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Thank you! This is clear.

Can you please describe what you mean by overfitting? I think I understand but want to make sure that I get it right. When I think of overfitting, I think of an absurdedly narrow "signal" window, with a very small sample size. Something like this: The signal is a narrow range of the...

The contract size has been off-putting. I started with a whopping $4K in my test account. The lower share prices of the ETFs make it much easier to ramp a position up or down.

Thanks for this, I will dig in deeper to your post later today. RSI is one attribute that I've been too lazy to incorporate into my models, but it's very high on the list. For one, I have a hard time getting a firm definition of RSI itself!

Thanks for pointing this out. Whenever I can, I'm trading the leveraged ETF's (UPRO vs SPY, TVIX vs VIXY, TMF vs IEF, TECL vs QQQ), but I keep hearing the horror stories of these ETF's flash crashing. It makes me very nervous. Could actually be safer to just trade the lower-leverage...

Dunno, but thanks for the heads-up! I'm probably way less experienced than you, so I don't have a good idea of the trading packages out there. I'll take a look. Though it's hard to beat FREE ;-)

I'm afraid my logic is inverted relative to yours! I mine data, fine the sweet spots, then intellectually justify them after the fact. Pure "machine learning" people don't have any problem with this whatsoever, but I'm more of a deterministic guy at heart. That said, the strategies that my...

That's a good point. I guess you could run the backtesting and remove a year (or more, or less) of historical quotes, and see how "stable" the sweet spots are. One problem I have is that the profit curves for many of the sweet spots are very similar, implying that the indicators are obviously...

The 30-day past return is one of many indicators that I use. I have 14 indicator securities. For each indicator security, I compute 30/10/5-day past return, 200/50/10-day MA, and 200/50/10-day MA crossover. That's a total of 126 indicators. I backtest each indicator to find the "sweet...

Ha, yeah, this is not an interface for the masses. At least I have a color screen. And it's not a CRT!!!

So I implemented an exit strategy whereby I sell the security if the signal that caused me to buy the security is no longer active. It seems to work well. For most of the securities I'm trading, it adds a couple percentage points to annualized ROR. For securities like TVIX, it works like...

You know...the exit for my approach could simply be the entry. In other words, if I buy a security because the indicator signal flashes positive, then I could simply sell that security if the indicator signal flashes negative, rather than holding the security for 30 days. If it's not good...

What do you mean specifically by money handling? Optimizing the exit? I haven't yet optimized the exit. My testing assumes that I sell in 30 days, unless I'm stopped out. The first books I read on rules-based trading were written by Kevin Davey. Not sure what the group here thinks of him...

I started my work using five indicators simultaneously, but abandoned the effort because I wasn't getting rich enough statistics for each realization of the five indicators. I guess if I was daytrading, it would be a different story. Maybe I'll revisit the multiple indicator prediction...

I have to say that I'm humbled that you guys would take the time to read what I wrote and provide this thoughtful feedback. I'm just a middle-aged guy fumbling in the dark through a sea of bad/disinformation. It's good to see that I'm not totally lost, but I'm still waiting for the other shoe...

For the S&P, I analyzed 103 indicators, testing 2615 intervals. From this, I extracted 150 testable strategies and chose the "best" 6 that I'm currently trading. So I'm definitely spanning a large model space, but I'm quite sure that the correlation between many of these strategies is pretty...

Haha, definitely a lot of F90 in your community! My day job is actually in energy.

Thanks, and a good point. Most of the ETFs that I actually trade have only been around for 9-10 years, as you noted. However, during the model training phase, I will actually analyze securities that have been around longer. For instance, I train the model using ES futures (which go back to...

I'm not explicitly analyzing the histograms. I just follow a profit maximization approach. I loop over a range of indicator intervals and backtest each one independently. So for each interval of each indicator, I track a cumulative profit, # trades, and some other statistics. I'm currently...

FWIW I'm currently trading UPRO (leveraged large US stocks), TECL (leveraged QQQ), TMF (leveraged 7-10 year US treasuries), VIXY, XOP (US oil & gas stocks), and SLV