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Update re. the CL151 Market-Model statistics. The first table is the trend-count on a monthly basis – I have highlighted in yellow the months below 100, as you can see there was a severe decline in trend-count starting in November 2013, with 4 months in 2014 down to the 50-60 range (May to...

Results for the week ending November 7, 2014: - BasicTM: 2 wins ; 1 BE ; 1 (max) loss ; net -320 - AlternateTM : 1 wins ; 1 BE ; 2 losses (incl. 1 max loss) ; net -680 Max-loss trade on Wednesday was pretty upsetting, as price moved 2-ticks beyond our stop, then turned around and made a...

Results for the week ending October 31, 2014: - BasicTM: 3 losses ; net -745 - AlternateTM : 3 losses ; net -745 Last trade of the week was certainly frustrating, coming twice 1-tick (1/2h apart) from securing a win.

I use NinjaTrader to develop strategies which sole purpose are to collect data (extracted from historical data) into .CSV files, that I analyze in Excel. I have a webinar on my website (in the middle of the systems page) and a couple more in the NinjaTrader 3rd-party add-on channel on YouTube...

A single chart / trade setup won't tell you anything ... whether you go long or short, the outcome of that particular trade is a random event. If you analyze thousand of similar setups, you might find that there is a bias towards long or short ... this will give you an edge if you are going to...

Backtest same year on EUR futures (6E), use 1-tick slippage for entries and for exits, $5 comms per contract per trade. This will give you a better idea.

Results for the week ending October 24, 2014: - BasicTM: 1 win ; 2 losses ; net -435 - AlternateTM : 1 win ; 2 losses ; net -985

IMO, profitable trading strategies are far more complex than the example you want to use for comparison purpose. I can clearly articulate the merits of using C# (NinjaTrader) ... C# is one of the best OO languages, it is relatively easy to create trading software components reusable across a...

Results for the week ending October 17, 2014: - BasicTM: 4 win ; 1 loss ; net +1785 - AlternateTM : 2 win ; 1 loss ; net +2725 BasicTM account still in DD (-1290 vs June 12 P&L peak) AlternateTM account made 2 new P&L peak for this system this week (+2050 vs August-13 prior P&L peak).

In terms of complexity, this particular example would be extremely easy to program, I would say max 10 lines more for the suggested approach, vs. using a single timeframe with CalculateOnBarClose=false (which we both know cannot be backtested in NT7 - it will be possible to backtest in NT8, but...

Here is how I would address your example: - main TF : 5-min per your example - second TF : 1-sec TF ... used for order-fills, & real-time trading actions On the main TF, on bar close, you make the decision to go Long at market on a print 5-tick below that bar low. Keep track of that decision &...

In general, the concept of price-bar is used to summarize price-action on a given "interval". Using price-bars of a given interval implicitly assumes you don't need the inner details of price-action, else you choose a smaller "interval". Assuming you have made the right choice of "interval"...

You are somewhat unfair to NT backtesting abilities ... it is always possible to submit your orders to a 1-tick or 1-sec timeframe (I prefer the later, less memory requirements and actually better simulation of transmission delay to the exchange), which makes your backtests results as accurate...

I have one of these, although currently in prototype form. Not sure I like it though ... the average loss being 2.5 x the average win, it doesn't take long to get into a significant DD, and then, it can take a long time to get out of it.

20 trades in 20 years ... does it sound like there is some possibility of over-fit?

Results for the week ending October 10, 2014: - BasicTM: 2 win ; 1 loss ; net +315 - AlternateTM : 2 win; 1 loss ; net +485

Something went wrong with the quote ... I am not the author of anything you quoted

I have a webinar on my website on the systems page, in which I describe the market-model used by CL151, and how I used it to identify & qualify "pattern 151". You can also search for the webinar I did in July with NinjaTrader, it is in the NinjaTrader add-ons partners channel on YouTube. This...

cj: you are giving me too much credit on the stats side - I don't use anything beyond the basics, and I have no idea what k-fold cross validation is about :) ... ... on the other hand, you might not be paying enough attention to the market-model side

2+1 weeks ... do you think this makes a significant sample size? how much backtest have you done, and what is the worst performance decline in 1 week from the prior 2 weeks? You just started trading that system, and think after 2 weeks of good performance your broker or a broker`s employee...