Search results

Just purchase the historical data you need to do a proper job. Using 8 months is just not enough. These guys have very decent historical data: http://www.tickdata.com/

There is no such thing as a high-probability setup - at least, that is not what matters in trading. What really matters, is a positive expectancy (the higher the better, obviously). What's the expectancy of a pre-defined setup: E = win%*win$ - loss%*loss$ In other terms, the expectancy...

Re. MC .NET, I downloaded the starter edition, only to discover that the 2 simultaneous symbols are *not* 2 separate instruments, but 2 separate expiry ... so I can't even load my CL historical data. Also, reading the (very limited) help, I found that a strategy will get disabled if the data...

Results for the week ending July, 5th: - 9 wins ; 7 losses ; net +2210 Results for the week ending July, 12th: - 9 win ; 6 losses ; net -345. Results for the week ending July, 19th: - 6 wins ; 6 losses ; 4 BE ; net -2115. Results for the week ending July, 26th: - 10 wins ; 9...

FWIW, the only thing I save to disk is the open position & the open orders. Upon strategy start, I execute the logic on past data without sending orders, just keeping track of what the current position & orders would be, which I compare to the position & orders as stored on disk, and I adjust...

I believe it is essential (from robustness point of view) that your "live execution" code be identical to your backtest code - ideally, the code-path for live execution should be 100% identical to the code-path in backtest - of course, all of the error-handling that deals with issues you...

Upon Raymond Deux's request (CEO NinjaTrader), Baron did remove my thread "Open letter to Raymond Deux, CEO NinjaTrader". I see no value in contributing any more to EliteTrader.

For reasons I won't discuss here, this is likely going to be my last post on ET ... ... I think you are getting the message, I will just re-state it one more time: 1. You can't get into a position with a specific expectation for the outcome of *that* trade, because any trade's outcome is...

Let's take a hypothetical trend following system, with a 20% win rate, and a 5:1 reward:risk ratio. What is the "prediction" one is making when taking one trade based on that trend following system?

If prediction has a statistical meaning to you, without any specific expectation from the current instance, then sure. But I guarantee you that for most people, prediction implies specific expectation from the current instance - and all kind of frustrations when the current instance doesn't...

Even in that very case you are taking for example, there is no prediction involved, the trade is taken based on: - the observation of the past, - the assumption that the future will *statistically* reflect the past. One has to assume that the outcome of any particular trade is a random...

Export the trade-lists to Excel, sort by Exit DateTime, then manually compute the P&L, peak P&L, current DD, max DD.

Was the reboot after installing software (or a windows update) ? If so, I would roll-back to the prior config.

Whichever method you choose, be sure to evaluate how accurate it really is, using historical data.

I actually think IB commissions are too low. Seriously. They can't afford to hire competent development & testing teams, and we get more bugs than (useless) new features time & time again.

Of course, slippage only applies to MKT & STP orders ... but if like most people you make any use of STP orders (either on entry or as protective exit), you have to consider their (likely) slippage. Bottom-line: don't fool yourself, set that slippage to 1-tick & forget about it.

Honestly, 17 trades in June isn't a significant sample set, no matter how good or how bad the net outcome. I started trading CL always-in in my live account on March-19 ... on April-1, at the 17 trades mark, the system net P&L was -1,625, down -2,580 from its (early) equity peak of March-22...

Ninja backtesting 101: 1. Ignore MarketReplay for anything but verification of real-time behavior - Sim101 & MarketReplay fill engines are really bad (I can show you a LMT order filled intraday 10-tick better than the price limit assigned to the order, STP & MKT fills are fantasies as well)...

I use Excel for my statistical analysis, from there I backtest in Ninja.

That's what ultimately lead me to developing & trading automated systems ... I always lost money discretionary trading, at some point I realized I wasn't confident in my trading plan because I had not backtested it, and forward test on sim was not enough to convince me. But it took me several...