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Discretionary traders do not test because there are no fixed rules.

Some arbitrage strategies work best without a stop. For TF a stop is a must otherwise drawdown can get too large.

Although I support your Kelly work, I think you are wrong here. Trader A makes 100% and trader B makes 100%. How do you know which one of the two has skill and which trades randomly? The idea is not that random trading is unprofitable but that commissions turn profitable trading to unprofitable...

Of course you can make $100K profits a month. The problem comes with the associated losses.:)

This is a must read: http://www.priceactionlab.com/Blog/2015/05/myths-data-mining-bias/ Especially #5

HFT at $1/trade is the sure way to hell.

FX trading is by nature a negative-sum game. This article demonstrates that.

"Rather, system creators must actually call their trades, in real time; and we track the performance on a go-forward basis." Do you allow system developers to call trades with entry at the closing price?

"obvious question, why not fit the mean reversion directly?" Example?

This is the signal that something is going wrong.

Oil prices are fixed by supply. Now there is oversupply to punish frackers. Normally a low USD is better for oil stocks but in this environment even that would not help.

Futures and fx are negative-sum games when broker fees are included. Stocks are not due to dividends.This article sheds plenty of light with simulations.

Excellent idea! Question: Are the equity curves listed in C2 from hypothetical backtesting results? I got spam email from a guy with systems named after singers and when I looked at the equity curves they appeared to me highly overfitted backtests.

Worldwide problem.

"Instead of trying to identify profitable trading algos on in-sample data that validate out-of-sample and remain profitable forward, one could instead try to identify unprofitable algos in some data sample that turn profitable in a forward sample. This often works because markets have become...

Why should MMs (automated nowadays) let you win in their own game? Answer this first.

Good article. Thanks

It's all in the formula.

Anyone trading stocks who cannot profit must quit trading immediately.