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True for most traders expecially newbies. 80% is hard to get even with R:R equal to 1. Impossible to get for higher R:R IMO. It would be like the market is giving away money to fools. This is one reason I appreciate the work and insight of Richard Dennis and his turtles. He new it would be...

You should try eating them.... that may do it...

Mean is a random variable. It always changes, randomly that is. Don't try to chase random variables. Try to chase momentum.

No problem...Be careful there you may be trading noise. Over the years i have tested hundreds, maybe close to a thousand systems. I found out the hard way that one of the most important parameters is the profit factor. The higher the better but it must be as high as 2 at least. Otherwise you are...

If you are thinking of using the losing systems for trade exclusion that won't work.

You need an algorithmic trading platform (BUY SIDE) such as: Tradestation/NinjaTrader/MetaTrader/Multicharts/Traders Studio/... OR You need a real-time feed and a custom program to send your orders to the brokers though their API (most have one). No discount broker will take this...

My comments: (A) Your success rate is below 50%. To me - I emphasize this is IMO - robust high frequency trading should have a success rate higher than 70%. (B) Your avg. win / avg. loss ratio is too low. Add slippage and a few missed trades and it can quickly get much lower. (C) Sharpe...

The problem is not with the models but with the people using the models. GIGO

Read his post first.

Hi Steven, Traders like to openly discuss systems that don't work but they never discuss an edge, if they have one. You have an edge when your market timing is good enough to allow you to make a profit before price reverses against you. This is my definition of an edge. When many...

I agree with you but please do not underestimate the impact of computer glitches that make it so often appear that machines have emotions: Incorrectly written software (software bug) Incorrect instructions given by the operator (operator error) (this might also be considered a software bug)...

Actually it is 4 trades in 5 days. They are very strict and TWS won't let you open a 4th position because your account will be flagged if you are forced to close positions and it will be frozen for 90 days. In reality you can do only 3 day trades with IB in 5 days.

One of the best strategies. I use 2x ATR for stop and 3x for target.

lol , the 3F rule. Do you know the 5F rule?

A couple of the links you posted still refer to the articles, not to the book. Here are just a "few" links you have posted where you mention the same books and works of same people, not including those you have posted from tinyurl that cannot be traced, including your recent post: Turtle...

+ev is a metric and its value depends on R:R ratio and success rate. If Y is a function of X, you cannot say that all it matters is some value of Y>0 and X does not matter. Y depends on values X takes. what do you think? :) Ron

MGJ, I think I have recommended the books only a couple of times along with one or two other. Where did you see that "dozens and dozens of times"? Maybe you got confused with the links I have posted to Harris' free articles on position sizing and price patterns. Anyway, I like the Turtle...

Not necessarily if both systems do not have similar holding periods (avg number of bars in a trade) and similiar distributions of long and short trades over time. Ron

You can try to reverse all the systems in the world but you will never reverse volatility, which is the true cause of failure of all under capitalized traders in the world. Ron

http://www.quanthouse.com/ Why do you need back-testing included in the package anyway.? Backtesting is a thing of the past IMO. I have no time for backtesting. Automated trading system developemnt is what you need. You may have to pay $$$ for it but there is no way to get an edge doing...