Basic system metric not even tracked? Max Consecutive Ticks FE before AE

Most system developers are aware of the Max Favorable Excursion and Max Adverse Excursion measures. These measures track the max profit and loss a trade experiences over its lifetime. However, a very useful metric that I'm unaware of being even tracked in most trading platforms is Max Favorable Consecutive Ticks (MFT) before Max Adverse Consecutive … Continue reading Basic system metric not even tracked? Max Consecutive Ticks FE before AE

Why the ES mini is no longer a mini contract and why your future losses may be much larger then your backtest suggest…

In 2009, the SPX was around the 1100 mark. Today, the SPX is stands at 2738. In 2009, one ES contract was worth approximately $55,000 notional value. Today, one ES contract is worth approximately $136,000.¬† In 2009, a 2% move would work out to an approximate 22 point movement or $1,100 move. Today, the same … Continue reading Why the ES mini is no longer a mini contract and why your future losses may be much larger then your backtest suggest…

Simple Graybox Technique: Colorizing Background

A simple but effective technique for building your first graybox is to colorize the background based on whether you should be looking for short or long trades and/or based on identification of specific setups. A key benefit over simply using traditional indicators is that it eliminates the effort and tedium required to process multiple indicators. … Continue reading Simple Graybox Technique: Colorizing Background