<t>QuoteOriginally posted by: frenchXI have a very basic problem for performance measure usually used in finance.The very basic performance measure is :(measure expected return-benchmark return)/measure of riskThe problem I have is how you distinguish low risk-low return from high risk-high return w...

<t>QuoteOriginally posted by: QuasiRandomIn my opinion, you should always scale into positions, whatever the trading style. When your view about the market direction is correct, you enter more slowly and so give up a little of the upside. But when you are wrong, you exit from a much smaller position...

Profit Factor + UPI (http://en.wikipedia.org/wiki/Ulcer_index)

I would start by avoiding Sharpe R. It has too many flaws like penalizing for the upside volatility etc. Sortino is better, UPI is still better. Profit Factor is probably the most robust.

People start with TradeStation or MultiCharts and when they realize all the limits they move to Matlab, C++, or something similar.

I would advise also to look at Matlab.

CSIData

I do not use them but they actually work better in trending markets. To use them in a trading range is silly. Some of the better systems in public domains like Aberration are based on them. Acastaldo, have you ever placed a trade?

Did anyone backtested DeMark's tools?

You can buy the book online. Some of the patterns are fine (e.g 2 Bar Narrow Range), NR7 is quite mediocre, hook patterns are horrible. Performance of OBR entry went down since 2004. But most patterns can be further developed. The book is great for its methodology of research.