This above equity curve is based on data which is 90% out of sample and using $10/rt commissions and $25/rt slippage. This is a reversing strategy, but it also has stops and will stop trading if the daily loss exceeds a loss target. With a 1.15 profit factor, this is not a particularly compelling strategy, but it certainly passes the first and most important test of being able to produce positive returns outside of the design period.

Next the daily returns from the strategy are screened with a regression filter. The purpose of the filter is to determine whether a day is a good trading day before the day begins. These calculation are all done in an Excel spreadsheet. After filtering the trades, the equity curve looks like this:

This looks good, but it's still all history and hypothetical and experience teaches us that (1) prior performance whether real or hypothetical is go guarantee of future results and (2) returns are much more likely to be lower than higher.

The next step is to begin reporting results going forward on the website, but I expect this to replace nearly everything that is on the current SIFTradingsystem.com website as far as daytrading systems for the ES e-mini.

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