Cable Glider final results for March 2007:
# closed winning trades : 5
# closed losing trades : 5
Net monthly profit (loss)% : 47.1%
More detail later…there were two trades this week, both of which were entered and exited on Friday; the first one was a short trade closed at a gain, and the second was a long trade with a loss about half the size of the previous trade’s gain.
This has been my most profitable month of live trading to date, both in terms of percentages and absolute number of dollars. The beauty of the Cable Glider system has been its ability to not get killed, and even thrive in choppy conditions. At it’s core, it is a trend following system, so if any REAL sustained trends occur in the coming months, maybe 47% will look small! 
I’ve received a handful of emails from readers with questions about the reliability of data used in backtesting and the actual process of backtesting in MT4. I have a feeling that this will disappoint some readers, but I tend to keep it as simple as possible. The data that I am using for backtesting is data that I have collected from my forex broker over the past 18 months of real money trading. It’s about as clean as I could hope for; I know that it represents real dealing prices, because I lived through every bar of it. In general, I am the wrong person to ask about data issues!
If I have a set of entry and exit criteria that I would like to test, I first code these criteria as indicators before putting them into a Metatrader Expert Advisor (EA). Then I put this code into an EA, making sure to draw arrows on the chart each time a trade is entered, a trade is exited, or a trailing stop is modified. I then run the backtest, and visually inspect all the trades on the chart to ensure that the system is entering and exiting where I would expect it to…this is easy to see, given that I’ve already coded the entry and exit criteria as visual indicators.
As for tick modeling in the current bar, I completely sidestep the issue by constructing entry and exit signals that look only at opening and closing prices of the previous bar; there is no need for me to model the intrabar movement of the current bar. Additionally, I exit all trades on Friday afternoon, so there is no possibility of a weekend gap that isn’t properly accounted for in the backtest. It is very likely that I am sacrificing some profitability by making these choices, but what it allows me to do is build a system that has a high realism factor, that is, it behaves very much in a walk forward test like it has in the backtest. Data “glitches” can and do occur, and I’d hate to be making decisions based off the high or low price of a bar that hasn’t yet closed; it would be too easy to generate a false signal this way.
What about the limitations of Metatrader? There are certain systems that would be difficult to code using it…if I have a concept that I believe will work and I’m having a hard time converting it to MT code, I keep reducing it to a simpler heuristic that I CAN code in Metatrader…again, erring on the side of simplicity rather than complexity. What I want to see is that the relatively simple system that relies on the previous bars’ opening and closing prices only will work…if that’s true, I can spend time wringing the optimal profitability from the system if I so choose by “bringing the action forward” to the current bar…so far, I’ve found that the risk and additional complexity of such a step not worth the potential reward.