Systems and System testing.

[Troy Kelley <tkelley@xxxxxxxxxxxx>]

Traders,

I am new to the list.  I look foward to talking with some traders about
TS code development.

I spent this summer trading the S&Ps.  I did pretty well, until one
trade took all of my profits for the month.  That was one of those days
when greenspan was talking and the market was going crazy.  And, in
fact, it was a few trades where I went long, thought I was wrong, and
went short, but I was wrong on both directions and it cost me a bundle
because the market was moving so fast back and forth.  Anyway, live and
learn.

One thing I did learn this summer about trading was that you really have
to sit and watch every tick, every day.  Only after I did that for a few
months (paper trading) did I feel comfortable that I could predict the
market reasonably well.  It took some time, but it will happen if you
just sit and watch it long enough.

Now I am at a job where I can no longer watch the market on a daily
basis so I have turned to developing systems of what I learned over the
past few years of discretionary trading.  But I am wondering if TS
really gives accurate system results?  I guess this has been discussed
here before, and I know the pitfalls of optimizing, so I stay away from
that, but it seems as if TS can overestimate returns on occasion.  Is
there a "leasons learned" on this list, or perhaps a good post from
someone on things to watch out for when developing a system?

I actually have one very simple code question.  This summer I used
LeoWeb software to trade.  Not bad software.  A few fills were late in
getting back, but other than that it wasn't too bad.  I found most of my
S&P trades (at market orders) were executed somewhere near the close of
the next bar, after my signal, on one minute bars.  Sometimes they were
faster than that, but I figure that is a good entry point for any
systems I develop.  So what is the code to say - enter the market at the
close of the next bar? I have tried all sorts of combinations and
haven't been able to get this to work.  I know this sounds easy, but it
has not been for me.  TS seems pretty intent on market or limit orders
and entering on the next bar on the close, since it is intraday, seems
to not work so well.

BTW, I have a system I am working on.  THIS IS NOT SPAM, I have decided
not to sell the system, in part because I do not want to get hasseled by
the CFTC, which I hear can happen.  But I have posted some system
results to the web at
http://www.erols.com/tkelley/traders/S&P.html.  Check it out.. ignore
the price and the advertising, because like I said, I am not going to
sell it, but I welcome comments about the system testing results.

Thanks
Troy