Xiao si

I haven't tested yet because even the Hang Seng is closed for Easter, i think it was my mistake...i simply didn't have the IB chart loaded, only eSignal....I'm still thinking in NT (which i use as well) where you have the primary data source then the broker for orders... Pretty sure this will be the issue. Doh! XS

Great stuff guys thanks heaps... There is a raging debate on this on another forum regarding OOS testing which then leads to the topic of optimization. I sort of think that for my current tie frame, 15 minutes i need only a year of data to construct and 1 year for the first OOS period. Then i use a three to six month period reserved for optimizing...then WF from there. I know i'll get some flack for this...but that seems to work best. I think i'm getting too much variety in the market behavior if i use too much data to develop the system on. More recent data works better. Opinions? Cheers, XS

Thanks for that BH, very insightful. So far my testing and development has shown me that system develop on anything lessthan 15 minute are less robust and hold up poorly over more oos testing and less so in WF. When i have started looking inside bar from 15 minutes i have no difference at all in results...??? XS

Here is my latest problem....my system places an order but doesnt get a fill on the IB sim..... Err, sorry..creates an order but does not send it to the sim.

what code tag? do you mean commenting?

Of course it must be important Tams:roll eyes:, but in reference to the lower time frames how important is it? It seems to me that the higher the time frame the more important it would be, but if you are trading 1 minute bars then maybe not as much of an issue, depending on volitility etc... XS Using the bar magnifier settings, set to 1 minute, there is no difference in the test results....have i missed something? XS

I got this from the MC forum....FYI If Open of next bar > high of this bar or open of next bar < low of this bar then buy next bar at close + range stop; if open of next bar < low of this bar or open of next bar > high of this bar then sellshort next bar at close - Range stop; sell next bar at market; buytocover next bar at market; I suspect that I'll come across more issues with the old code while working my way through the book. The book is here Its pretty handy actually, goes through the whole process and you get some EL practice as well. Its just a bit outdated....i tried to find a more recent version to no avail. Cheers, CanOz

I do understand this...but I've not yet backtested any strategy using look inside bar. Should i do this? How critical is this on lower timeframes? XS

Holy smokes can you guys bring the conversation down to my level so i know whats going on? Cheers, XS

Yeah, i think i'm going to start reserving that period for OOS testing and making a point of always testing over it. Cheers, XS

this came out of an old TS book, word for word, when did this change onesmith? Also, the -1 refers to next bar as 1 or +1 refers to bars back? Thanks heaps, XS

You know, i usually run it over that nasty 2008 decline just to see what it does, but I've never really looked it that way before...thanks, that's great advice. XS

Can someone help me with this code...i've copied it from an old book on TS. I think it was before they changed the syntaz a bit....it will not compile and i'm stuffed if i know why...:crap: If Open of next bar > high of this bar or open of next bar < low of this bar then buy next bar at close of this bar + range of the bar on stop; if open of next bar < low of this bar or open of next bar > high of this bar then sell next bar at close of this bar - Range of this bar stop;

This is a great thread, is there anyone that can test the rules as they are applied to see how they would have done historically? I've got DAX data but no FX data on that time frame. The opening range is not just at the US open, the DAX and the FESX open far earlier. i used to look at the first 30 minutes, some use the first 15 minutes on CL. Once you have the system proven on the US open, you could also test it on the EUR open as well. You test these varied times as well. BTW, we are not optimizing yet....we haven't even tested anything. In addition to these times, you could consider another opportunity after the lunch break. The market can seem to reconsider the trend during a bite to eat! Also, i would recommend that to start with, as you mentioned...we take profit at 2 x risk. Then we can look at optimizing a stop later. Just a few ideas. Cheers, XS

This really resonates with me...They just didn't all share the passion for the job... XS

But should that variety include a period like we saw from July 2008 to December 2008? Should we expect a system to be able to trade through that huge increase in volatility and still be able to deal with a trending market? I do think that different parts of the trading year are important though. I try and use data that covers all of these seasons evenly. XS

???? Here are some results on OOS data.

Yeah, i agree. Not having to rush in the morning to get showered and into the work gear is nice. Having the time to exercise, then come back, enjoy a couple of mugs of fine coffee before a nice long hot shower. I like working 12-14 hours a day because i like the work, it stimulates me. I don't have anyone to blame except myself when something doesn't go right. And no pesky performance reviews to do either! Oh, and no poor raw material to blame everything on! Cheers, XS

I'm now back to walking in the morning and already i find I'm sleeping better at night. Lately i am spending allot of time at the PC and i worry about too much time sitting. I get up frequently though and move around and stretch. There are many careers where sitting for prolonged periods is part of the job. I feel bad for truck drivers and pilots! XS

This is great stuff Equ....At the moment my focus is intra-day on the equity index futures in my time zone, so Asian, Australian and Eurpean. I'm actually using Adaptrade's Builder as well as developing my own systems as i learn to code. I've got quite a bit of data now (thanks to a few on here) so i'll be working my way through some of that. I find that the last few years were pretty diverse in terms of market action. If i build a system on 2009-2010 data its more apt to perform on OOS data from 2010 - 2011 than if i use something that includes 2008. Talk about a rough patch. Just wondered how people were using that period, avoiding it or using it? Cheers, XS

Lots of great stuff here folks,thanks! FWIW i've got Sunny Harris's book that i'm working my way through, the examples are kind of handy but I've got to wade through the complete novice stuff about TS to get to the EL stuff, no worries though.I'm also working my way through MultiCharts manual. Cheers, XS

Thanks BH, i share your view on simplicity. XS

Can anybody point me to some good books or courses for EL that i can do remotely?

Late one night, a burglar broke into a house that he thought was empty. He tiptoed through the living room but suddenly he froze in his tracks when he heard a loud voice say: “Jesus is watching you!” Silence returned to the house, so the burglar crept forward again. “Jesus is watching you,” the voice boomed again. The burglar stopped again. He was frightened. Frantically, he looked all around. In a dark corner, he spotted a bird cage and in the cage was a parrot. The burglar breathed a sigh of relief, then he asked the parrot: “What’s your name?” “Clarence,” said the bird. “That’s a dumb name for a parrot,” sneered the burglar. “What idiot named you Clarence?” The parrot said, “The same idiot who named the Rottweiller, Jesus.”

Yes, perhaps we are...send me a PM if you like. I'm interested as to your previous role and the factory that you visited and your impressions of China.... Cheers, XS