If you're using stops then it's much easier: just figure out how much you will lose if your stop gets hit. If you only want to lose $1000 max, then you can just divide $1000 by $50 to get your ES stop points value. $1000 / $50 =

20 ES points for one contract

10 ES points for two contracts

4 ES points for five contracts, etc.

For futures you look at the nominal value of the contracts you trade. For ES it is $50 x Index point value, or as of Friday's close, $68,175 per contract. In other words, in your example trade above, your 9 contracts was the equivalent of about a $600K position in SPY depending upon where the index was when you entered.

Since the system doesn't use stops, you have to look at the maximum losing trade to determine how much you are willing to risk. Or, use the mid-trade maximum drawdown to determine how much heat you could stand before bailing on the trade. In either case, the first thing that you need to do is to determine for yourself what the maximum loss to your account that you are willing to take on any one trade.

ES example:

Let's say you have a $100K account and are willing to lose no more than 3% ($3,000) on any one trade. If the system's historical maximum losing trade was 3.36%, you would divide your $3,000 by 0.0336 (3.36%). The result is $89,286. That means that you could comfortably trade only one ES contract (again, worth $68,175 right now). When your account gets to $178.6K you could add another contract. Or, you could add more contracts if your risk tolerance is higher.

Make sense?

The max bars back setting that's at issue for a strategy is found in

format strategies>general (I'm going from memory...it's the first tab on the left and then the entry box is on the bottom left)

Sure, as long as the consuming can all be done by China, Brazil, India et al. We're still a little under water back in the USSA.

This tax will kill us small traders with a $50 per round trip tax for each $10,000 transaction. The big guys will either expand their use of dark pools or pass the tax along to their customers as fees.

The link below has a boilerplate letter that you can edit and either e-mail or send hard copy to your congressman and senators.

http://www.rallycongress.com/no2tradertax/1536/tell-congres-to-block-trader-tax/

Our livelihood is at stake here, folks. Send this info to all your trading friends.

This congress is intent on killing small business either through ideology or their ignorance of the unintended consequences of their actions.

Sorry, I noticed that I had the wrong color font on the cumulative points column when I first submitted the images--and then managed to double-post the corrected image. D'oh! 

I finally got some time this weekend to look at using $NYSI 5,3 stochastic crossovers to time entries and exits on the S&P 500 weekly. Over the past two years, these crossovers appeared to give fantastic signals, and even when considering how you would actually have to execute trades, the results are pretty good (65% winning trades and a 22.2% CAGR). The bad news is that the equity curve over those two years would have made it tough to keep on the system in that you would have been negative for the first nine months. More of a problem is that the same methodology backtested further breaks down pretty badly, with lots of spurious buy and sell signals during the extended 2006 rally.

The method I tested was to buy / sell at the closing price of the S&P 500 on any Friday where the $NYSI 5,3 stochastic crossed up / down. I worked my way week by week through the weekly $NYSI chart taking a screen shot for every signal, noting the closing S&P 500 price. I acted on every reversal crossover—including the nasty whipsaw in late Nov 2008 / early Dec 2008.

The shots below are 1) Matt’s signal chart 2) my revised signal chart 3) the list of trades 4) the equity curve and 5) a picture of the first signal on 10-19-2007 that also shows the spurious signals given during the long 2006 rally.

While I’d be awfully happy with a compound annual growth rate of 22.2%, I don’t think you’d get those kind of numbers if you look back further into time (I plan to try this eventually).

-pd

Matt,

If you get a chance, could you please include your big picture $Gold chart that is annotated with the net short positions?

Thanks,

-pd

Between the bloodsuckers and the SEC doing the banksters bidding, it will eventually become prohibitively difficult for small investors to use short and leveraged instruments. I'm beginning to see that this is a long-only market and that as sheep we're supposed to shut up and accept an annual shearing to enable those $750,000/person quarterly bonuses at GS.

They're pushin' too hard, pushin' too hard, on me.

I've almost uniformly seen the monthly 20 EMA used in the past, and it has quite a way to go.

The week's not over yet, but this has been significant in the past ten years...

After reading "The Creature From Jekyll Island," read " Web of Debt" by Ellen Hodgson Brown. Learn the simple truth about how money is created by the Fed in service of its banker owners...and how we could cut them out of the middle and retake control of our destiny.

Since 1913, we have been--and are being--scammed. It is outrageous that Congress is blocking the bill to audit the Fed. The pretext is that "we cannot allow the monetary system to become politicized." This level of Big Lie is so "audacious" as to boggle the mind. The bankers that (literally) own the Fed buy political influence precisely to shunt trillions of dollars into their coffers--impoverishing the American taxpayer in boom and bust cycles.

Continuing claims are dropping due to people exhausting their benefits in new record numbers. This will be glossed over in the MSM.

http://seekingalpha.com/article/141470-unemployment-data-exhaustion-rate-will-soon-lead-to-false-green-shoot-chatter

"Since JP Morgan just announced its intentions to raise capital yesterday, it is highly unlikely that we will see a strong, sustained downward trend in US markets commence for at least another couple of weeks if not a couple more months. However, other important “triggers” in the international world outside of the US will determine if we see this sustained downward trend in a couple of weeks versus a couple more months."

http://www.theundergroundinvestor.com/2009/06/telltale-signs-a-significant-us-market-correction-wont-happen-in-the-immediate-future/

More housing pain to come...that cannot be good for the financials.

http://moremortgagemeltdown.com/download/pdf/T2_Partners_presentation_on_the_mortgage_crisis.pdf