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You should have kept your job.

DaveN or anybody who has the answers to my questions of course !

DaveN, I am refering to the following thread you launched a long while ago: http://www.elitetrader.com/vb/showthread.php?s=&threadid=1019&perpage=6&highlight=ttest&pagenumber=1 I have 2 questions: 1) I do not understand "This optimization consisted of 20 steps, so I'd take (1-.10)=90%...

Fred, please refer to the Theory of Ruin. In my opinion, limiting your risk on each trade to x% or x$ is nonsense. It depends on how long a series of losing trades can be, according to your system. Personally, I commit a lot more than 5% capital on each trade. But it doesn't necessarily...

CPTrader, I use (a), (b) and (c) in your above post, but didn’t know of this AbleSys, thanks for the tip. Something that is extremely important for me, is what Kauffman calls in his book “Trading Systems and Methods”, the “efficiency rate”. The efficiency rate is a/b, where: a=...

On average, how much of your PnL do commissions represent? Please mention how long you stay in position. In my case, around 10%. I keep a position on average for 1 day.

Let’s assume a given trading system called S. S has, for simplicity’s sake, 2 degrees of freedom, x and y. S(x,y) is therefore the trading system S using the couple of variables x and y. We optimize our system, back test, forward test, paper trade, etc etc… and we find that for...

Thanks a lot guys for your input. Prophet: my system was designed for that market specifically, because I have known that market for a very long time. In short, I studied that market first, THEN I designed the system. I prefer to do it that way as opposed to design a system first, and then...

Or not if for some reasons you can't trade it yourself.

I haven't been posting for quite a while. I have read so many times here that for a trading system to be good, it must work on as many different markets as possible, to prove its robustness, unless there is a very good reason why it should work on one market only. I have developped a...

Hey guys take a look at the first sentence of the diz: "It should not be assumed that the methods, techniques, or indicators presented in these products will be profitable" LOL !

http://www.elitetrader.com/tr/index.cfm?s=15&t=68

Doug: thanks a lot for your input. Can you email me at monmonhk@hotmail.com ? I'm using another concept and would like to know if you're using it. DS: you're definately right, I guess the reason why I was saying that I couldn't make ma work with a lot of indices was because of the drawdown...

... especially not in the US markets actually...

Please refer to the last sentence of my initial post. The point of methodology I am enquiring about can be applicable to many different type of strategies. The system in itself isn't my question at all... like you, I can't make simple ma crossing work in many markets.

What you seem to say is that you got unlucky. Is this really the case ? (just a question, not trying to be a smartaz). When testing your 10 year historical, why don't you try to cancel trades randomly to simulate the fact that some of these trades won't be done in real time ? By doing so I...

"Safety, Security & Guaranteed Performance" Wish it was guaranteed by the US government instead...

Let's assume the very simple following strategy: buy when a fast moving average crosses upward a slow moving average, and sell when the fast moving average crosses downward the slow moving average. I am always in the market. I want to test this strategy on say 800 bars: let's call them b1 to...

Breakout, I think your assumption that this chap will get away with only 2 ticks loss is a little bit agressive ! It happens almost every day that a big order by somebody moves the eMini and Nsdq Futures market by 7-8 ticks (before coming back to its equilibrium level). In my opinion, playing...

I hope it is your intention to keep your calls till maturity right ? Otherwise, what is your plan to close your position before expiry ?