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OK, I'm up and running on NT7 RC1 with all of 2010 in a CL ##-## instrument. I've tested 8 ticks tagets, 16 tick targets and 16 tick targets with moving stop to break-even when it hits +8 ticks. In short, and unless there's a bug in my code or in NT7, it's a good thing Jeff uses discretion.
The 'preferred' strategy only has roughly 200 trades, while the others are 3 times that. There is some kind of filter in there to eliminate a LOT of trades.
I know that while backtesting it is difficult to account for news releases...........BUT......our futures.io (formerly BMT) friend from Israel, Baruch Skorohod, has developed an ingenius indicator that is able to put the historical news releases WITH the desired time to "stand aside" on your backtest charts...........perhaps you could contact him and see if he is willing to share his work with you. I'm sure that your inside bars stats will improve !
Also, I have found that certain times of day (morning ahead of oil inventory report) and certain days ( options X and Fed day) and Friday afternoons in general are NOT good times to trade. Taking these days AND time of day functions into account will also improve your stats.
I think entry triggers are great because we can relax a bit while waiting for the trigger and potentially monitor several markets. But once it triggers, in my opinion, discretion is required. The reason is it's very difficult to have an exit trigger. Many edges only have a few ticks net edge (many only have 1 tick net edge). If discretion can get an extra tick out of it then that can increase the profit by 50% (or double it).
I give you an example: When I scalp, I look to get as much as I can. But if price stops moving in my way I'm out. Sometimes I get a couple ticks and sometimes more. But I try not to let it come back to my entry.
Now if I tried to automate that I'd have to pick a target and that would be making a lot of sacrifices. Let's say the target is 8 ticks, market goes 6 ticks in my direction and then pulls back 3. I can get out with +3 ticks. An automated system would get out with 0 assuming a "breakeven stop" is triggered. Now let's say the market moves 12 ticks and then pulls back 2. I could get out with 10, once again beating the automated method.
I quit messing with automation for this reason. I remember back when I was backtesting another strategy with Jeff, I optimized and came up with an optimal target that was bigger than Jeff's +8/+16. I forget what it was but I told Jeff that it's better to wait for the "optimal" target. I don't remember his exact words but it was something like "just because it has hit that in the past doesn't mean that it'll continue doing so". Which turned out to be exactly right. Over the next few weeks the "optimal" wasn't optimal.
So to conclude, backtesting entries can be good to find entry triggers. But in my opinion, discretion should be used once in the trade.
I hope you found this post useful. I wish several years ago I had known this and spent my time learning to trade with discretion instead of programming & backtesting.
