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An update... system went short 1032.50 10/22 for -14 long 1032.50 10/23 for -0 and currently -12 on the long position So my imminent drawdown theory was correct.... currently $1887 drawdown. Max in the 2+ year backtest is $6412. Current trade sequence is 5th losing trade in a row...

Who cares about anything you're saying, man? Nobody seems to care but you. Think about it. This thread was started to track results, nothing more. Don't read into things too much... if you think a thread like this can generate sales after the worst bear market of all time, check your views on...

amazing... Bsulli, #1 there is no reference to the website in this post. ET does not allow it, so unless you're so curious that you view the source of the graphs, nobody is going to see the website in the first place. #2 since you reference the disclaimer as somehow negative, you're not...

The only stop situation is if a sell signal occurs. The target is now 1057.50 but will increase/decrease with volatility. It has been performing outlandishly for so long that a drawdown is due... also note I'm not trading it, just watching it.

System goes long 1046.50

No trades today. I'm expecting a drawdown in this system soon, as it's been up for 7 months in a row including this month. We'll see!

Point taken! I'll post them as realtime as possible ;)

End of Sept. 2003 trade

This journal will be tracking a system I wrote called E-Rock for the E-mini. It exploits a unique indication of the directional surges of the broad stock market using a staple metric of statistics for entry signals, and volatility-based exit signals. Single-contract backtest (no reinvested...

mmillar, that is referring to the trend followers who make all their money in moves that shouldn't be statistically possible if the markets had a normal distribution of price changes. For example, statistics may predict that a $2 move in Soybeans over a particular amount of time has a 0.5%...

T-REX, sure, no problem. Which part needs clarification (just so I don't go rambling about something else)?

We're talking about slippage now, yes? You're absolutely right, but note the signal is at the high or low of the 15-minute ($TICK) bar, but the entry does not happen until the close of that bar. Invariably the signal point is going to be before -- up to 15 minute before -- the entry/reverse...

Lobster, I see what you're saying, but would that not be most appropriate in a 1-3 minute time frame involving $TICK? I gather you're talking about very short term reactions. The one I describe is finding trends lasting hours to days in the same direction... move the signal back or forward...

trend456, built-in TradeStation function

Part 3 Exploiting $TICK With TradeStation® Although $TICK is based on NYSE stocks, the S&P 500 has a significant concentration of stocks from that exchange. Many S&P stocks belong to the NASDAQ, however, so the S&P 500 index’s relevancy to $TICK is not perfect. Commissions are...

Part 2 Norman Packard Interview Excerpt I’m not the only one who thinks price data can only go so far, especially for the undercapitalized. Norman Packard was member of a team of physicists that brought chaos theory to science. He and his colleagues searched for needles in haystacks, finding...

Download Word Document, PDF, and Performance Report Part 1 Why $TICK Can Work $TICK is the aggregate of stocks ticking up and ticking down in a realtime “snapshot” of all NYSE stocks. If 500 more stocks last ticked up than down on the NYSE, $TICK will be 500. The $TICK and $TIKQ (for...

Did you know pairs trading is indirectly related to Jeff Bezos? The Shaw referred to below is founder of D.E. Shaw, a massive quantitative arbitrage hedge fund. Jeff Bezos helped get it off the ground before he embarked on the Amazon.com project. The more I learn about who is running with...