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How about you proof-read before you post? On another note, stop slippage in backtesting must be reflective of stop slippage in real-time trading. I do trade CL live enough to know that 1-tick slippage in backtesting does reflect the average stop slippage good enough. This statement...

To be clear, I am seeking comments/feedback on the recent drawdown characteristics, if possible comparisons with other traders' systems from that point of view. I don't really want anyone to waste his/her precious time explaining why they think what I am doing is impossible (I read "Inside...

Sorry for the confusion - I use High/Low swing points, nothing to do with floor pivots

P&L curve attached (again)

No optimizer, but a lot of manual testing to find out the best settings. I reworked the pivots based on observations made in the drawdown months ... so in a sense, the prior 23 months could be considered as out-of-sample from that point of view, but certainly not from a basic system point of...

I identified about a year ago a reversal pattern on CL, which seemed interesting enough for me to start developing an automated system for it. I won't disclose the specifics of the strategy here, but the idea is to look for for a trend reversal manifesting itself by price making a HH directly...

I keep in my trading log (Excel spreadsheet) a column titled "Cost of error" in which I input for every trade the cost (or gain, but this is pretty rare) of any discipline error (deviation from my trading rules). This has convinced me deep enough that my discipline errors cost me way more...

Of course, markets see radical changes that affect them long-term ... the advent of electronic trading, the speed of information (& rumors) propagation through the internet, the globalization of the economy and of the trading industry itself to name a few - and I wouldn't let aside from this...

18. My only automated trading system success to date is based on a specific market inefficiency. Aside from that, I am still fighting with the development/validation of a particular reversal price-pattern (day-)trading system ... 2 main areas of fighting are false positives & undetected...

This is pretty much the rule in any business, for obvious reasons ... we all would love free money, but the reality is everyone needs to "work" to generate money (at least, beyond the "risk free" interest rate, which seems to be zero to negative these days). But working in isolation has a...

55% win% at 1:1 translates in a P/F of 1.22 Your system backtest on 10 years shows P/F of 1.28, and the average win is much smaller than average loss ... the trade management part of your system is weak IMO

10am news release, Employment Friday, Options Expiration week, 9:30am open / 4pm close, 1st / last day of the week (or month) ... all of these are patterns which may or may not impact your system performance. I understand you are cautious of not over-optimizing your system, but deliberately...

More comments / ideas to consider: - Day of Week (DoW) analysis ... what is the best/worst DoW performer on the entire backtesting period, and is this consistent on a year-per-year basis? Do the analysis for Longs & Short separately as well. - Time of Day (ToD) analysis ... analyze the...

The large number of trades in backtesting as well as its time-span is very good. - I would look at all the stats on a year-per-year basis ... how much variability do you get? - I would manually verify every single trade (in the backtest) for at least 1 year ... I know this is a lot of...

I use Dimension4 from Thinking Man Software. It is free and does just what you want.

I have one which would probably not qualify as "Holy Grail" with other traders for various reasons, but does the trick for me at this time ... ... developed it on 16 months data, out of sample test on the prior 18 months was pretty reasonable, I have been trading it live for 8 months now...

I have to disagree that there exist a perfect stop placement ... for a given entry price, the amount of heat that the trade could take & still end-up being a winner isn't a step function. What we are dealing with are probabilities ... say I am counter-trend trading the ES, and using an...

Yes that was a little provocative :) - and I appreciate you jumping on it. My point is that "assuming I want to risk 1% of my capital (on a single trade)" is a pretty poor position sizing decision, which doesn't take into account the win% of your system nor its payout ratio (average win /...

Backtesting (even better your own trading history for that setup) is 1/2 of the answer ... with a large enough sample size (say 500+), you start getting an idea re. what kind of losing streak can be thrown at you. My coach routinely says "take the max drawdown from backtesting and multiply it by...

Can you define "micro stop" ? I would suspect it can't be at the sub-tick level, so how many ticks would a "micro stop" be for you? My 2nd question is, how far is your 1st target using that "micro stop" and what win% can you achieve ?