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OK, here is teh portfolio of my best 4 algos, but with percent risk money management based on the risk stop size of each strat. The objective was to proportion the algos so each has the same risk, and max out a standard 2x equity margin account. For example, BAC has a 3.5% stop so it gets...

Lol. That is an interesting point - the underlying stock moved up during the out of sample period, which I looked at when selecting the stock. Thanks for pointing that out. However, I am pretty comfortable with what this proved - a robust trend following system optimized on 4 years of...

Trees to the sky? :D

Bill, I think you would be fun to hang out with in real life. I mean come on, it's not like I'm an imbecile who needs to be plonked. :D

Of course. :) Certain markets practically beg trend followers to come in and help rebalance the emotions. Every market has a different set of participants with unique insecurities. Robots rule. :D

Greetings, optimization lovers. To absolutely lay to rest all doubt about whether or not my trend following method will fail in forward testing, to refute any claim that I have made postdictive errorz or WFO peeking, I did a raw, old skool OOS test. I picked a stock, pulled 4 years of...

For one who keeps bringing up God in response to Mike's hounding, you seemed to have forgotten one Eternal Truth: "Judge not, lest ye be judged"

+++ :D :cool:

I'm pretty sure it can. It takes your data from the main console and runs a back test on whatever you give it. So if you have an FX data feed on the 9.1 platform, Maestro should be able to do its thing just the same. I think FX pairs are a great application for this type of trading because...

How naive are the professional fund managers with 10 year track records who use the same approach? http://www.tradingblox.com/forum/viewtopic.php?t=7033

I believe it's possible.

I actually did that over a year ago - tested the strat on all Dow stocks going back 10+ years. Not all names made money, but most did. And overall it came out way ahead. This was before any optimization. :)

The strategy behind all this is based on a successful discretionary technique I learned a couple years ago. I didn't want to use it at first because so many other ideas were more interesting to me, but they have all been disqualified, over time, in live discretionary trading. I'm ready to...

So they can take the other side of your trades.

Interesting. That reminds me of how automakers detune the fuel map on production cars, to keep everything on the safe side. I guess it all comes down to what kind of car you want: a Honda Accord or a boosted race car with gauges all over the panel to keep you from blowing it up! :D

Random entry, 3x ATR trailing stop, risk 2% per position and wait a long time....... :D

The portfolio sharpe is now above .3 and drawdowns are reduced by a factor of 4: For reference, each strategy sharpe has been coming in at about .1 with 20-30% DD's. Maestro is the final step for making hardcore trend following bots palatable for human consumption. And I still...

:D That's the idea. Latest addition to the gene pool: LDK solar. By the way, all I'm doing is looking for a stock with smooth looking price action and placing my existing strategy over it, fiddling with the parameters for about a half hour, then dumping it into the WFO engine. I...

..... And here is how it changes the portfolio equity curve. The trick is to find systems that have different enough characteristics to provide a bodacious final product. Nature follows the same principle: incestuous combinations lead to mediocre outcomes.

Greetingz, system enthusiasts. Why run a portfolio of systems? 1. Lower risk. If one strategy blows up, your other 99 probably didn't. 2. Volatility reduction. The individual strategies may make you want to vomit, but taken as a group you get a much smoother ride. 3. Position...