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The max drawdown I experienced was in October, slightly over -22k from July P&L peak. Even though this was above the max allowable drawdown I had defined for that system (-32k), I triggered me to re-do the statistical analysis, and get rid of number of patterns with (too) small sample size ...

Results for the week ending January 24: - 2 wins ; 2 losses ; net -1020

Results for the week ending December 13: - 2 win ; 4 losses ; -1730 Results for the week ending December 20: - 1 win ; 3 losses ; -1150 Results for the week ending December 27: - 4 wins ; 1 loss ; +1155 Results for the week ending January 3: - 2 win ; 2 losses ; +490 Results for...

Results for the week ending November 29: - 5 wins ; 2 losses ; net -155 Results for the week ending December 6: - 2 wins ; 3 losses ; net +1260 Current drawdown from July P&L peak: -14990 P&L from start: +6140

Results for the week ending November 22: 4 wins ; 2 losses ; 2 BE ; net -780

When did you fall from the sky? NinjaScript is the name given by Ninja to any Indicator or Strategy developed for Ninja. The programming language for NinjaScripts is C#.

My historical data is from TickData (www.tickdata.com) ... reasonably good quality, not free but not unreasonable either.

Results for the week ending November, 15th, 2013: - 3 wins ; 4 losses ; 1 BE ; net +320 A couple trades gave back over 1,000 each :(

Week ending October 18: 8 wins ; 7 losses ; net -55 Week ending October 25: 8 wins ; 6 losses ; net -205 Week ending November 1: 8 wins ; 6 losses ; net +1970 Week ending November 8: 8 wins ; 2 BE ; net +2200 The re-designed system (live since October 15) has been working...

You are trading after the RTH close on a Friday ... seriously ?!

I am traveling right now so I don't have exact figures, but I think the P/F with stops is ~1.38 in backtest (5100+ trades), and 1.40 in forward test (~ 500 trades). Avg/trade (per contract) is just under $100 in backtest, ranging from $47 in 2007 to ~ $190 in 2008, $110 in 2009, $65 to $90 in...

I have been very busy for the last couple of months, and only updated the RAPA website with the system's live results. That said, the system has had mostly losing weeks since the beginning of July, and as of Monday this week my account was back to break-even, with 24 losing trades in the last...

May-be, you could kindly suggest something better than MC simulations then - and highlight the pros & cons vs MC sim. That would be a useful post.

I would say it is a miracle if your strat performs similarly on ES & SPY, NQ & QQQQ at any point in time. There are enough ill price-prints on these ETFs (all stocks, really) that it is near impossible not to get stopped (in or out) regularly on those absurd (yet very real) prints. I...

My bad, I thought it was ES. Use 1-tick slippage on all MKT & STP orders, if this isn't the case already.

There's something wrong in that performance summary ... with 1000+ trades, you should have 5000+ comms, not 1800. Your average net per trade is ~$35 ... this is about 3-ticks, before slippage. Not much, IMO.

By design, any filter will improve the strat performance metrics, but it is difficult to assess the "quality" of a filter just from that angle. If anything, I am suggesting to look at filters performance separately from the resulting strat performance. WRT "smoothness" of equity curve, it...

I pay attention to the information ratio (avg/stddev) ... say your strategy has an IR of 0.20 ... then you consider a filter, and say those trades only have an information ratio of -0.10 (of course, it is negative as on average those trades should be losing ones). This filter IR isn't as good as...

Re. trade frequency, unless you have a P/F >= 2, your best bet is to actually increase trade frequency, as this will lower your MTR (mean time to recover - from DD). "Trade selection" requires a lot of caution to avoid over-fit.

$2500 expected annual profit / year for $4000 system stop (assuming you would stop on a DD of $4000). No, I wouldn't trade it. In general, I demand a 200% expected annual profit on my system stop.