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I used $75 per r/t for slippage and comission per-contract. I have no basis for this since I haven't looked at the min. data yet. I chose that amount so I could compare my systems to systems in Futures Truth. What estimate do you think is reasonable?

Sorry, all the data I have is copyrighted and I love my provider. You can get it pretty cheap from them. http://www.tickdata.com/html/pricing1.html

ok, I've completed running tests on the data. Here's what I've learned. This market likes tight stops, trend following, with no profit targets. Trailing stops work very well. It seems that when a directional move happens it goes without retracements. Outsized moves happen from Dec. - Feb...

And here's the annual summaries. Seems very easy to trade. Most profits come in Dec. - Feb. quarter. That's all for today. I'll look at shorter timeframes since this did so well on longer periods.

Got the past 5 years of data and plugged in a simple trend following system on 60 min. data. Can't believe the results before getting started. Now I know why everyone's getting rich trading energies. Here's the summary...no optimization.

Place shared material here.

Just ordered the natural gas tick data for last five years. Anyone interested in collaborating on building a system to trade it? I'm trying to cut the development time so that I can start trading it by July of 2007. Not looking to share a system...just exchange ideas and come up with a basic...

Since profit factor isn't published you might want to compute the 12 month pf from the data provided. (% wins * ave. win)/ (1-% wins * ave. loss).

I used to gamble some when I went to Vegas for business meetings. I'd take 1-2k and play blackjack split into 2-3 sessions. For me, it was fun and exciting because it was so different from my regular job (marketing). I've been trading now for about 3 1/2 years and I recently took my family...

Degrees of freedom are reserved for use with normally distributed data. I have tested enough market data to know the data are not normally distributed and are non-stationary. To that end if a test is done on 1,000 days of data, you would have to assume 1,000 degrees of freedom based on the data...

With a little help from a broker you could use two accounts to screw the IRS out of taxes. Have one regular futures account and one self-directed futures IRA account at the same firm. At the beginning of the day tell the broker to buy and sell the same number of contracts with the account...

Esignal is ok. It used to be horrible during fast market conditions in the ES market. With tick aggregation it seems to have gotten better. I just use the feed and it seems to be fine 98% of the time. When it's down the other 2% it seems to be when I need it most. If you need 100% reliability...

I don't trade on Fed days because what you see is not what you get. I've had stop orders in the ES to stop and reverse existing positions. The worst I've seen is 4 pts. of slippage when the stop was hit after a announcement. The model will say I should've only lost the spread between the stop...

http://www.tickdata.com/html/available_data.html

Taleb would say it was luck or survivorship bias. I had bad luck with TA so I tried other ways to decide what days to trade. Since my trading timeframe is part of one day, I used daily bars to search for patterns (higher timeframe). It was mostly trial and error. When I found something...

Sorry I didn't respond to your pm. Tampa PM'd me into the original thread and warned me most people were following to try and copy my system. I'm still paranoid about giving away too much info on it. You've culled out some of the criteria that I use. Here's the selection criteria for taking...

I've only talked about the original model I started with in 2002. I have multiple systems and have a couple of others that I'm watching before going live. I'm also working on models to take live in 2008.The one I'm most excited about is a swing trading model for the ER2 market. I've been...

I don't have enough info. to tell if it's curve fit. You can test it yourself by making the parameters you use inputs to the model. Then optimize on one parameter at a time. After each pass, check the optimization report and see how sensitive the results are as the parameter changes. The ones...

What I've done is just go to the TS analysis screen. Write down the average winning trade + 1.28 * the winning std. deviation. Then write down the average losing trade - 1.28 * the std. deviation. This gives you the 80% threshold for the largest winning trades and largest losing trades. Use...

Yes, that's the original system I posted in my journal in 2002 with 2 changes. 1). I added volatility sizing along with mmgt so that as the market volatility dropped I increased size. 2). I put in a volatility cutoff so that when the average daily range dropped below 7 pts. I skipped taking...