[rsi77]

"You can get very impressive optimization results with pretty much any system... "

Yes, that's true...that's why "walking forward" is important. Even then you have to be careful.

There seems to me to be some very odd characteristic of this free "clone" strategy. Quite often it buys at the exact low of a bar, even though that low is lower than any recent bars. As I understand the Clayburg strategy it should buy at the lowest low of the last 3 bars. Maybe the TradeStation interpretation is to blame, or maybe it's the strategy. In any case many of the trades shown would not have been possible in real life. Either they wouldn't have been filled on the touch of that price, or there's no way to know what the lowest low is the last three bars is until the last of the 3 bars has closed--in which case it's too late to buy there.

Also the targets fill even if only touched--often times in the charts I'm looking at that is the last chance they had to fill before stopping out, meaning a stop likely occurred instead of the profit. But the backtest shows profit.

I'm still going to play with this a bit and see if something useful can be learned from it.

[swansjr]

Originally Posted by rsi77 »

"You can get very impressive optimization results with pretty much any system... "

Yes, that's true...that's why "walking forward" is important. Even then you have to be careful.

There seems to me to be some very odd characteristic of this free "clone" strategy. Quite often it buys at the exact low of a bar, even though that low is lower than any recent bars. As I understand the Clayburg strategy it should buy at the lowest low of the last 3 bars. Maybe the TradeStation interpretation is to blame, or maybe it's the strategy. In any case many of the trades shown would not have been possible in real life. Either they wouldn't have been filled on the touch of that price, or there's no way to know what the lowest low is the last three bars is until the last of the 3 bars has closed--in which case it's too late to buy there.

Also the targets fill even if only touched--often times in the charts I'm looking at that is the last chance they had to fill before stopping out, meaning a stop likely occurred instead of the profit. But the backtest shows profit.

I'm still going to play with this a bit and see if something useful can be learned from it.

Those are all good points and highlight assumptions that are made with the TradeStation platform. For example, if price touches a target it is assumed filled.

[bakrob99]

Originally Posted by swansjr »

Those are all good points and highlight assumptions that are made with the TradeStation platform. For example, if price touches a target it is assumed filled.

You can set your LIMIT EXITS on TradeStation to go to market after xxx Seconds if you are not filled.

[10xray1]

Hey guys. I found another anomaly I think. I ran this system with one contract on JY. I found the end of day exit doesn't work as intended. Although I have the appropriate times set in the system... It tried to exit it at 4:02... 47 min after market close and was rejected. I had to manually exit in afterhours

Is anyone else experiencing this? Anyone know if I'm doing something wrong?

[10xray1]

Further testing reveals... any time after 1500, the trade exits at 1559 (strat analysis)... the trade manager recorded an attempt to close at 1602 (rejected, market closed.)

I set the close time to 1500 and strat analysis records the exit as 1500, so we'll see if it works in actual trading.

[swansjr]

Originally Posted by 10xray1 »

Hey guys. I found another anomaly I think. I ran this system with one contract on JY. I found the end of day exit doesn't work as intended. Although I have the appropriate times set in the system... It tried to exit it at 4:02... 47 min after market close and was rejected. I had to manually exit in afterhours

Is anyone else experiencing this? Anyone know if I'm doing something wrong?

Well I'm no expert but if the order was rejected that means the program sent the order at the end-of-day. I'm not sure what the problem was.

[10xray1]

The problem... as I stated, is that the strategy issued the "buy to cover" while the market was closed, rejecting the order. Even though the close times in the strategy were approximately an hour before.

[RM686]

Great posts folks. For $7500.00 the results and effort are a joke. I am looking for indicators I can optimized with tradestation or systems to trade ETFS. I have looked at Clayburgs site and wont waste my time there anymore.
Clayburb is another site I can rule out.