Any pure mechnical traders or system traders?

Thank you. Without going into greater detail, what you wrote does not apply to me. To answer your question though, my stops and limits are based on signals that do not change from backtesting. Again, it's designed so the variables are all the same so it's actually relevant and useful.

I did double check after reading your text to make sure that it was the case.

Quote from zedDoubleNaught:

Sorry if you've posted this already, but are your stop and limit amounts the same amount (instead of an exit signal, that could result in different limit and stop amounts)?

In forex, with fixed limit and stop amounts for every trade, I've found backtesting win ratios do not match forward trading because of what I call the "unwinnable case"; it might be called "whipsaw" but what do I know? In this case, with a larger limit amount than stop amount, what happens is from the entry point, the price goes in one direction by the stop amount or a little more; then, goes back the other direction by the stop amount or a little more. In this case, it doesn't matter if you went short or long; either direction would have been losers because the stop was hit in both directions. If I remove these cases, the win loss ratio goes to 50%, seems random but would be profitable with the larger limit amount.

The frequency of unwinnable cases is approximated by limit and stop amounts as (limit - stop)/(limit + stop), but that formula is meaningless as there is a lot of variation from that estimate, and it doesn't hold up for all times of day.

I think in backtesting the signals are given at peaks and troughs but in forward trading the signals come in the middle and gets hit by the volatility, meaning the system no longer applies, the market conditions changed, the system was overoptimized, the system was not a real edge to begin with, it can't figure out the difference between a trend and a range, or something else I can't think of to list here. Now if only I could find "unlosable cases".
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Hi. Wasn't ignoring you, was in a trade. Some people here DO trade, strangely enough. Kindly humor an old man and let me start over. Do I recall correctly that your screen is nothing but 30 minute price bars with indicators running at the same 30 minute clock (not in real time, that is, the indicators only update on the close of the 30 minute bar)?
 
Thanks. Trade entry triggers at the end of the bar or at the beginning of the next bar? That is, would you enter at 10:29:59 or 10:30:00?
 
30:00...market order..would do 29:59 if i had a clock that was that accurate and intune with the market times...but such a solution has not been found.
 
The easiest method would be to backtest the VIX... I'm sorry, but for clarity sake, you are indeed profitable, right? I understand that your profit is not as much as you expect, correct?

Walt

Quote from feng456:

Walt how do you test Implied Volatility?

ALso I backtested manually using 5 minute bars when necessary. I told you the backtesting was exactly like trade.
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Roger that. I run a one second chart on ESignal find that ES ticks and the Interactive Brokers clock almost always match to the second. When they do, I trade off of the IB clock. Invaluable IMO to get a good handle on slippage to plug into your backtesting.

Same deal on stop loss and profit taking exits, signals and exits on 30:00?
 
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