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lets say you have over 1000 trades for the course of 1yr. How do you go about analyze your trading system? Do you look at every single trade? Do you look at your best days and worst days? And what attributes do you look for among your sample to improve your system? This is usually meant for...

Ideally, the set of optimal parameters and decisions for the first part of the backtest period is also the optimal set for the second period, but things are rarely this perfect. The performance on the second part of the data should at least be reasonable. Otherwise, the model has data-snooping...

tomorton, I'm getting to understand the ATR stop, but please help me so I can understand it in completion especially the trailing ATRs. My understanding is that upon opening a trade, you look at the ATR value and you set your stop to 2x that value. That is understood and clear. However, when...

what if you bought the exact high upon entry?

This is meant for intraday, using a retail platform, with futures.

How would you categorize your strategy? Please vote below: 1.Identify trend then go with the trend 2. guess where trend might stop and play the reversal 3. rangebound scalping

how long are your trades?

This is for initial stops only. Such as where do you place your stop as soon as you enter the trade. Once in the money or as the trade progresses, maybe things can be handled differently or in other ways

pardon my ignorance, maybe it's early in the morning, so I think that is a separate discussion.

it is an art to properly set them. but yes, it needs to be done, i guess like putting in brakes in the car. This question is especially difficult for trend strategies as you need to give room to the whipsaws and of course, still stay in for the trend...

can you describe more about ATR20? Do you mean the 2x the value of ATR20 upon execution of your strategy?

Age old question but let me hear how you rationalize where proper stops should be set. Please keep in mind that this is for initial stop loss only, i.e. as soon as you get filled on your initiating order. Few things to consider: 1. Do you have a fixed ticks stop loss? How do you determine...

that should be the case with any system development. It is not the specifics that can be applied throughout the different assets or symbols but rather the general ideas. In any system, there is inherent bias in anything we do. For example if you happen to start researching a system in summer...

Hi Expiated, Thank you for your reply, and your insights to a fruitful discussion. Like you said, I agree that it is near impossible to apply the same settings or analysis to different markets as each market is unique in its own, but rather the same general idea can be applied but must be...

yeah I figured someone on your level would go the cloud route.

I like NT market replay and in terms of historical, the execution is not precise as it only has OHLC info in historical data so your entries will not be accurate at all. They explain that on their help guide. However, the market replay is much better and precise. I just wish they have a backtest...

hey Mark I can understand that the approach above can be geared towards a quant that purely relies on big data to find edge. However, it can also be a tool/method used for trade analysis. If someone wrote an automated strategy based on sound general principles, how would one attempt to improve...

Hi RedDuke, do you have your strategies on a cloud server or just a really beefy computer? If you don't mind, can you describe the specs?

By looking at your winners and losers in your strategy, you might have looked at attributes at the time of your trade execution for further analysis. For example, if you have a trend following strategy, you might jot down somethings like "quality of a trend", "volatility", "momentum", etc... and...

does anyone here use the difference of two SMA periods as a gauge of momentum? For example, the difference in ticks of the classic 20SMA and 50SMA for trend direction and momentum?