I haven't found that mythical Edge making someone profitable all at once, but I have found that profitability can come from adding a lot of little...
IMHO, 6 months out of sample for 18 months of training is not a validation at all. Your process has to overcome a huge datamining bias, of courses...
How will you validate anything coming out of this? What timeframe or combination of timeframes are you planning to look at? How much historical...
The entry should always be at the open of the next bar ... I suppose your question is for MKT orders ... depending on the instrument, you can use...
The OHLC of a bar are 4 samples of the transaction data stream. By the time you are sampling, the filtering of high frequencies should have...
In the backtest category, I forgot to mention, make sure commissions are realistic
It sounds like you have no experience at all with automated trading systems. On the other hand, I am one of NinjaTrader's partners, specialized in...
Also, is the system tradable live? How does it recover from a loss of connectivity, a local crash, etc ... backtest is one thing, live trading has...
I am very skeptic about any backtest with Tradestation when they involve LMT orders (by default, these are deemed filled on a price touch instead...
An average isn't typical, and it is very misleading. Try plotting the distribution of the metrics you are interested in, and for that be sure to...
1. You should normalize everything to a standard position-size 2. Ignore the backtest & live stdev 3. Using the backtest trades distribution, run...
With all due respect, the OP is telling us his backtest covers 49,000 trades over 40 pairs, and that's all the feedback you can provide? I...
Comparing the averages gives you nothing. Look how far your live average/trade is from the backtest one, not on $ value, but in number of stdev -...
Very much in agreement with the above. I use NinjaTrader 7, on which I have developed automated systems which trade 24/5 with very minimal manual...
Reason #1 : a lot of published backtest results come from unreliable backtest engines (Tradestation to be specific) ... when a LMT order is deemed...
If you are going to do any backtesting/optimization, then get as many cores as possible (hyperthreading is great for that) and at least 4 to 6 GB...
Yes, but only when random entries also show consistency between in-sample & out-of-sample.
The very 1st question that comes to me is : - what is the average net per trade (#ticks per share) I am far from a specialist of stock trading,...
A few month ago I did a pretty extensive analysis of intraday pullback retracement level for CL (Crude Oil futures). From the top of my head,...
Looks to me you are placing the cart before the horse ... asking how to define a DT/DB, without 1st defining the purpose of that definition. What...
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