I changed my backtest to 2001 - Oct. 2006 to see if it showed any curve fit tendencies. Here's the annual summaries with the 2 additional years....
Here's the net profit chart to parameter value. Some pretty noticeable improvements over the take any trade strategy.
So, I'd go short on a cross below 45 and go long on a cross above 55? Stops on a cross back to avoid a big loss? And use some trailing stop to...
And the last I'll post on this is the annual performance. You can see it's pretty consistent.
Here's the code that generated the TS report. I forgot to mention I included $30 for slippage and comm. per round-turn as well. If it ends up...
Ok, I did lots of tests to figure out what I can use to trend trade the emini. In the end I found a combination of using pullbacks in a trend and...
Thanks for the book. I'm not really into systems trading. I use it mainly for trying to understand market concepts. Then I use lots of screen time...
When you increase the length of time in bars you normally have fewer trades and hence lower profits. I was looking at the sum of the profits to...
Optimize from 10 - 99. Then view the optimization. Move over to the average trade column and sort it in descending value. Then go down until the...
So where am I at? So far we found there were some trends, though the parameters aren't stable. Up until now all we've been doing is checking...
Sometimes you can find hidden relationships using the graphs by switching the x and y axis. Here I swapped the net profit and parameter settings...
Here's the optimization graph of parameters to net profit. The parameters from 10 - 99 are the x axis and the total net profit is the y axis....
For the next step I went and optimized on all the data from 2003 - 10/31/2006 using 60 min. bars for the data. To do this test I added a cost of...
Finished doing the tests. For the tests I used backadjusted data from Tickdata.com from 1/2/2003 - 10/31/2006. I used 100 for Max number of bars...
If you want to check your results against mine, here's a example: Here's a test run on 15 min. ES data for 2003. I used 100 bars for the max...
Here's the tradestation 2000i code for those interested in trying it for themselves.
Fully disclosed of course. lol. So, I was flipping through the Dec./Jan. issue of Trader and came across this quote "Trade with a trend, ride...
In the absence of a trending market, tops and bottoms can reliably be called using simple divergence strategies. Here's one I posted and tracked:...
When I came here and started this journal I was very excited. Since then I've lost interest in continuing. From now on I'll keep my ideas to...
Stopped out at 1305.25. I like the upside today. I'm looking to re-enter if 5 min CCI crosses back above the average. I know I'm ignoring the...
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