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Orthogonality is ensured by design, ie. I select patterns in each tier that I know cannot overlap (for example, I have 1 tier dedicated to the various ToD bias, 1 tier dedicated to the total trend-size relationship between last trend and the prior one). There are a few patterns that could...

I agree 100% that each trend as I call it, or wave if you prefer, is a random event. Furthermore, I contend that the outcome of any single trade is always a random event. What I call a pattern (or bias), is a defined set of circumstances of past price-action, with a statistical outcome...

You forgot 15 bid-ask spread and/or slippage ... bid/ask spread, slippage, and commissions, are the negative edge any strategy has to overcome before just breaking even. I have found it much easier to make these as small as possible vs my average win & loss size. I day-trade CL (automated)...

Any indicator that shows HH/LL/LH/HL/DT/DB *MUST* have some build-in lag to ensure a price labelled HH was indeed followed by some amount of lower prices. Sadly, Ninja doesn't include that lag effect when scrolling over past historical data - as a results, unless the indicator also indicates...

The system uses at its core a trend detection mechanism which provide trend-change signals. At each trend-change signal, the system makes a decision to go with that signal, or against it, based on 2 kind of patterns: price-patterns & time-of-day bias. Price-patterns are derived from prior...

Results for the week ending June, 14th: - 4 wins / 6 losses / 1 BE ; net -375. The unrealized P&L on the open-trade is about +2200, which on a NAV basis makes today a new P&L peak (I am trying hard to make it look good ... but in the end, what I pay attention to is the realized P&L, and...

Most fail right there. Not that trading could not be learned, but finding a good mentor to learn from is virtually impossible. So you'll have to mostly create your own art of trading out of your own blood, sweat & tears. This is a very long journey that you are embarking on, with 95% risk of...

CL always-in, 1 contract per entry-signal, no cap on total number of contracts traded. Objective TA, in-sample backtesting.

From Wikipedia: "In finance, technical analysis is a security analysis methodology for forecasting the direction of prices through the study of past market data, primarily price and volume." I am a fully automated trader, and all of my trading systems are using technical analysis (per...

Classic proxy for volatility is a 10-day ATR.

Hull Moving Average

IMO, any trading strategy is an exercise in curve-fitting. The example provided in the type-III section of the blog oversees a key aspect: to get to the entry rule "if Close[0] > Close[2]", one has to datamine and find that this is the best entry signal over many candidates in the form of...

All in all that seems pretty expensive. I just built a PC for my girlfriend for CDN $720 + tax ... at this price she got an i3-3225, 8Gb RAM and RAID-1 (2 x 500GB), plus a very nice case (I have the same case for an i7-3930K / Noctua NH-D14 / 64GB RAM). Add $100 to get an i5 plus $55 for...

I you don't need more than 1 year of data to replay, and you have the patience to download that 1 day at a time for each instrument you require, then NinjaTrader/MarketReplay will fit your needs, all for free.

Results for the week ending June, 7th: - 4 wins / 4 losses / 1 BE ; net +1615. Unfortunately, the unrealized P&L on the open-trade is about -2200. I am quite frustrated about that trade, because its entry decision was based on one of the new patterns part of the v35 which I just turned live...

Here is the account situation as of May-31, 2013 : - Starting balance (March, 18, 2013) : 45,000 - Realized P&L since March 19, 2013 : +8,780 - Max Drawdown since March 19, 2013: - 8,610 - Peak P&L since March 19, 2013 : +10,200 These figures assume $5 comms /...

Here is some info regarding the backtested performance of the system, for 3 versions: - v15, mid-February 2013, using only 3 patterns - v23, mid-March 2013, using a total of 17 patterns - v35, end-May 2013, using a total of 24 patterns I provide data for a 1-contract position, as well as...

For me it was lack of confidence in my own trading plan - rightfully so as I did not have backtested it. When I realized that, I decided to systematically backtest, which led me to automated trading. I still had to walk out of my trading room for almost every trade for months - else I would...

I have decided to have a journal dedicated to my system CL always-in. For starters, CL always-in is an automated trading system that is always in the market - long or short, never flat. It uses patterns identified through statistical analysis of 6 years of price-action for CL (2007-2012). The...

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