Trading Edge

I think that if mechanical system is profitable in testing, that is enough to use idea behind it. However I was always trying to improve winning percentage. I do not know ideas behind any of these systems presented here but i know that improvement is very often just a simple technique( which is usually difficult to code ).
Walter
 
PKJR, the results look good. Only red flag I noticed was the winning and losing streak numbers are indicating dependency in the trades. If the winning % were 40%, then there should have been at least one occurrance of 10 losses in a row ((1-.4)^10)*253 = 1.52. The streaks are indicating a 54% win rate
((1-.54)^7)*253 = 1.1. I've never seen dependency in the SP market, so my hats off to you. Did you use backadjusted continuous futures to test? What was the test period?
 
Quote from PKJR:
One contract in SP e mini producing over 35K a year - making 1 trade a day (after commission no slippage) with avg win 3x the loss

After making money the first year, if you only traded on contract per 20k and started with 40k account the same system produces 350k per year and traded 10 contracts max (equivalent to 2 big SP)
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How do you account for slippage?

Be very careful when testing a system on SP then applying it to ES. The nature of the differences in tick increment and open outcry vs. electronic trading can easily result in half to full handle on S&P depending on your time frame and what type of methods you are trading. E.g. a breakout method using SP data is always suspect because between the time the electronic quote arrives and when you get order in to the pit via open outcry it can easily move against you. ES is more reliable for testing and you can take 1 tick each way for slippage.
 
I just used continues contract as supplied by TradeStation (@ES.D)the period was exatly one year from 11/19/01 till today..after I posted this message I was curious how the system would perform when I optimize parametrs. I optimized only inputs for stops..the test run for little bit more than 3 hrs and the best net profit (minus com$) is around $39k so not much difference there..% profit is little bit higher and $win/loss is higher

-pkjr
 
Quote from easyrider:

The thing is youve got to learn to trade before an edge will do you any good. Its one of those chicken or egg paradoxes. Do you know how to cut your losses quickly, execute flawlessly, control your emotions, be patient, all while monitoring all aspects of the market ? Then you have to trade this strategy under all market conditions until you learn, by experience, when not to take the trade. A strategy will not do you any good until you are ready for it. They are easy to find. Street Smarts and Advanced Trading Strategies is a good place to start.
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This is the real edge in trading, if you don't have this you could get a system from Jesus and still muck it up and nobody gets it in three easy lessons.
 
Quote from acrary:

When did you net 90+ points on 1 intraday trade? The largest intraday range I could find was 75 pts. on 7/24/2002.
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the system went short on 7/17 and covered 7/24..in some situations it will take positions 'home'
 
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