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OK, thanks

If the green/red points represent entries/exits, then in either case it looks like fewer than 100 trades???? Perhaps fewer than 50???? If so, potentially dangerous based on these two samples to draw too many conclusions about which is "better" IMHO ....

Could you post another plot that demonstrates this point, please?

Congratulations to the OP for starting a thread that's seems to have caught the interest (if not the full approval) of the Strat Dev crowd... What is your connection to the Zorro website?

Thanks. As you'll be aware, "price data" (i.e. ticks) tell you nothing about queue position, and so nothing about realistic likelihood of execution at the prices in question. Is queue position relevant for the timescales you're considering?

"1000" is a frequency? What units? Or doesn't it matter?

No, that's not what I meant... but the fault is mine for not being clear! Let me try again ... From a run over training data, let's suppose you identify a possible set of strategy parameters that perform satisfactorily against whatever are your chosen "hurdle" levels for your chosen...

Thanks, but this sounds more like a description of "process" than an answer to "what counts as confirmation from the out-of-sample test"? Perhaps you meant the answer to be in your reference to "positive results"? What do you mean by "positive results"?

After setting strategy parameters on “training” data, an often repeated recommendation is to run with these same parameters over “unseen” data. When doing so, what’s the result one is looking for? What outcome provides the best possible confirmation of the validity of the earlier...

Some info here about cancelled trades, bad ticks, cleaning data, etc http://tickmaster.webs.com/apps/blog/

[You're right! That WAS missing. I suspect we are now complete. Thank you everyone]

[Also part of the ritual. Thank you. Anything missing?]

Thank you. [such responses are also part of the ritual]

I don't think so. Scatophagus knows exactly what he/she is doing. This is a time honoured ritual. It has to play out in this way. We are all just playing our part, all aware of our role...

Ooops! Sorry, KingOfSHorts! I jumped the gun on that one

Looks great. Well done ... With limit orders, slippage manifests itself in not getting filled when you want to get filled (because you are too far down the order queue to get filled) [Others may not call this "slippage", but let's not all get into an argument about what it's called ...]. If in...

Might be a good idea to find out where he is doing his course ... http://www.bbc.co.uk/news/technology-16440126 :)

The multiple personae of Arthur “The Decorator”?

Before trying to adapt the spreadsheet to your specific case, why not start with a new, clean spreadsheet and attempt to duplicate the scenario I have outlined above? Once you have convinced yourself that it works, then try to adapt the working spreadsheet to your specific case. Also, the...

It's working for me. Not sure what you are doing differently... a) NB - content of cell D8 should be 7 (not 8, as I wrote), but that shouldn't make a difference to your simulation b) check again Columns B, C, E & F against what I wrote; the problem will lie somewhere there, I suspect Good...