I actually had the chance of meeting Larry Conners from Tradingmarkets.com this week. We were talking about a few things briefly and something struck in my head and based on that I'd like to mention a few insights, not about Larry but about system trading, in general. First, I don't believe in buying a system from 3rd parties. I also have a good idea about money management, system trading and it's statistical edge toward it (well, an expert in Gann Analysis too, look at my name... ha ha). Well, we were talking about money management and he mentioned about RINA systems and how it was great regardless of Tradingmarkets.com's interest and how thorough it was. Though, I like to stick to using WealthLab for diversified and Tradestation for single derivative product for flexibility, when testing money management rules to backtest. (Larry is a great guy, though... Thanks for the time, if you are part of ET) While driving home after the meeting, I was thinking about 3rd party charting software vendors and eventually led to trading system vendors. Tradingmarkets is a newsletter service especially have a strong marketing and service for daytraders. I used to daytrade before and have a good idea about NASDAQ LVL 2 stuff. Now, I put the daytrading and 3rd party trading system vendor together... it doesn't fit. Then something just reminded me of something when I made a transition from a long-term system trader to a day-system-trader. I was reminded of the irony of a system-trader especially for trend-following systems that are out there and for intra-day trading. Reason? Execution. Daytrading and most 3rd party trend following system doesn't work. First, when daytrading all the orders you put in are Limit orders(OK, there are SOES but they're practically bad fills). Another thing is when daytrading Support/Resistance is extremely strong in any case. On a Daily Bar you don't see it as much but when you are Daytrading, the resistance lvl is extremely evident and one of the keys to success in daytrading is how you deal with resistance/support lvls. Because of this, when the resistance is broken the market just tanks like it never wants to go back. Here's the thing, most trend following systems, waits till the trend occurs. Then they go in and try to ride it. So in another words: !. The market is going hovering around the resistance lvl 2. It breaks through the resistance and tanks... then makes a trending signal. 3. You get the buy order from the system. Meanwhile market is tanking 4. You put your order in... 5. You get massive slippage. This does affect the expectation of the system drastically. I actually tested the some trend-following systems out with intraday data, it works great on the results. Then I put a few criterias into the trend-following systems with Uptick rule and responsive delay on order entry. Funny thing is most of these system can't live up to the initial performance. Luckily, the system I developed on my own for my personal daytrading doesn't have to deal with this too much. So I didn't have a clear idea of it as I do now. It was practically part of me through instinct, but if you are starting to daytrade and thinking of buying a system, ask for how realistic the order entry criteria is. While I was writing this I remembered how few trader buddies of mine were mentioning about it and how I've previously read about it in different materials. I guess actual trading is not the only inspirations you get for trading. Thanks to Larry.