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ROTFL... very nice Edit: I'd add Bwolinsky and TraderZones to that list. Bwol - huge ego with nothing to back it up. Sense of reality completely gone... TZ - bully and OCD disorder with spammers/pretty much anyone. I kinda think he's got a real disorder (the large fonts make me...

Alright, the bulk of my trading is done for today so I can screw around a bit. :D Attached please find one of my currently running index/bonds/currency models. Its an intraday swing model. The current sim. run shows all trades since 97' for the ES only. As you can see, win rate is <40% and...

This is something I need to put the work and research into as it will likely produce better returns... as such I'm open to suggestions. Right now I allocate capital to models relatively evenly based on my end-of-day total fund balance (I have to do this as capital moves in and out with some...

Thanks. I've been trying to take the frequency down a notch since my trading costs are about 23% of gross profits... I'd like to get that down under 10% but maybe that's not realistic unless I go to a shit broker. Net across all systems/trades is 51.94% win rate at W:L ratio = 4.150:3.757...

Yeah, there is one that is fairly well known, but, its not necessarily based on anything emotional; the 10am PST reversal is one given some simple conditions. I suspect this one is due to traders getting trapped or something like that... I think Stocks and Commodities mag did a test on it 6...

http://en.wikipedia.org/wiki/Efficient-market_hypothesis See criticism section. Any leveraged market - ES included of course - is subject to irrational behavior. What you're seeing with the system results I'm posting is the liquidation effect at 1255pm PST, i.e. overleveraged participants...

Great catch! Here is the edited code with proper sizing code. Thanks Random. Mike

Well, I won't attempt a serious proof, but, the Effiecient Market Hypothesis does come to mind. Investors/Traders do not act rationally, hence EMH is flawed. That "something" losers are doing to their account is called emotional and irrational behaviour.

Jeez, you're still going at it? Give it up already and lets get back to the point. Some people never get it - time to cut this loss...

Ding ding ding! We have a winner! It took 3 runs, all of which were quite profitable. Now, can anyone explain what happens when I remove the random(2) and random(3) conditions in the 3rd run? Mike

Haha, what would those bugs be exactly? There's no looking forward or snooping. Explain yourself:D

No, there is no data snooping going on here. http://en.wikipedia.org/wiki/Cumulative_distribution_function

An interesting thing happens when I remove the random variable. Is this an edge? Any takers? Guesses are free to everyone except TraderZones:)

Whoa - we got a winner here! (see attachment) Where's BWolinsky and TraderZones? I think I want 1mil for this system:eek: LOL... I'm bored today...

Whisky, It seems you've touched a nerve with some posters here. I'll go ahead and pinch that nerve. "Fooled by Randomness" is not only a good book but the term is perhaps nowhere as readily apparent as it is in this forum. It is somewhat satisfying to know how many completely clueless...

Yeah, I almost feel bad for the guy... Not really though. :D Every freakin' one of his posts is about TZ's own failures... What cracks me up is that Wolinsky was asking $5mil for a pseudo pairs "system" with -33% DD and ZERO money made in the last 12 months. Hey Beau, I'll sell you this...

Literally took about 30 seconds. I remember playing around with these concepts many years ago. Got bored though. Anyhow, don't tell TraderZones or Bwolinsky as they'll try to sell this system on C2 :D Edit: Actually if you assume $30/round trip in transaction costs (12.5 x 2 for slippage...

Hey Whisky, Here ya' go. Simple random entry strategy with 2 simple conditions added (closed and opend are daily close and open respectively). Profitable over the last 8 years on the ES.:D No slippage and commissions of course... This one is setup to trade at 1250 and 1255 PST, but you...

The difference lies in the fundamental concept one is trying to capture (via some quantitative model) versus the numerical details/representation of that model. Qualitatively, one can define a trend as a breakout with continuation. Quantitatively, the problem can take all sorts of forms and...

No, it doesn't make sense. What does make sense it to create a more specific filter (per volume or avg. price or any other metric you see fit) that doesn't trade symbols the next day which display unfavorable characterisitics for some set period of time prior. Then forward test of course...