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Interesting you mention no losses? Do you trade for real? Are you some kind of promotional trading wizard? Indeed you can smell them from a mile He he he :D

It makes your head spin!!! For some it is a place where assets are transferred from one party to another, legally, hence the wearing effect While for the others, very few btw, it is a pleasing and rewarding place I guess you are in group one

Every living organism has an infinite variance. Guess what, when you are dead variance drops to zero! Indeed stocks go to zero so variance is not indefinitely infinite! Variance is finite in our world

In theory there is no difference between theory and practice but in practice there is How deep are your pockets? :D

Be suspect of everyone, including myself here So yes test EVERYTHING, including Acrary's bullshit

How quickly do you want to lose money?

$300k+ on option spreads in 87

No stops will kill you !!! Stops in will help greatly but to do it business like lots of capital is needed!!!

Post your returns (all of you) or get lost kids!!!

Shorting ELX at $28 back in 01 and seeing it rally to $46 without covering (Goldman Sachs upgraded it in the 40+....he he he). Added on the downside from $25 onwards (after it saw $46 by the way). I didn't blink... Please don't do this at home, it can kill you!!! Covered the whole position...

Those of you, who perform tests back and forward may I ask you what your returns are over the last two to three years? Proper or no proper testing is not sufficient and from what I can see (1mln+ test permutations) majority of programs are deep in a DD and very few combinations are somewhat...

Like it or not Back testing and Forward testing are no different and both activities fall under the umbrella of so called historical data fitting. My advice to you is, be very very careful with the machinery, it may eat into your pockets rather quickly, much quicker then you can think!!! :D

Before you open your mouth Mr. Turtle post your trading performance over the last2 years! :D

Supposedly Curtis Faith, an ex Turtle trader, is interested in writing a book on trading. Now, being a trader myself, I wonder how on earth such a supposedly elite trader needs to sell books in order to finance his nightclubs. Couldn't he just do that trough his millions in trading profits...

Acrary's edge testing is no different to overfitting efficiency testing ;-) The higher the historical pct numbers the worst the real time results are... You get the picture :D

Many thanks I think I will try to come up with some hard and fast rules ala optioncoach... Additionally by constantly refitting the underlying to capture both the volatility and the trend is crucial I gather. Still struggling with the idea of how to measure execution risk on limit orders...

Are you saying that cash volatility is a good proxy for the volatility of the contract 6 months out? I will test using cash prices and will see where I get. On another note, what is your worst percentage drawdown using this strategy and what results do you get, both in terms of annual sharp...

Thanks Tradestation? LOL .... I use all in house backed staff! I meant ED as in eurodollars

Thanks Wrt options on futures, eg. ED, how would you go about simulating using back-adjusted contracts and in particular how would you estimate sigma? :cool:

optioncoach, when you simulate viability of any of your option strategies, using computers, do you rely on cash or futures S&P data? In case one has to use futures data, what is a good way to approximate volatility on back adjusted contracts? Please note that I intend using this volatility...