Deadline June

One of the reasons why I stick with NinjaTrader despite getting my **** reamed doing their beta testing is that they have a walk-forward module on their optimisation program. I can set the optimisation nwindow to as small as 3 days, any timescale, and the walk-forward / blind window (to see how that optimisation did) also to 3 days or more. I can then let that run over any period. So it goes optimise / walk-forward / optimise / walkforward / optimise / walk-forward continually using the defined windows over the whole period and collates the walkforward results at the end. That way I can tell most of my ideas are crap.

I have done that over 10 years, but I don't do one big optimisation period for ten years unless I have a walk-forward period of about 2 years at least.

I like the idea of the rolling optimisation and I've already got a plan to try it out, but it would be quite processor intensive. Plus I have to sort my current situation out and get somewhere that feels more stable than where I am right now. My profits from the last couple of weeks won me more time to get there, but it's a slippery slope to get up.

Gotta go but will be back with more dire stories about trading with NinjaTrader and IB later.

Andy Pandy is going to run a strategy on NinjaTrader that connects up to InteractiveBrokers. They are the biggest broker in the world and very reliable, so Andy Pandy is confused because they are acting like a bunch of muppets.

IB are huge and you are small.

This is reflected in their support policies.

It is something we hae to live with I guess.

Are IB the biggest broker in the world, really?

http://www.consumersearch.com/online-brokers
http://www.consumersearch.com/online...active-brokers
http://online.barrons.com/article/SB...el_article%3D1
http://s.wsj.net/public/resources/do...ers_090316.pdf
http://tools.tradewiser.com/broker/interactivebrokers
http://www.brokerage-review.com/stoc...rs-review.aspx
http://en.wikipedia.org/wiki/Interactive_Brokers
http://en.wikipedia.org/wiki/Category:Online_brokerages

And, finally, what they say:
http://investors.interactivebrokers....erage-Data.xls

The only alternative that I've seriously checked out at this point is MB Trading, who have more respect than IB in all those reviews. However I was totally unable to get hold of their historical data for backtesting.

They say they have 15 years worth of tickdata available but when I asked for it, offered to buy it, they said it wasn't possible. I think the salesman was talking rubbish.

Found that optimising over a shorter period does give better results. 30 days appears to be best.

Testing optimising each MA of the 3 Ducks seperately. Playing with fire maybe. It doesn't work with short periods. I'll try a couple of long periods, e.g. 5 years.

Optimising your optimisation... Lol.

Hey, you were the one who suggested optimising the different MAs seperately.

When you put it like that, it sounds bad, but if I apply the same precautions as I do to primary optimisation, e.g. lots of blind tests / walkforwards, then I should be alright.

I have a lot of data to test it out on. I've got to have enough tests to decide on the best optimisation period and walk-forward period that works - and for reasons that make sense - and then I've got to make sure I keep enough data to try out the whole process from scratch on other data.