Has anyone been successful backtesting a system that is consistently profitable?

[demarcog]

Originally posted by xxjohnxx
Does anyone know of a Bollinger band strategy using z score. That I can use to back test the E-mini Russell. I would like it to show buy and sell signals on the chart too.

Thank You In Advance

xxjohnxx,

I thought I saw such a strategy in the TASC or Traders Magazine section of the Knowledge base.

[demarcog]

Originally posted by sams
Hello,

did anyone made a (back)test for trading an e-mini future when S+P and NQ and YM and Russell 2000 goes the same direction or e.g. MACD gives for all the futures a buy or sell signal?

regards sams

sams,

Having done alot of "non-strategy" discretionary trading of the stock indices it definately will increase the probabiltiy of a successful trade if all 3 indices move in the same direction.

I've done alot of system strategy testing using these 3 symbols using sym() trying MACD and other indicators and it does seem to improve the performace although never actually found something that really does outstanding as the S&P is such a choppy market the last several years. The profitabilty of many systems seem directly proprotional to the volatility. Several years ago 20-30 S&P handles (full point moves) was a normal day's range, today that has been reduced by more then half...

If you are interested in exchanging ideas/strategies let me know as I would like to continue pursuing improving the strategies I worked on.

Glen

[ronnie.storage]

Isn't there some chap called Warren Edward Buffett who has got a tried and tested, plus quite profitable methodology?