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Thanks Sergio. I changed it to a 1 bar lag and confirmed that that is indeed more honest and not forward looking since when it was pasted to my chart as an indicator, it's value at Bar 0 (right most ) did not change as the "close mark" went all over the place since it is still the made.

pocketchange, do these rules apply tightly to the spot Fx where quotes are fragmented? I purposely moved timeframe at a much longer level in order to avoid these backtesting "fantasy pnl" traps. My backtests use 30m for timing entries .

great point Mike. That scenario you painted is precisely why I tried to set back the x>10 trigger 1 bar back since that value does not change as the "close" value of the last bar is still being built. Using 1barback got me the 55% which is a far cry from 70%. To try to get more accurate...

Hi. If I have indicator X and use it on a backtest with an entryprice calculated from previous bar ex. entryprice= MvgAvg(10 Bar, Close). Let's say the buy trigger is Buy = low < entryprice and X> 10 then buy at entryprice. The test comes out 70%W/ L, good profit faactor , excellent...

tonkadad-I actually liked Ravenquote-like a German sports sedan-enough bells and whistles but mostly tight and precise. I thought it kinda went downhill when it got bought and changed to a diff brand.

If I was were to construct an automated system , what number should be given most import. Sharpe? w/L% , profit factor? When I run through my optimizations, i get good wL % sometimes coupled with upsloping equity curve BUT with Sharpe < 1 and sometimes it is vice versa. I am confused as to...

Hi . Am very new to system trading and just completed some backtests in Amibroker. Clicked on report and other than obvious ones like %W/L , saw some stats (ie last 7 numbers) which are foreign to me. Could the pros here offer an opinion on whether these backtest numbers are great, ok , or a...

Hi. My Sierrachart writes OHLC data into a csv text file and I import this file into Amibroker using javascript loaded in Windows Task Scheduler to fire every 1 minute . The csv look like... 2014/02/21, 16:27:00, 0.89743, 0.89715, 0.89698, 0.89705, 60, 60, 33, 27 2014/02/21, 16:28:00...

The interesting thing about the customer profitability stats is it's persistency. Quarter in , quarter out , IB leads fx trader's profitability.Could it be attributable to better education? or capitalization of their customers since they have a $10000 minimum, spread tightness . ?

bump....

Just make sure the system's pnl is not dependent on flow which comes in to your bank's desk. Witness the hordes of floor traders that can't make transition to screen due to absence of flow. I thought I was a good trader up until I had to go to screen.

With Spot Fx not having a centralized exchange and in addition to not having uniform contract sizes, any suggestions on how to get volume data on fx pairs-eurusd,eurjpy,etc? any workaround possible ? My current data provider is IB but can switch if needed to get reasonably accurate spot fx...

Good words of encouragement austinp. As long as the OHLC does not look like a single dot , there will always be opportunity.

Today, I just paid $1500 for my kids wisdom teeth( 20 min procedure)...I'd go to wisdom teeth removal school....:)

Hi. I agree w your post somewhat. Most of the bad things associated with averaging down are prob primarily psychologically related (ie the need to be right,not owning your baggage,delaying the smaller loss, etc) and until trader comes to terms with those, it is truly dangerous ground. The...

Insightful post sfast. It took me a while to come to terms that a profitable floor trader which I was, does not make for a successful screen trader. Ate a lot of humble pie and resolved that if I ever want to be a "real" trader I have to work harder at coding, testing, and as important- to come...

One route you can take is using Amibroker. Import the iv as an indicator , then fire off backtests using the iv as a buy signal i.e. buy if Iv> x . model the pnl expectation outside iei TOS or hoadley then plug in pnl curve back to amibroker using their portfolio object to mimic the pnl of a...

Don't quite understand the aversion to averaging down. Most traders I know that have had persistent success in the markets seem to be in the mkt making, spreading segment and a good number of them average down. I think the critical aspect of what makes avg down work (scaling in - is the more...

I mapped out Tokyo ,UK, NY trading hours and it seems that Fx has more volatile from 12midnight EST to 12 noon with quieter "zone" being 12 noon to 12 midnight EST. Do you agree? 2nd- I thought of setting stops based on ATR(12) BUT using ONLY bars that are in the right zone. Ex . If...

I PM'ed u a great solution. you have not acknowleged my help to you with a simple thank you. wassup w that?