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Results for the week ending March 14, 2014: - 5 wins ; 5 losses ; net +1160

On the attached, I voluntarily degraded that CL151 performance by using tight stops & targets (20-ticks/20-ticks), for the sake of illustrating what can happen when your edge starts failing. Remember, there are about 1800 trades included in that P&L curve.

It doesn't prevent chop when the equity curve bounces around the MA, that's why. (think about it: you miss the win(s) that gets the P&L curve above the MA, but you get the losses that bring it back under) I also tried using MA bands, Donchian channels ... these improve things a bit, but over...

Attached is the output of my MC sim for my newest system, CL151. The first one corresponds to 1-year worth of trading (240 trades). The second-one corresponds to 10-years worth of trading (2400 trades). I run 10,000 iterations for each model. I also attached the per-year view of that system...

cornholio: The attached is an Excel template, working with the YASAI free MonteCarlo add-on for Excel (http://www.yasai.rutgers.edu/download.html). It is a lightweight version of what I use. The key is to study the drawdown characteristics, not the max. number of consecutive losses...

That's a good point :) As you know, I am developing & trading fully automated systems ... I can either meet the P&L target, but need a larger DD to have a good statistical chance of passing, or I can meet the DD limit, but need a reduced P&L target. Else, I play the Combine until the...

I did check the Combine parameters lately, as I have a system that I thought would have a chance ... ... but, really, those Combine parameters are just engineered to fail 99% of the candidates. Take the $190 combine for example: $3500 target, $2000 max DD, say over 20 days. Aside from making...

Just look at CL price-action overnight Sunday to Monday ... 128-ticks down from 23:01pm to 2:55am (EST), the deepest pullback in that move down was 9-ticks at 2:14am (about 1/2 of the move down). It finally bounce 44-ticks off the 3:25am low, which was 175-ticks from the top. I'd be much...

I totally agree with this. I only started to make progress in my trading once I decided to use "insanely" large stops for my trades in Crude-Oil (I currently use 120 to 150 ticks for my initial / catastrophic stop, most of my exits are through different exit techniques than this catastrophic...

Where I live (Ottawa, Canada), Black Jack is played with 8 decks, automated shuffling machines, and a card set goes back to reshuffling when hit hits 50% drawn. Trading is much better than that, for sure.

No, I don't agree. Edge or not, regardless of the win% your trading system has, it will eventually get 10 losses in a row (if anything, it will get there the day your edge is gone, but even though the edge might not be long-term gone, it might be temporarily away). If you don't already know...

The number of consecutive losses is of no use if your system has variable-size wins & losses, because that one trade that breaks the losing streak might just be a BE or win 1-tick, where your average loser in that streak is 4, 10, 20 or even 100-ticks. What you need is to estimate your max...

Got a call back around 6:25pm EST ... the tech was nice but by the time he was remoted on my backup machine, the feed had just come alive. It turns out, the server had the wrong time, and for the 1st 45min of the session the data was timestamped in the winter time (and not going out at all)...

Help! My 2 IQfeed are not working, and the IQfeed support is nowhere to be seen ?!!! Both are connected, no data coming through (CL futures)

This is a family of patterns - based on DoW/ToD follow-through or whipsaw tendency

The one thing which is "spectacular" with 141 & 151, is that they can be run as the only pattern, always-in, and are profitable just by themselves. All other patterns are supplemental - each contributes to improve the system's P&L, but none could be run by itself. Pattern 13x (technically...

Patterns 141+142 (total 4200 sample in stat analysis) Used to be a single pattern in v45, I did split it in 2 parts in v46, pattern 142 has lower score than 141 & in practice is never triggered alone (its individual score is way below the decision threshold)

Pattern 151: (2800 samples in stat analysis)

I'll show a couple example of *stand-alone" patterns, always-in. Pattern 141: (2280 samples in stat analysis)

I only have 1 parameter that I optimize on, it is the decision threshold (as each trading decision is taken from a score, which is a linear combination of each applicable pattern (avg & info.ratio), which values are directly out of stat analysis). Funniest thing is, I had forgotten to run that...