Update re. the CL151 Market-Model statistics. The first table is the trend-count on a monthly basis – I have highlighted in yellow the months...
Results for the week ending November 7, 2014: - BasicTM: 2 wins ; 1 BE ; 1 (max) loss ; net -320 - AlternateTM : 1 wins ; 1 BE ; 2 losses (incl. 1...
Results for the week ending October 31, 2014: - BasicTM: 3 losses ; net -745 - AlternateTM : 3 losses ; net -745 Last trade of the week was...
I use NinjaTrader to develop strategies which sole purpose are to collect data (extracted from historical data) into .CSV files, that I analyze in...
A single chart / trade setup won't tell you anything ... whether you go long or short, the outcome of that particular trade is a random event. If...
Backtest same year on EUR futures (6E), use 1-tick slippage for entries and for exits, $5 comms per contract per trade. This will give you a...
Results for the week ending October 24, 2014: - BasicTM: 1 win ; 2 losses ; net -435 - AlternateTM : 1 win ; 2 losses ; net -985
IMO, profitable trading strategies are far more complex than the example you want to use for comparison purpose. I can clearly articulate the...
Results for the week ending October 17, 2014: - BasicTM: 4 win ; 1 loss ; net +1785 - AlternateTM : 2 win ; 1 loss ; net +2725 BasicTM account...
In terms of complexity, this particular example would be extremely easy to program, I would say max 10 lines more for the suggested approach, vs....
Here is how I would address your example: - main TF : 5-min per your example - second TF : 1-sec TF ... used for order-fills, & real-time trading...
In general, the concept of price-bar is used to summarize price-action on a given "interval". Using price-bars of a given interval implicitly...
You are somewhat unfair to NT backtesting abilities ... it is always possible to submit your orders to a 1-tick or 1-sec timeframe (I prefer the...
I have one of these, although currently in prototype form. Not sure I like it though ... the average loss being 2.5 x the average win, it doesn't...
20 trades in 20 years ... does it sound like there is some possibility of over-fit?
Results for the week ending October 10, 2014: - BasicTM: 2 win ; 1 loss ; net +315 - AlternateTM : 2 win; 1 loss ; net +485
Something went wrong with the quote ... I am not the author of anything you quoted
I have a webinar on my website on the systems page, in which I describe the market-model used by CL151, and how I used it to identify & qualify...
cj: you are giving me too much credit on the stats side - I don't use anything beyond the basics, and I have no idea what k-fold cross validation...
2+1 weeks ... do you think this makes a significant sample size? how much backtest have you done, and what is the worst performance decline in 1...
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