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www.tickdata.com

The Encyclopedia of Trading Strategies http://www.amazon.com/Encyclopedia-Trading-Strategies-Jeffrey-Owen/dp/0070580995/ref=sr_1_1/102-6094812-2734569?ie=UTF8&s=books&qid=1192537209&sr=1-1

You can leave out the risk free rate in the formula if the point is just to compare systems (see Schwager, A Complete Guide to the Futures Markets). Also, you may want to calculate a stat from the number of trades, the "observed" average P/L and "observed" standard deviation of P/L to see if...

Seems so... "Stop orders are only triggered upon reaching the stop limit. In this case they are automatically entered as market orders in the Eurex order book, where they are executed according to the price-time priority principle" "If several market orders are booked in the order book...

I also had a rare 2 or 3-tick slippage on a stop last year - also on an event. Today, Trichet was speaking++

The trial version is fine. You can always post your code here so we can fix it++

In WL, the chartscript wizard (obviously) differentiates between: condition 1 AND condition 2, and: condition 1 OR condition 2. There should be no issue at this stage++

<url>http://www.tickdatamarket.com</url> <url>http://www.tickdata.com</url> <url>http://www.pinnacledata.com</url>

I did. Very happy with it. Recommended in the Encyclopedia of Trading Strategies.

http://www.schindlertrading.com/include/content/uploads/drawdown%20analysis.pdf http://office.microsoft.com/en-us/excel/HA011118931033.aspx?pid=CL100570551033 These might also help++

http://www.wealth-lab.com

Better go with (tradable) ETFs if you do not have futures data++

Somehow you have to choose the approach you are the most comfortable with. It is easier to get non-realistic expectations with non-tested strategies. But it does not mean you cannot succeed that way. http://traderfeed.blogspot.com/2006/10/can-there-be-objective-basis-for.html

None. Rollo Tape was the pen name Richard Wyckoff's used when he first published Studies in Tape Reading++

Wealth-Lab has a "Wizard" where you select signals and orders rules without having to do the slightest programming. However, the learning curve is not that steep and well worth it++

<b>Were any of the areas you studied in mathematics applicable to developing trading systems?</b><br> Certainly - statistics.<br> (Jack Schwager & William Eckhardt in The New Market Wizards)<br> For a brief intro see Katz & McCormick, The Encyclopedia of Trading Strategies, chap 4 Statistics.

http://www.amazon.com/Macroeconomic-Essentials-Understanding-Economics-News/dp/0262611503/sr=1-1/qid=1165314151/ref=pd_bbs_sr_1/103-6217798-5668662?ie=UTF8&s=books

The few filters you added after a losing week - they are probably tailored for the recent market action to get rid of a few disturbing losers. Hence, the better performance over the past few months but not over the 3-year testing period. However, the observed performance on the 3-year period is...

There is a post on the Futures Trading Summit here: http://traderfeed.blogspot.com/2006/11/few-more-insights-from-futures-trading.html

Most of all I think, a profitable system that does not need to be modified over time - a constant stream of $ with no sweat.