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Hello imbecile. You started again without no provocation from my part. You should know imbecile that an MA is a low pass filter. If your objective is to minimize the lag, choose a faster MA or a weighted moving average better. Then use the typical crossover to get a golden cross. You can always...

None of the above. I meant the obvious thing to any experienced trading system developer that forward testing on historical data only does not eliminate the problem of curve-fitting, as you wrongly argued. It does not also eliminate the problem of selection bias and optimization. It is...

I think you are the one who misundestands it. You are always trading based on past market conditions. You cannot know future market conditions but only after they happen. If this is not clear to you you should know it. If you think that walk-forward testing eliminates parameters and...

Just use a faster MA and you get the same results. Or better use a fast MA(MA()). You get less lag and smooth performance.

At the last walk-forward step you will end up with some initial conditions for the actual trading and the system performance will depend on those. But actual performance will depend on market contitions. A small variation and there you go, boom...Do you understand the difference?

It is not about Italy, Portugal or Greece. It is about the fact that the time has come for debts to be repaid and nobody can do it, including Germany. So Germany keeps the attention on others. It is a basic strategy for diverting attention and using Greece like a mouce in an experiment. France...

You optimized some trivial system and you got very good results. Nothing new about that. One problem is that this type of non-linear models are very sensitive to initial conditions. They are chaotic in a sense. This is the main reason they do not work in practice. Specifically, if you start from...

Free (Don't know about adjustment method): http://www.pitrading.com/free_market_data.htm Free (Unadjusted): http://www.tradingblox.com/tradingblox/free-historical-data.htm If you have any questions about back-testing ask members of this forum. If you have no prior experience you may...

The war is not over. The war continues and freedom is in great danger from German and Russian imperialism and fascism. US troops prevent Germany from rising again to cause another holocaust and Russia from gaining ground.

For how long? The surplus of Germany exactly equals the deficit of the GIPS because those were the customers to their default. Now Germany is pretending everything is fine but financial chaos is around the corner unless they get the GIPS to borrow money from them at high rates IMF rejects...

Gross profit is a linear function of trade PnL. Profit to drawdown ratio is a non-linear function of trade PnL. It may be that the optimum in this case is a local optimum or all values are local optimum values and global optimum does not exist. This is a complicated subject. Good question...

Did this happen with only one price series or with many? If the latter you may be on to somerhing. Why don't you do the actual trading the same way and see what happens?

I agree with all of you today... TA is 100% profitable but we are not. Simple...

LTCM had a high expectancy system AFAIK but they overtraded it. They traded something like 20x. Volatility killed them. Anyone who trades a negative expectancy system is a gambler. He relies on luck to make money, not on consistent performance. However, in the same blog I quoted before...

You cannot enter a trade at the next bar at (H+L)/2 but you can enter on close. Thus, use of this series may invoke forward looking.

The system you are describing has negative expectancy depending on the time period a black swan takes to occur. In that respect, it is gambling. Only gamblers elect to play negative expectancy games.

The market did exactly the opposite when US was downgraded. Bonds rallied to the lowest yields in decades. Those that hoped for easy money got killed including famous fund managers. Let us start by the simple fact that in gampling the expectancy is known and except in a few cases outlined in...

When is the last time something "completely unexpected highly improvable and extraordinary" happened? Maybe in 2001 because the financial crisis was not so unexpected. I let you pay premium for the next ten years while I trade normal, expected events. You also confuse trading with...

"This isn't just about systems"? I thought you asked about systems. Now you are turning this to the market. There is some but little connection between the two. If you think that your systems do explain what the market does you are mistaken. You were already told that the market moves down...

Because it is hard for trading systems to time market declines due to their fast modes. At least the trading systems you know. The rest heard here are either gross misconceptions or secondary reasons.