for the condition rather than the open of the next bar, by default. When changed to the open of the next bar, the system became unprofitable. Amibroker does not seem to have the checks...

Thanks for the post. Yes, they were standard: 12, 26 ... Correct, 1 tic = $5. No, you can't trade in between and the software did not assume so. It is Amibroker (www.amibroker.com). The orders are to buy/short on the open of the next bar or to sell/cover on the close of the next bar...

I only found 2 threads with 'macd crossover' in the subject. Neither got into backtesting.

Here is a simple MACD crossover system: Buy=Cross(MACD(),Signal() ); Sell=Cross(Signal(),MACD() ); Testing a year of 5 minute data on YM gives excellent results: Profit factor 2.07 Payoff ratio: 1.98 Net profit/drawdown: 20:1 % Winners: 51% The results remain excellent with...

Doug, What version of TS is that? I haven't seen a Performance Summary Report since TS4. Its amazing the number of additional statistics on it now. Brooks

Am having trouble getting the simulated IB data feed to work. Using the ER2 zip file from the AT website and clicking "Play", an "End of Simulation" appears within seconds ...

I would be curious to know if the system has reached a new number of maximum consecutive losers ... and, if so, what is the probability of this happening based on the known/prior % losing trades?

Yes, too incredible. I just discovered a flaw where I was looking at the end of a bar before it was finished. The system is still profitable but not as good. Profit factor is now under 2.0. Thanks for the thoughts on MM. I divided my data into thirds, optimized on the middle third and...

Thanks for the post. Ok, this is a good example. The max profit from any test is $48681 with a Sharpe ratio of 45. The best Sharpe ratio is 277 with a corresponding profit of $18827, which is 61% lower. The 6th best Sharpe ratio is 215 with a profit of $28676 or 41% below the max...

Part II Attached is a definition of the Amibroker statistics.

Attached is an Excel spreadsheets from an optimization run in Amibroker. The two optimized variables are the points of fixed profit and the points of fixed loss. 110 combinations altogether. There are many positive results here. One could simply pick the parameters with the highest Net...

Another update on Ensign. Its proving to be quite decent for simulated trading. The Playback and Sim Broker features are pretty good. I've also read that there are some hooks from Ensign to Bracket Trader which would provide a DOM. Have not tried this yet. There is a fairly steep...

First, I am an IB customer and generally have a favorable opinion of IB. However, if you start up TWS and log on as: username: edemo password: demouser you are logged into IB in a demo mode with a bold heading that the data is 15 delayed. If only it were that simple. The problem is...