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Manly Man, What kind of shoes ARE those? Really. Nice! :D Oops, wrong handle.

sunnyskies: Exactly your point. I forgot to mention that I also tried the "system" with flipped stop/cap (cap =1 pt and stop=2 pts) as well as stop=cap. In all cases the end results were similar, basically confirming your conclusions. Where do we go from here - same place :D No Signal, No...

I don't know what currencies U R trading but the main six (vs the USD) don't move that much to allow 100 pips in a day on a regular basis. Unless of course U R doing multiple trades (though your post suggests a single trade) and even then 50+ pips a day would be phenomenal. The URO for example...

... or we could just as easily end up with a July'03 or an April'04. The risk/reward ratios are getting quite skewed here. I wonder if we'd even be here had it not been for the hedge fund CDO scare and the auto makers' downgrades. A strong PPI report tomorrow and the yield on the TY could rise...

Here are the results of a quickly set-up backtest. I have only printed selected stats (their names are descriptive). Note: The tests were done with the big contract SP and the look-in-bar resolution is only a minute bar (where the stop was taken before the cap). I believe that my cost...

I could set up and run the back test in about 15 minutes, but it will be pointless and waste of time(I've run many such tests). To begin with, it was not specified which direction the trade will take (with or against the previous bar). But, I am pretty sure that that is irrelevant. Previous bar...

Quote from tradermaji: I am trading a breakout system that is undergoing a drawdown from the last quarter of 2004. Before I started on it in 2003, a friend of mine has been trading it for more than six years. This is the longest period of drawdown for the system based on actual trade results...

"now my question: do other system traders know what i am talking about here?" I suspect the majority of system traders understand what you are talking about. 80% of system traders (managing >50M) are down for the year as the end of April (avg is -4.9%, largely attributable to FX losses). What...

"If there is one little hole to find an edge in trading futures intraday.. it already would of been plugged by some Harvard or MIT PHD's sitting in front of cray computers at your local hedge fund shop. Or probably by the thousands of ET traders looking for chart patterns with trendlines drawn...

RE: "Hi, I have picked the most recent trade in my journal to help show how I try and do things. It is simple but I like it. Would like to know if anyone else has the same kind of simplistic approach. Here it is........." wwatson1: It seemed ot me that your graph uses a simple scale for...

If it's truly a 50/50 system with NO restrictions (no table limits (or liquidity equivalents)), then a simple martingale system (in leu of MM) should be able to "beat" it. (obviously not directly applicable to markets, but a fun idea nevertheless)

"i love TS8 but hate their data SO i use own data 2 and i can use TS8 real time with any data vendor i want. just love it." Not a bad idea. I suppose I can try that. Still, the question remains whether TS handles tick data correctly. Small assumptions (like what a realistic price is, how the...

BigSlim, I believe you can use tradestation without opening an account. It is just twice as expensive (about 200/month). I decided to try out tradestation and opened an account to get the discount (but am not trading in it... restrictions :-) It is a different question alltogether whether...

Re “sounds like”. I am not sure how to put this any simpler. The two signals are distinct. The first one says “if A then go long”. The second one says “if A AND some move in my direction then go long”. To me, these are two different signals. Their backtests will have different...

To Cutten’s remark, (I hope I understand and address your criticism) My backtesting kicks out a variety of performance measures (sharpe, semi-variance, drawdowns, coverage, efficiency, consistency, to name a few). There rarely is a clear winner when comparing simple strategies, since the...

I am very weary of overfitting. I generally treat backtest results as “indications” of market tendencies, rather than more reliable behavioral characteristics. As such, calculating probabilities and expected returns, etc and using these to compare “signal strength” does not appeal to me...

This is quite a long thread and, although I browsed all the messages, I apologize if I repeat a point. I don’t quite understand the function of pyramiding?! I either want to have exposure or not. If I want the risk – then why do it with any less capital than I have decided I want to risk...