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Your worksheet needs 6 columns Column A Cell A1: =“Historical Trade” Cell A2: =1 Cell A3: =2 . . Cell A8: =7 Column B Cell B1: =“Historical PnL” Cell B2: =-5 Cell B3: =-5 Cell B4: =2 . . Cell B8: =-5 Column C Cell C1: =“Historical Frequency” Cell C2: =1/7...

Fascinating/amazing/shocking/terrifying how the Max DD can build for the cases where W/L < 1! It's the "mean reversion nightmare" ...

Thanks for this reference. With respect to system design/analysis, does anyone have any feel for how general the following conclusions from the above paper are, or any other comments? a) "Thus it is recommended to use ... 10 million resampled daily returns [for convergence]." (page 15) ...

I would do this as follows (there may be other ways to do it, too)… Your example has 15 trades; 8 winners (each @ +5); 7 losers (each @ -5) -> Prob of winning = 8/15 [BTW, Feb total is +15 pts, not +10 pts] Your worksheet needs 4 columns Column A Cell A1: “Trade” Cell A2...

Full marks to you, frostengine for openess and willingness to go about this in such a collaborative manner. May luck and good fortune be on your side ... I am not familiar with pattern searching as a means of looking for an edge, so forgive my beginner's question... ... however, it seems...

ALL datafeeds at ALL brokers are FLATLINING!!! What are the chances of THAT happening ALL at the SAME time!!! WOW!!! The only ticks and prices I see are from my MF Global account; so I'm relying on them 100%...

Not knowing the details of your strategy I can't answer this myself, but have you been able to rule out the first 27 "great" trades being anything other than just luck? If it was just luck, it would be pointless to look for a "reason", because the reason is just that the probabilities/luck came...

the above = "curve fitting"... The important result is not that the computer manages to find some "good results"; it's that it has to discard "millions" of alternatives to get there. "Survivorship bias"...

http://www.elitetrader.com/vb/showthread.php?threadid=229453

Hong Kong is the world's most developed financial market, according to a World Economic Forum report, overtaking the US and the UK for the first time... http://www.bbc.co.uk/news/business-16172457

http://en.wikipedia.org/wiki/Clearing_house_(finance)

http://en.wikipedia.org/wiki/Broker http://www.cmegroup.com/company/membership/

IMO it’s very brave (even foolish) to bet against the determination and ability of “Merkosy” and the heads of 24 other European states to resolve the current crisis… And I think also it’s misguided to assume that a majority of citizens of the same European states are unhappy with the...

How do you know that the only two parties following the instrument are you and the party who bought your stock? How do you know that the bid wasn't raised by a third party that has its own separate reasons for doing so?

A1. Because they'd rather be a small part of a bigger whole than a big part of nothing... A2. Becuase they don't trust their own national political classes enough to believe they will ever do the "right thing", and they admire Germany's success and discipline. A3. Because national politics...

https://www.mckinseyquarterly.com/Economic_Studies/Country_Reports/How_the_role_of_equities_may_shrink_2898

You’re comparing (I think) only the closing price of the prior day with the opening price of the current day, which forgets that both overnight and regular session also have a range that can be traded (in the case of say ES). But anyway, apart from the above, here are some facts for you (for...

Thanks for this link! IMO, key to trading system design is as deep an understanding as possible of the "market mechanics" (or "market microstructure") underlying that price behaviour which makes the system succeed (or fail). With this understanding as a guide, my view is that "parameters"...

By "win rate", do you mean "% winners" (i.e. winning trades as a percentage of all trades)? If so, then (IMO) the rule misses a consideration of average winner from each system (and profit factor), which ought to be part of your ranking of alternative systems. No? You could have a very high...

Go here: http://www.ninjatrader.com/support/forum/search.php?searchid=1147881 And search for "do not re-enter if last trade was a loser"... There are lots of threads on the topic.