I dumped EMD due to lack of volume. I'd be happy to find a replacement in equity indexes, but ES, NQ and YM don't perform well with this system. Maybe TF is the answer? Too bad there isn't a liquid US based equity index that swings like FDAX.
The Jurik ATR trailing stop hasn't demonstrated any greater effectiveness over the original code and actually hopped out of a few trades prematurely compared to the existing exit method. That's defeats the system's ability to stay in runners. However, the Jurik did save a tick or two in other situations, but I don't see the consistency. I thought the answer was to increase the length (size matters, right?). That did eliminate the early exits but at the expense of a bigger slip. For now I'll stay with the original code.
The new trading hours are 8:45- 11:30 ET, except for ZW which starts at 10:30. The reason for the change is things start to slow down a bit earlier than 12:00 and I want to avoid catching a trade in a 30 minute dead zone. This system won't perform well without strong short term price swings.
I'm going to test 6J for trading between 20:00 and 1:00 ET. this week.
I feel closer to going live with money and hope to do so next month.
Last edited by Tundi; January 31st, 2011 at 12:58 PM.