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Agree and disagree, most parameters seem to be specific to a particular market period, however, some are not.

In your opinion, what would be the most important thing to optimize? I'm using Ninjatrader Genetic Optimizer Total Net Profit Profit Factor or gross profits minus gross losses Average Profit per trade Max % profitable Max Sharp ratio Minimize drawdown (This is not an issue with my...

Got this done, its around 1-3 points surrounding major announcements that occurr at 10am, 2pm or 2:15 to 2:20. Largest was 7 points at 10am but that happened only once in a year, 2011. 2013 was similar.

Hey guys, just wondered if anyone had done a study of INTRADAY gaps in the ES tick data for ES? For example, those that occur around FED announcements? I need to consider how large of a gap would occur if I were in a position and the gap jumped over my stop, thus giving me a loss bigger than a...

Hey dom do your patterns work on other instruments or just CL?

Thanks nazzdack, insightful.

If it keeps the position as is, this seems kind of counterintuitive depending on your exit rules.

Hi Dom question about your always-in strategy. I think thats kind of a cool concept, but it seems like if you only identify certain patterns the program should be involved in a trade only after those patterns are seen, right? So how does the program make decisions if those patterns do not...

Have you tried reversing the position when a stop is hit and then reversing the stop?

Hey guys, just wondering if anyone had studied the VIX in the bull market of the 1990s? In the 2000's the VIX seems to be perfectly inverse to ES, but in the 1990s, the VIX and ES/SPY went up at the same time for a long period of time and the VIX seemed less responsive to moves in ES or vice...

No, no joke, SPY is not the same as ES or SP because its an ETF.

Does anyone know the correlation between ES or SP and SPY over past 20 years or so? I'm guessing its probably in the high 90% or something like that.

Thanks for the explanation guys, this makes sense, of course this means if you go short, you lose a small amount per quarter.

No, look: at some point u need to roll from sep to dec sell 1661.25 and buy 1654.75 E-Mini S&P 500 Sep 13 1,661.25 Aug 23 6.50 (0.39%) ESZ13.CME E-Mini S&P 500 Dec 13 1,654.75 Aug 23 6.75 (0.41%) ESH14.CME E-Mini S&P 500 Mar 14 1,648.50 Aug 23 7.00 (0.43%)...

Hey guys, how does "ES" continuous contract account for the fact that holding ES over time loses the interest rate? I'm backtesting on NT.

I found the answer to this, daily data is available on Yahoo finance for free.

Hey guys, just wondering if anyone has daily data for Ninjatrader from 1990-2005 for ES. I currently have from 2005 to 2013 from Kinetick. Also, I need VIX daily data from 1990-2005. Lastly, minute data for ES from 1990-2005 would also be helpful.

Here's a follow up, how do you identify an undercover cop? I think its usually a white male between the ages of 22 and 40, and blue collar, clean-guy.

How did you come up with the patterns? Your timeframe seems a bit short for CL since it had that big blowup in 2008. I dont expect something like that again.

Dont forget to include slippage and commissions that can be a big negative.