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Current version is 12MB, so I'll have to find a host for the file. Be a few minutes... or seconds: http://www.filedropper.com/spyrand Please note I have no idea about this file sharing site. Be sure to anti-virus the file before opening.

shortie, Nice, our holding times match in each other's models, but I'm going to have to re-evalutate my model. It appears that holding until a new signal is generated is key. As for the holding time arguement, it would intuitively seem that holding would not increase the edge as the...

Maybe to save you some time, I believe you are right about hold time. Using my SPY test, the rand + C2>C1 only traded ~2100 of the 4443 days, so your intuition was correct, roughly. But still post your results, data are a good thing. masterjaz

Mike and TJ, Yep, we are back on track, but with a major hiccup. Mike, I re-ran your tests, only using the SPY's and with slighly different criteria, yet similar results. The main problem being my tests showed the random entry actually reduced the profitability of the close condition. In...

Nope, just added too many digits, doesn't make sense...$1.47, which is logical given it should be breakeven... The most interesting item being it appears the random component drops the profit and the condition C2>C1 is a decent signal, but maybe could use some refining. I don't have trading...

Craig66, I have done all the tests we need using Excel and the SPY ETF rather than the futures as Mike used. The results are as follows. Time period was 1-29-1993 to 9-20-2010 adjusted for dividends and splits. Results are for 1 share. Buy and hold would return $80.58. Case 1: Random...

Craig (and Mike), There is an error here. The results posted in response to Bill (bills falacy.jpg) are for the prev day condition with no random. And they correspond generally to the #2 scenario above. We need to add #5. Entry Time + prev day condidtion = bad, and understand we don't...

Some more data: 2255,-2158,4758 4681,-1844,5072 1753,-2329,4587 4245,-1488,5428 -255,-3005,3911 -2949,-4276,2640 -2927,-4467,2449 So that makes 10 billion iterations. I'll let others synthesize the data, a couple things stand out to me, but nothing spectacular. masterjaz

Quick update, Wrote simple program to run x iterations, set x to 1 billion and the results sum,min,max -2115,-3812,3104 677,-2140,4776 223,-3948,2968 Will run more as time permits, but got other things to do... Masterjaz

Blox, Personally, I don't think reverting to the zero line is the ultimate condition for determining a random vs. edge system. There are examples in this thread where random data gives very strong moves away from the zero line never to return. That being the case, I did set up a simulation...

I'm working on it. It's easier to banter with the friendlies than dig into the problem at hand. Thanks for keeping me on track!

Hmm, apparently you and Bill are also doctors as diagnosing terminally ill and 'not well' member of ET seems to be your forte. Is there anything you guys cannot do? Amazing. Okay, first, a link for the said thread so I can gauge the results? I would like to see what the issue was, and...

Blox, Approach the issue like the market. The market is filled with different people, with different opinions. Some are right, some are wrong. But the successful partipants are those who can accept the differences and either trade along those that are correct or exploit the differences...

Bill, you popped my ignore cherry, I'm so lucky you were the first to put me on ignore...maybe now you're "gay enough", but I actually consider one mature if he/she can overcome personal attacks and keep focused on the topic at hand. Oh well... Mike, thanks for the background on Bill, while...

Just go back in this thread and look who called me a douche. I was not even participating at that point. I saw his post by chance. Fair enough, BUT, why did you feel the need to respond? Why couldn't you just go "oh Mike, you're the douche" and walk away. Point proven, you cannot let...

Blox, This is where my thinking on randomness/noise vs. edge comes in. First, you have a theortical reason for such a trade such that I, personally, would not call your entry random. Now, does the system have an edge? This is where i would look at the system stats (win% and avg win/avg...

Bill, Fine, you never attacked Mike, sure, got it. Amazing that you cannot seem to just ignore Mike. I'm sure a psychologist has a theory about such responses--bullied as a child, something. My two cents, move on or contribute. You didn't see me continue to bicker with goodgoing now did...

BINGO!!! That is exactly what I, and only I (maybe mike...), am trying to suggest. What is random and what is an 'edge' and HOW do you determine between the two??? Are trading statistics sufficient, equity curves? How many trades are representative 20, 100, 200, 1000? How does one...

shortie, Like Mike, I also use a home-brewed approach via Excel, but there is also an on-line calculator. I would suggest that everyone build their own simulator before using the on-line one such that they realize the variables going into the calculations and what the results truely...

Intraday, We don't have a beef so maybe I can moderate...maybe...so you said, and I quote "Rule-based trading is not random trading although the results may look similar to random entries. " Now, the question that Mike and I are begging to answer, can you PROVE the results are not random...