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Sevensa, yes tradestation is a tool. The back testing engine is designed to curve fit to some extent. That’s just how the Tradestation algorithms work the more data you give it the more it curve fits. Building continuous contracts with time data is almost useless in Tradstation unless you are putting on positions that last several days (like trading stock or spreads, the discussion is about futures). If you are trading intraday then a more modern approach is warranted. That would be using tick bars and tools designed for them. The Lasalle link has the best screen shot example of 30- year bonds with 144 tick bars and the market condition patterns it makes (this is what rickek was talking about trading). When back testing using tick bars it is necessary to get enough data to cover a few instances of these patterns. This would usually be less than two weeks, sometimes two or three days. There are other market condition identifiers; this is the one I like. I use it on everything. There are better commercially available back testing engines than Tradestation. But again forward testing is Tradstation on their simulator is excellent. The Tradestation back testing is ok if you keep it to a minimum as recommended by George Pruitt and John Hill. I trade the ES, YM, NQ, and US almost every trading day. Because the US moves as slow as watching paint dry, I use an automated Polynomial RSI system on it and seldom hold overnight positions. The US seems to work well with overbought oversold type systems and indicators designed for tickbars. If you want to build you own system start with a CCI or RSI indicator and add order execution signals. Backtest with optimization and find the median inputs for the best 10 or so optimization report input settings. Apply these settings to the indicator so you can see on the chart how the strategy trades in relationship to the market conditions and movement. With practice on the sim you can visually optimize the indicator for best performance in the current market conditions and apply these setting back in to the strategy. There are several commercially available trading systems that use the strategy-indicator system. Most of these have high math algorithms to enhance the ability to capture oscillations. Quality data for tick bars is a must. Tradestation has good data (low compression) thus works well with tick bars. In a side-by-side test with Tradestation, IQ feed had 25% less ticks than Tradestation. This is data compression and will it render back testing unreliable.

I have traded 30 yr bonds for about 3 years in a proprietary fund and found that when you backtest more than a few days back with Tradestation it curve fits. The 30 year bonds are heavily algo traded by many funds and banks, thus the movement and condition is often related to the Dow, S&P and the Nasdaq. This includes the mini contracts. The more successful 30 year bond strategies and trading systems available for Tradestation (easylanguage) use tick bars to eliminate the irrelevant factor of time and focus on market movements based on volume. 144 tick bars (plus or minus one fibonacci number) will produce clearly defined market movements and conditions for the 30 yr bonds. To optimize a system to tick bars you only need enough bars back to capture 3 or 4 examples of trending, oscillating and choppy market conditions. You can find this in just a few days of data. Tradestation is not the best backtesting tool but it is great at forward testing a system. Using the simulator you can auto trade a system and watch it’s performance in real time. This allows you to see what kind of market conditions cause the system to break down. One of the best tools for evaluating market conditions with tick bars is the Lasalle 3Line Trender. For more information on using Tick Bars read "Building Winning Trading Systems With TradeStation" by George Pruitt and John Hill.