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everyone starts as a newbie

Why pay for something when u can get it for free? IB feed + Quotetracker + Prophet backfill. For Eminis only.

It seems that way to me too. During flat or no-volatility periods it still gives plenty of signals....which makes it suspiously like RSI, STOCH, MACD or MA Cross.

Wooo...thanks for the interesting link.

I took a 3 mths break from trading to do some time wasting activities and thus has forgotten why I stopped using Woodie's CCI. Recently I papertraded it for fun for abt 2 hours using on EuroFX just to remind myself. Attached below are the false signals I get during my little adventure...

Papertrading success doesn't guarantee Live trading success. Papertrading failures guarantees Live trading failures.

IMHO, crux of volatility studies in trading systems is how to differentiate bad whipsaw volatility from good directional volatility. Even daytraders have no use for whipsaw volatility. Maybe tick scalpers have. :confused:

One thing i noticed is that sometimes high volatility does not equate to directional movement. For example, days with long bars/candles that whipsaw up and down.

After these many comments I realised that I committed two fallacies at the beginning of this thread: 1) That mechanical system developers are bound to using the entire history of a market during backtest. 2) That there aren't systems that last forever, or so long that it doesn't matter...

Thanks for not resorting to name calling. :D I'll need to chew on it first (though my conclusion might not necessarily be same as yours kekeke) as I have yet to learn calculus beyond the very basics. :P Just to clarity : Your belief is that for any set of data, say ES data for '95-'00...

If a tree falls in a forest and no one is around to hear it, does it make a sound? Okay, for example : You restrict your backtest data to only 10 days and only the opening and closing price of these 10 days. Lets say in these 10 days, the open is always lower than the close (uptrend)...

Where you get your figures from? :D Because if u have a static set of data in your backtesting, there are only a finite set of rules you can used on it that produce profitable results. For example, take the 3x3 Rubik's Cube. As long as no new blocks are added and it remains a 3x3, there...

I was refering to systems that are profitable. That is finite. It has everything to do with the amount of data. If say u keep the data for years '95-'00 constant in ur backtesting, there are a finite amount of system you can find which would work during that period, no matter how much new...

If your data for backtesting includes the entire history of the specific market and only add new data without eliminating old data then yes, the amt of systems is finite. But if you constantly eliminate old data and add new data, then yes, there are an infinite amount of systems.

9% drawdown, 100% returns is DAMN BLOODY GOOD! Its double your cash every year at almost no risk!! How far back to go when backtesting is also impt, me thinks. Too far back and we risk adding market conditions that does not exist today. Too little back and we're curve fitting.

If u modify the parameters (optimise), you're essentially making a new system. If the market keep changing and the parameters keep getting optimised to fit the current market, sooner or later u're gonna run out of parameters that work both in the past and now. The thing i'm getting at is...

But do you backtest over the entire history of the market you're going to trade? For example, if you're building a system for the ES, would you backtest the system over data starting from the date ES started trading?

So both of you do not encourage doing backtesting over the entire history of a market and instead restrict testing to recent data? :confused: lol

Pure mechanical or system traders will tell us these two things: 1. No system will last forever. It'll break down as the market changes. 2. Mechanical/System traders have to modify or come up with new set of rules/systems as the market changes and their current systems loses their edge...

I wasn't referring to the term switchover, I was refering to the term "noob". :D :D :D Also, I agree with you that anyone who doesn't know abt rollovers/switchovers in futures need to stay the hell away from the market.