Hi all, Actually, I have a strategy running for a long time. I observed some kind of patterns of my error terms, I found that they appeared to have some kind of patterns. I don't understand why. I am not good at statistic actually. I performed dwtest() in R and could reject the null-hypothesis that the error terms have zero autocorrelation. In fact they have +ve correlation. i.e. win trade is more likely to be followed by a win trade, loss trade is more likely to be followed by loss trade. Do anyone get similar result when you trade your strategy everyday and have some insight on these error terms? I want to know the reason why I will get +ve autocorrelation error terms.