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I would say try it ... this is the only way to know if your system has a directional edge. You could start using your current max-stop as target, then shrink it (& the target) by increments of 10%. This will at least tell you for which % of your current max-stop you have your maximum directional...

I bought a few weeks ago a "30 year-symbol" pack from TickData, which for a reasonable price gave me 9 years of the best historical data for CL / ES / 6E + 3 years for GC ... I would suggest you get down this path, and backtest your systems on much longer periods than 6 months to 1 year. The...

So, you have a net loss of about -600 / contract after 18 trades ... this means absolutely nothing. 1. What peak P&L did you reach, and is that in-line with your backtesting ? 2. What was the worst drawdown in 18 trades in backtesting? How far is that from your current drawdown? 3. What...

In general terms, average slippage is equal to the bid-ask spread ... on any particular trade, the slippage will impacted by the bid-ask spread at the time of the order execution and your order size vs the offered/requested size. The real unknown is where the bid-ask will be at the time of your...

Tides are a proof that astrology can work for some things.

The null-hypothesis testing as described by Aronson is pretty weak, as it focuses only on the end P&L. I find that focusing on max drawdown for the null-hypothesis testing gives a much more reliable result. But proving a system has an edge on any sample set is no guarantee the system will...

There is absolutely no need for doing that re. intraday trading ... taking random entries & exits will generate about minus 2-ticks (+ commissions) per trade in the long run. You might want to test your trade management against random entries, or your entries against random exits - but what's...

The attached performance summary covers 9 years for 6E / CL / ES & 4 years for the other markets. Same parameters for all, I pick the roundest figures for these. This is trend following, always in the market (long or short), all entries/exit at market on open next 30min bar assuming 1-tick...

There is only 2 kind of intraday data ... "minute-data" which is conveyed as 1-min bars, and then aggregated & displayed by the charting software as you ask it to do for any minute chart, and tick-data, which is transaction by transaction (price + volume), and aggregated by your charting...

From your post, I infer you are using the word "strategy" when I would use the word(s) "(trading) signal" ... to me, a strategy includes trading signals, position sizing & trade management rules.

BTW, that market inefficiency has been very weak in the past few months ... the most likely reason for it is structural, and has really nothing to do with Surf's reasoning.

This thread is full of opinions, which no-one really backs-up with anything tangible. The attached P&L curve is for a system which trades a specific market inefficiency ... I spotted that inefficiency in June 2011, designed & backtested the system using about 16 months of data...

IB is very reliable for the execution side, no doubt about it, and probably one of the best brokers around. I have been with them for 7 years, and wouldn't change despite all of the small annoyances. Their datafeed is geared towards execution, not charting. For charting purpose, I use IQfeed...

Given most markets are either positively or negatively correlated, taking all trades on all markets would be a good way to fast bankruptcy ... how do you address the correlation aspects ?

Contrary to jcl, I don't doubt the # (I am assuming most of these are cranked out by PAL or similar). However, that seem really on the high side from a money-management point of view ... at least if you treat each strategy as totally independent from the other ones, hence allocating it its...

Very nice! Out of curiosity: - how often does the system trade on a given market? - are the majority of trades intraday, or held for several days or weeks?

The Market Replay data is tick-by-tick but it works only when you use Market Replay as datafeed. I never tried it on ES, but on CL that worked w/o issue.

How about switching to a Ninja-supported broker ?

You can download 1 year of Market Replay data through File / Utilities / Download Replay Data ... sure, you'll have to do it 1-day at a time, but that's better than nothing.

CL : 2 strats Both are low-frequency systems (each average about 1/2 trade per day), with avg net per contract / per trade ~ +10-ticks (unfortunately less in the last year) One has been live for 1 year, and backtest nicely from July-2007 (prior to that, would have been consistently...