Mechanical System for Trading the E-minis

[nononsense]

Quote from Remiraz:

if profitable systems can be found on the net, then why do 80-90% of traders lose?
...

Remi,

It's against etiquette to raise this kind of question.
You might even start Jack going again.

 

[jason_l]

Quote from Ardit13:

rtstrading,



So if I understand you right, you're saying that a system developer should leave out the last year of data for creating the system, then see if the new system actually works for over that last year. Is that correct? If so, it's an interesting thought. Do other system traders agree?

This is what "forward testing" is for the most part, and hopefully practised by most system develoipers. It's a lot easier/quicker then relying on paper trading to see how the system works on out-of-sample data

 

[rtstrading]

Quote from Ardit13:

rtstrading,



So if I understand you right, you're saying that a system developer should leave out the last year of data for creating the system, then see if the new system actually works for over that last year. Is that correct? If so, it's an interesting thought. Do other system traders agree?

Yes, something like this:

 

[They]

What happened during the flatline in 2005?

 

[Kicking]

Very interesting thread
But this Grob dude is full of it
started with a scratch month then made 10 % a month ever since ! what you have to read on here!
like someone said once here if you were returning that much you would be banging bitches on your yacht instead of rambling on ET.

 

[fandelem]

Hi rtstrading,

I just wanted to confirm whether or not you based your forward test on the *ending backward testing $$*, or the intial $15K you started with. I just mention this because I see at the start of the forward testing you retrace over (or at least come very close to) the initial 15K -- which might affect future performance (with only 3-5K in the account it's hard to assume 3 open positions + stop limits in your future forward trade testing).


k.

Quote from rtstrading:

Yes, something like this:

 

[rtstrading]

That system was developed last January with data thru 12/31/04 and optimized. It is unchanged since that time. The system works on all four stock index futures and that is the cumulative equity curve for all four indexes. Setup normally only trades 1 contract and 1 position, but there are times that up to 3 positions may be open.

Also the flat period during early 2005 was simply a period during which there were no trade setups.

RTS