I'll make a qualifier for my comment about the performance. When I looked at the days when my strategies had significant losses (like $1,000 or so per day), I noticed that these days had suspicious data. For example, on these days, the recording didn't start until 10:30am, so the trades placed immediately after that time didn't have enough price/balance history for the indicators. I ended up by simply excluding these days from the recorded data file (there were 2 or 3 total). On the other hand, there was also May 6, the flash crash day, on which my sample strategies made astronomical gains (in the $5,000 to $10,000 range), and that single day skewed the backtesting/ optimization results so much that I've dropped May 6 from my data set as well. All in all, my working data set excludes what I believe to be either erroneous or non-representative market data. As I've also mentioned, the forward test results look very decent, too, which gives me certain amount of confidence. Finally, I am also happy with the fundamental aspects of them, that is to say, I am comfortable with understanding why and how these strategies actually work. I am starting live trading in about a week.
-- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
