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I am (day-) trading most only my own automated systems, so I can spend all my time doing trading R&D ... I concur that most setup ideas fare no better than random entries., and those (relatively rare) which are better than random, remain subject to significant variance in win% I do believe...

If you have a system with crisp rules that you currently trade manually - and successfully, then there is some chance that someone w/ solid experience in development/testing of automated trading systems can automate it for you. But, if you think you need "research", it might be wiser to...

You don't understand what commodities futures are, then. Because these markets allow for physical delivery, the real Long interest can differ vastly from the real Short interest, resulting in a persistent imbalance moving into the last trading day(s) for a particular expiry.

and that's why it is a negative-sum game. Make an estimate of how much these "costs" amount in a day on your favorite market ... that's how much market participants collectively lose on a daily basis to exchanges & brokers, and that amount must be put in the market *every day* by the markets...

I'd suggest a read of this really great book: "The brain that changes itself" by Norman Doidge. Even though the brain decays with aging, there is now solid evidence & techniques to slow this process, and keep one's brain well above the average.

One lose much more slowly trading off weekly charts, for sure. Can we all agree that day-trading is a negative-sum game, and as a result, there is necessarily more money lost than won at that game? On the other hand, I have yet to be convinced that multi-days/weeks/months trading is any...

Of course, to each his own ... it works for me, contrary to everything I had tried before. For years, I had this "Cost of error" column in my trading log spreadsheet, which didn't do much in itself to motivate me to stay disciplined. The idea is similar to getting a ticket for speed limit...

1) no bail-out there ... my bank account goes down with every discipline error, which has a direct impact on my lifestyle - contrary to keeping the loss hidden in the trading account. (and those money transfer never show-up as realized P&L nor performance in my trading account statements) 2)...

Discipline ... here is what I am doing ... and it works pretty well: * for each discipline error resulting in a loss, I transfer that amount from my bank account back to my trading account. Rationale: 1) my trading account still reflects what my P&L should be 2) pulling money out of my...

gmst: good job recovery that early DD in the week. May I suggest you add to your stats the number of systematic trades taken during the week, as well as total number of trades since Journal start. Happy Easter!

OK, don't confuse your trend following strategy's runners by design with outliers. What you can do, though, is look at the distribution of your winners, and call the top 5% outliers. With that done, remove them from your trading results, replace them by average wins, and assess the impact ...

The data-mining bias is relevant to systematic search for an "edge", that is to say systematically trying 1,000's of signals to select the best performing in backtesting. All the book revolves around techniques to ensure statistical significance of a backtest, specifically by refuting the...

What's the rationale for selling it instead of trading it?

Technically, CME's market order is "Market with Protection", which is translated into a LMT order with price is set at current bid(ask) + 1/2 product's Non-Reviewable Trading Range (6pt for ES, 1pt for CL). So clearly, unless in the midst of a vertical price jump, the Market with Protection...

I just edited my prior post, see last couple lines

I only trade CL, which also runs on CME globex servers. On this product it happens sometimes to get filled on a STOP with positive slippage (latest example, got 2-ticks positive slippage on a STOP yesterday). But to be honest, it happens more often to get filled on a STOP with negative...

ocean5: what are you waiting for to take your system live? the proof is in the pudding as the saying goes ...

How much slippage is assumed for stop-loss orders? In any case, I would say the avg/trade doesn't leave room for the performance degradation that always takes place once you go live. If you are really going to trade that frequency, do yourself a favor and look into the CME ECMP program ...

I have been playing a lot with margin requirements on my IB demo account. Here is what I saw, every-time I tried it: - took a futures position using all margin available during the day-session - around 2:15pm EST (+/- 5min) got a warning (message box) from TWS that margin requirements were...

Ensign has second-based charts - but it's far from the best when it comes to automation (even though, this is the platform that I currently use for my automated trading systems)