That is with $25.00 commissions and $75.00 slippage. Also this system is included free with TradersStudio.
Please Explain ? . I have supplied all the results in the spreadsheet including Trade by Trade , annual and monthly breakdowns. What do you want to see?, the trades on a chart ?
great thread, fantastic reading... I was merely asking if you had a picture of "trades on a chart" available... it would make it more believable to me. I can post spreadsheet data that shows a system on ER2 future that hits 89% and makes $4300 per contract per month... but when viewed on a chart you can see the data is flawed. just my opinion... appreciate your efforts. Best wishes..
I am uploading the results for the 1.4 mult set of parameters. The orginal set used in 1996. The drawdown is higher than 1.25 set but remember this system was released 10 years ago with these parameters. Tell me some trades and markets you want to see and I will upload the charts for you.
I asked last night , what charts would you like to see from different markets and time periods so we can study how this system works. I want you to pick some so you can't say I am cherry picking charts when we start analyzing the system to improve it.
Hi Murray, if you have time, please reply my PM and my question on rolling window simulations with TradersStudio. I've described it fully a few pages back (assume you are using 6 posts per page).
The global macro generates a summary report for any system . Currently the macro code uses NetProfit/Drawdown to pick the best. You would just need to save a version of the macro and replace this block of code. The macro handles the rest. In version 2.0 , which is a free upgrade it will be totally intergrated and you will be able to have all of Traderstudios reports generated. PS , I though I answered your PM about 1 hr ago. If I you did not get it let me know.
Here is our next lesson. Let's look at the optimization for the triple moving average and our optimization for my adaptive channel breakout. Let's compare them and analyze which method is better. I have included the optimization spreadsheets for the triple moving average as well as the adaptive channel breakout. You will obviously see that the adaptive channel breakout is better. If we look at the range for mult from .75 to 1.75, which theoretically makes sense, we have an average profit in this range of $857,526.43 with a standard deviation of $54,426.12757. That gives us a ratio of 15.75! The average max drawdown in this range is about 120K. Our triple moving average system average about 681K over the range shown with an average max drawdown of 167K. The standard deviation of net profits is low about 55K. The problem is that the average net profit over the range we selected on our third pass, the best area of the optimization space produced much lower profits than our adaptive channel breakout over a wide range of values. The only question I have is should we use the 1.25 , our best set of parameters today or 1.4 which was the set of parameter I selected 10 years ago.