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Thank you for your feedback & for the links! I much appreciate it :)

I am looking forward to learning from your journal! When are you planning on starting it? WRT CL contract capacity, this is nowhere close from being a concern for me at this time :) ... however, given CL trades about 1/10 the volume of ES, I would suspect that 1/10 ratio applicable to...

I no longer bother with anything less than a few thousand trades in backtesting, and minimum 5 years back (preferably 10 years). WRT out of sample testing, it doesn't mean much to me, as obviously every one discards systems with bad out of sample results, so this is no better IMO. The only...

I just glanced at their backtesting results, their systems have between 200 & 600 trades over a 6 years period, this isn't enough for me to get interested ... to easy to have (intentional or not) over-optimization on such a small sample set.

For Sharpe on intraday strategies, you need to take your results on a daily basis, ie. just take your daily P&L and compute Sharpe from that.

sigma is a fancy-term for standard-deviation. So for example, if you use Bollinger-bands at 3 stdev, you identify all 3-sigmas events wrt that particular MA.

Jack, I understand & respect (more & more I should say) what you say - FYI, I now have a fully automated system that trades Crude-Oil by staying always in the market, just reversing position when deemed appropriate - a 24/7 form of SCT, although using a different approach to read that...

I am reading more & more posts / articles that mention "event-driven" strategies. I have found a "generally accepted" definition: "Event Driven Trading is any strategy that seeks to exploit pricing inefficiencies, occurring when companies are involved in corporate events such as mergers...

Have an edge and execute flawlessly. The 1st part is obvious but very much underestimated (rather, most are over-estimating their edge, or just assuming they have one). The 2nd part is an absolute necessity. Execution errors take a large toll on the bottom-line. I develop & trade...

Thank you Magician, you made my day! Sincerely, D.

Crude-Oil is a great market to trade - plenty of volatility, decent volume (~200,000 contracts / day), 1-tick bid/ask spread during the day (more likely 2 at night), and lots of tradable patterns. In any case, do your homework, get a few years of historical data from a reliable source, and...

I agree that drawdown is a key element, however historical max drawdown isn't worth much ... I think smoothness of the equity curve (more or less represented by the Sharpe ratio) and avg/stdev of max.DD through MonteCarlo simulations are much more indicative than historical max drawdown.

d08/AAA: I think Mtrader's viewpoint is that it is possible to reach 90% winrate AND keep the 10% losing trades small. I'd say that's the holy-grail, and I would be pleased if Mtrader was showing an example of that.

I think it is common practice to gauge breakouts on daily charts using a volume filter, ie. volume > 150% (or more) of 50-day average volume. When translating that for a signal intraday, you have to know the volume profile in an average day (hourly, in % of the total volume of the average...

Have you traded it on CL since 1997 ?

I think you are paying way too much attention to the current trade. It shouldn't matter the least whether it is a win or a loss. What does matter, is that it is part of a trading "system" with a verified (by you!) edge, and that you take all the trades corresponding to that system without...

gmst, Have you made progress wrt automating your strategies? Cheers

surf: thank you ... the performance displayed by that index is BE or negative year after year from 2009 ?! kut2k2: the definition of a new performance metric doesn't do any good in terms of benchmarking ... what's needed for benchmarking is performance figures from actual systems.

It is common practice in most industries to benchmark oneself against other companies, and that makes a lot of sense. How can this be done for trading, in particular benchmarking the performance of automated trading systems? I know there are tons of systems on Collective2 and at Stricker...

I believe WoodyK is talking about position size & number of trades, rather than average net per contract. What I don't get, is the reason to go in Europe to do automated trading of the US 30-year bond. What you need is a Chicago-based server (even better, Aurora-based), two for redundancy...