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I found lots of useful info. in the backissues, here. http://www.iitm.com/weekly_update_backissues.htm

And lastly...er2 results from July last year to the present.

Results of trading from the last few months in ES. Obviously it's current trade is way underwater...so far.

And the equity curve. Looks about as good as most stuff I've tested.

Here's the yearly report.

Here's the overall summary from 1995 - 2006. Looks pretty decent for a system with no stops. Largest losing trade and only losing year were in 2001 due to being long during 9/11. Throw out that trade and all years would have been profitable.

Here's the code for TS200i using 60 min. bars.

Want to post your calls? Put'em here. I've done some backtesting and found what looks like a decent dip buying system (as long as you love unlimited risk...lol). I'll post the TS code and backtesting results for the past 10 years in the spirit of the site. Just have to wait until the markets...

Is this real trading? I noticed the CFTC hypo. statement on your website. If yes, do you have a link to the statements to verify the called trades?

I've revealed lots of stuff because I thought showing the structure might help others. I don't worry about strategies going away because the markets are not static. Since they constantly change, it's up to us to change with them. If the markets were static, quants would rule and everyone else...

I'm going to check out other options such as overlapping multiple models that might have a even better payoff.

Yes, that's true. We've been in a lower volatility environment for years than from the 90's. It's also consistent with the use of a single variable for all periods. The single variable model is not very useful when we've seen a huge change in market volatility over the years. We all know as a...

Probabilities in trading isn't a easy project. First you have to create a artificial normal distribution. Then you can apply probability techniques that are only estimations. It would be much easier to do one on a game like blackjack where there is a solid structure.

You can keep your risk low by doing a long term trade and add multiple positions. Only add a position once the stop for the previous position is in the money. When you lose, your losses are small. When you win...you can win really big.

If you do the optimization for 10-99 based on all the data from 2003 - 2006 and sum the numbers you get 25.98%. That's why I said it was a poor way to come up with the overall parameter. Just even weighting of each parameter each year beats it by 10%.

Nope, I've been using it all this year. Been having great success with it. I've only been trading it from the buy side since September since the market is trending so much. People gave me so much crap about not being able to backtest my methods that I decided to not post my current production...

It's just basic probability. All I'm doing is modeling what happens if we bet 1% of a fixed amount of money on every parameter. I'm assuming the parameter for this model is independent. Any one outcome is as likely as another. I'm also assuming it is bounded from 10 - 99 (maybe a faulty...

I calculated the expected return for 2003 - 2006 using the different approaches to see if a edge was present. Using a 1% risk per-trade with no compounding here's the results. Original starting method 2003 -7.89% 2004 42.67% 2005 10.7% 2006 -9.77% (through October) Total...

Just using simple logic. Checked to see if locking in a larger profit instead of allowing larger volatility was the way to go. It was. Also checked to see if condition of trend has any influence on the profitability of using a general trend following approach. I checked a rising adx which...

I use adx often as a tool to measure trend. It's a simple tool. Others many want to use pivot points, etc. One of it's flaws is you'll also enter reversal trades on the pullbacks, which probably adds some losing trades. In this case a falling adx with a crossover through a midpoint rsi value...