I wanted to share some key points that hit so close to what it is that I've experienced in system trading this past year. I own maybe 4-5 books on daytrading, most in my opinion are complete shit and a waste of my time to even expend energy to pick up. However, I was recently given a recommendation by a friend to go take a look at Thomas Stridsman's new book. Trading systems that work. The title alone made me feel ill. However, my ill feelings have since faded and I wanted to share a few of these points that I feel are important in gaining perspective on going about building yourself something that works in today's markets. Here are those points: Thomas Stridsman's notes on System development, performance, and expectations. TOTAL NET PROFIT: ....is of very little value when it comes to evaluating a trading strategy's estimated future performance, no matter how rigorous the testing or how robust the system. Average Trade: ....one of the most important things to consider before starting to trade any system is the estimated average profit per trade in the future. The Profit Factor: ....to build a robust trading system that is likely to continue to perform in the future, make sure that the underlying logic is sound and Simple, that the trading rules are as simple and as few as possible, and that the gross profit and the gross loss are evenly distributed through time and in relation to each other. Slippage and commission: ....First calculate the expected move you are likely to catch, then transform that move into dollar terms in today's market by multiplying by today's market level and point value. The deduct the proper amount for slippage and commmission. If the dollar value still looks good enough, you should take the trade. on data: ....non-adjusted data is best for day traders or other commodity futures traders with very short trading horizons, who more often than not close out all their trades at the end of the day. on system building: ....In a correctly built system, your're interested in exploiting something that should, on average, work well in several different markets and over several different time periods, Not with any specific type of anomaly that might or might not still exist in a particular market. on systems: ....For a system to be profitable, however, it must be traded in a market where the moves it is designed to catch also are worth taking. This has nothing to do with the system, but rather with the level at which the market currently is trading and the dollar value of that level. On perspective of market: ....No matter what the long-term mode the market is in, the short-term statistical characteristics are likely to still look the same and be close to stationary in nature. This is a very important conclusion, because if this is true, the only way to build a mechanical trading system that holds up and behaves the same way in the future as it does during testing-no matter what the longer-term underlying trend looks like-is to focus on the shorter time perspective, with trades lasting for no longer than approx. a (insert time period) and using as little historical data for the signals as possible on systems: ....Because a system is working well on all markets, it does not mean it will be tradable on all markets, because not every system will produce big enough dollar profits to over come the costs. on system building: ....before we can put together the system, we also need to understand what it is we are trying to achieve, and consequently, how to go about doing it. on bad systems: ....that the model is not working for these markets, but simply that these markets, at this particular point in time, are not trading at the appropriate price levels and with a high enough point value to generate a profit after slippage and commission. Hence, a good working model is Not the same as a profitable model. on what it all boils down to: (MY Favorite set of statements in the entire book as of yet) ....The really big winners are usually few and far between;the rest are just a bunch of look-alikes there to confuse you. By staying away from all of them, you are freeing both your mind and capital to milk that big winner several times over in A SEQUENCE OF AVERAGE TRADES, while at the same time allowing yourself to step in and out of other markets as well. ....Translated into trading terms, for a system to be both as robust and as profitable as possible, you should strive to make each trade as similar to all other trades as possible, EVEN if it means that you have to cut your profits short every now and then.