I used $75 per r/t for slippage and comission per-contract. I have no basis for this since I haven't looked at the min. data yet. I chose that...
Sorry, all the data I have is copyrighted and I love my provider. You can get it pretty cheap from them....
ok, I've completed running tests on the data. Here's what I've learned. This market likes tight stops, trend following, with no profit...
And here's the annual summaries. Seems very easy to trade. Most profits come in Dec. - Feb. quarter. That's all for today. I'll look at shorter...
Got the past 5 years of data and plugged in a simple trend following system on 60 min. data. Can't believe the results before getting started. Now...
Place shared material here.
Just ordered the natural gas tick data for last five years. Anyone interested in collaborating on building a system to trade it? I'm trying to cut...
Since profit factor isn't published you might want to compute the 12 month pf from the data provided. (% wins * ave. win)/ (1-% wins * ave. loss).
I used to gamble some when I went to Vegas for business meetings. I'd take 1-2k and play blackjack split into 2-3 sessions. For me, it was fun and...
Degrees of freedom are reserved for use with normally distributed data. I have tested enough market data to know the data are not normally...
With a little help from a broker you could use two accounts to screw the IRS out of taxes. Have one regular futures account and one self-directed...
Esignal is ok. It used to be horrible during fast market conditions in the ES market. With tick aggregation it seems to have gotten better. I just...
I don't trade on Fed days because what you see is not what you get. I've had stop orders in the ES to stop and reverse existing positions. The...
http://www.tickdata.com/html/available_data.html
Taleb would say it was luck or survivorship bias. I had bad luck with TA so I tried other ways to decide what days to trade. Since my trading...
Sorry I didn't respond to your pm. Tampa PM'd me into the original thread and warned me most people were following to try and copy my system. I'm...
I've only talked about the original model I started with in 2002. I have multiple systems and have a couple of others that I'm watching before...
I don't have enough info. to tell if it's curve fit. You can test it yourself by making the parameters you use inputs to the model. Then optimize...
What I've done is just go to the TS analysis screen. Write down the average winning trade + 1.28 * the winning std. deviation. Then write down...
Yes, that's the original system I posted in my journal in 2002 with 2 changes. 1). I added volatility sizing along with mmgt so that as the market...
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