OK, I have this great entry for any of the 1M emin's , ER2, NQ,ES,YM and some of the Forex 15M that I have looked at. I have been trading the ER2, one contract only and usually make 240 to 300 per day. I have a few losing days, but generally am making this with only two to three trades per day.
Now here is the problem. When I write my rules as a strategy, and put in the cost of the trades + slippage, I get a great equity curve directly down.
In real life, I am making a trade and then placing my order to cover 100 to 120 dollars away. So far since 5/23, I am getting this point 81.2% of the time.
When I optimize the stop loss it comes out to 240 so that is what I use in my discretionary testing.
What bothers me is that this system does not walk forward as a strategy but actually it does in real life.
Since it is counter trend and tries to catch a falling knife, I am using the MACD to offer some form of confirmation, at least wait till the slope of the MACD goes flat.
I also am not taking those buys or sells if the bars are way below or above the Kelterner channels.
I guess, I am frustrated that I have done all of this mathematical work before and found Grail robustness systems of 70%+ and now I can't get this one to work in theory but in practice it is almost a living.
I am dramatically afraid that the first time I add money management to the entries, I will get a large draw down and wipe me out.
Am I being too paranoid or should I just go sit on the beach with TRO.
If I could have another trend change filter (any suggestions would be welcome) then maybe I would try to test it again under Grail.
After reading Michal's theory on costs, maybe I am on the right path but it drives me crazy that I have a 70%+ program but when testing it has some very large loses. When I add a SL to it, it helps but just takes down the % also.
Any suggestions on what direction I should go to provide myself iwth the mathematical or statistical rigor so I can start adding to my positions and branching out to other instruments.
I need to automate this since one can't follow the charts all of the time and you do miss trades.
any thoughts out there.
I hope I made myself clear on this.