[Dogpile]

I am not an expert in the nuances of Tradestation back-testing... apparently it is not as easy as sticking in ES.D and observing the results.

But that said, Art Collins is an expert back-tester and he back-tests this strategy in his book. It is very nicely profitable in S&P's, Russell and Nasdaq -- he didn't test YM. (note that art uses 9-days in his back-testing).

This is partly why I posted the Tradestation code, to be transparent and let others back-test it as well if they want -- and maybe we all learn something while doing this.

Right now, I am just pulling the 'life of contract' for each contract of 2007 and 2006 and checking them out. The strategy has its flaws and nuances but it still beats the market. It is good example, in my opinion, of the power of 'range expansion off opening price'...

historical contracts:

esu07
esm07
esh07

esz06
esm06
esh06
esz05

etc...

so far looks consistent with the book results since art wrote it.

and yes, the trade is underwater. might get squeezed hard tomorrow off the FOMC stuff... will be interesting to watch the pain of a mechanical system as it will be impossible to trigger a long tomorrow (per the strategy rules) and bail this trade out.