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Thanks zgtrader!, historic EOD was all that I needed. Cheers

anybody know of a free source of historical continuous contract data for commodity futures?

I appreciate your work here WB. Thanks

Wolf, Thanks for the ideas.. I have run back-test with $5 commision(realistic for my account) and that reduced annual performance by 0.7% with no chage in drawdown. There are only 45 trades on average in a year. Also, doing the volatility analysis of the last few mins seems...

You are right, There is 5% chance of me getting an ulcer :) Ulcer index is around5 any more ideas?

Truthteller, Stephen Thanks for the criticism. appreciate that Basket of ETF contains foreigh ETFs as well, canada, germany, Japan, so it wont be all US equities. Then there are utilities, energy ETF. Also market exposure is around 31%, and its very rare(need to quantify that) that all...

Any feedback?

Wolf Data is from Jan 1997 to Jan 2005. System was developed for SPY, and same system was used for other ETfs, without any optimization. There were too few trades trading just SPY(approx 5-6 per year), however win rate was slightly better about 84%. YTD resulsts were 22% with 12%...

Nicholaf It is amibroker output. Out of the basket of ETFs only 6/7 trade less than 1 million per day. Shorting can be a problem for those. However good thing is only 8.3% of the trades (out of 310 in 8 years) were short. System shorts only when ETF is in bear market. Thanks

Stephen, Thanks for your response. Heres the information you have asked for: Avg. Bars Held 9.91 <-- Daily Avg. Profit/Loss % 1.58 % Testing period is Jan 1997 to Jan 2005 Ulcer Index &#8722; Square root of sum of squared drawdowns divided by number of bars Recovery Factor &#8722; Net...

I would appreciate any honest analysis of the following system results(all backtested). Its an EOD system, trading 18 ETFs. Upto a max of 4 positions can be held at one time, each position would be 50% of equity(using 2:1 margin) Annual Return 31.40 % Exposure 31.14 % Risk Adjusted...

hey gwac, take a years leave and go for it...worstcase you will lose your trading capital, not a big deal as its ur risk capital. you can always go back to your job, otherwise you might regret in few years for not doing it when you had a chance. just my thought

If you are tryin to open options or futures account you need to have some trading experience , otherwise you wont qualify. That could be the reason that you couldnt open the account. I dont think opening account with IB is related to your net worth!

anybody has any book recommendations on system building? or maybe someone can point me to some older thread or something! I have been mostly stocks swing trader,but would like to study system development for future. Thanks

I dint mean to say S/R are reals and unreals or something! By Real S/R i meant a support or resistance which would have existed if there was no such thing called technical analysis in the world. btw personally i pay more attention to technicals than fundamentals. And let me explain what i...

IMO MA's provide S/R because many people think they provide S/R. More popular the MA is more is the support or resistance e.g. 50dma, 200dma etc on long term charts. S/R lines on a chart provide S/R because people think they provide S/R. Real support or resistance is created only when for...