Wins/Losses :  5/5

Total Return: (1.4) %

July was a very choppy month, and my account finished modestly lower.   On paper, the Euro Ranger system and Cable Glider systems showed a combined return of positive 2%.  I missed execution on two positive trades in the Euro, and I had the British Pound system shut off the entire month.  I also made a minor tweak on the Euro Ranger system;  the code change manifested itself only once in July, and unfortunately it also had a net negative effect.

Recently, my work on trading systems has been influenced by David Aronson’s book, Evidence-Based Technical Analysis.  The most important insights I’ve gained from this book are the ideas about recognizing and quantifying data mining bias, and the ideas involving adequate trade sample size.  As a result of ever-more rigorous testing procedures, I feel much more comfortable about the long term profit generating prospects of the Euro Ranger system.  I am heavily biased by the fact that most of my actual historical profits (and losses) have been generated by the Cable Glider system, but objective testing is showing me just how much much riskier (and lucky) that strategy has been.

 In August, I will continue to strengthen my testing procedures, and look for more satisfying adaptive rules for turning trading systems off and on.  It’s a very unglamourous time of much study and not much profit, but I do feel that I’m making progress toward my longer term trading goals.