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The maximum drawdown has severe limitations when it comes to measure risk and should be used with cautions. I recommend you reading this paper (http://alumnus.caltech.edu/~amir/mdd-risk.pdf) and the references therein. In my opinion, Measure 1. (The historical drawdown) has little value as a...

Coming back to the strategy development framework... Some open questions and comments... * Can we design the entry conditions of a trading system without defining the exit conditions? Or the entry alone has no statistical edge by itself and requires the exit condition to be defined...

Thanks for the links, I did not know about this particular tool. I have developed something similar to analyze the entries of my trading systems but I am not sure how to actually make use of it at this point. As the x-axis is time, I believe the idea is to use some kind of time-based exits...

I do not thing there is something wrong in training many models or testing many hypotheses on the same data set. But by trying many models or testing many hypotheses, there will always be something which works nicely on this particular data set, just by pure coincidence/chance. What is wrong...

Thanks for your answers. Could you please clarify what you mean by "event profiler"? I am not familiar with this term. IMO the decay of the signal is simply market efficiency at work! Every trading system makes money from some kind of regularity in the data (a deviation from randomness). We...

Thanks for sharing your trading system development framework. Do you have some success in identifying price patterns/regularities with this framework? What works? What does not? Do you find things that keep working out of sample? How easy/hard is it to transform a 'prediction' into a trading...

I am full-time retail forex trader since 2010 (More precisely, my computer is, because I am 100% automated). Over this period, I averaged 2.5% per month from trading (before taxes). My average performance has decreased over time (yes, decreased !) because I decreased my risk with increasing...

I trade with IB (very happy with this broker btw.) using their Java API + IB Gateway Client. I average a ping of 1 ms to IB servers (I am collocated next to IB servers) . It takes me around 250 ms between the order placement and the order execution confirmation for NQ@GLOBEX. I believe IB...

kut2k2, I have to say that being an engineer did not help me much for trading the markets, at least initially. I was overconfident and lost money the first 2 years, but I guess this is the price to pay to learn, no way out. Anyway, I think as a systematic trader, one challenging aspect is to...

Thanks for your answers. I fully agree with you that statistical significance is key in data mining for finance although it is completely ignored by most retail data mining/trading software in the market ! As of today, I do not use data mining and search the patterns "manually". I come up...

As an aspiring systematic trader, my assumption is that there must exist some "price patterns", or regularities which are profitable when traded over the long term, the so-called "Statistical Edge". With no prior trading experience (I am a Mechanical Engineer), I was skeptical about the...

Abattia, This is quite interesting. Could you please elaborate a bit on this? I have been trying to do analyse the edge of my entry signals separately from the exit signals too. The only way I found so far was published in the book "Way of the turtles" from Curtiss: It consists of plotting the...

Heeh, I found the book "Evidence-based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals" from Aronson to be the most interesting regarding curve fitting issues. It addresses exactly what you are looking for : In a controlled experiment, the...