I was hoping to hear some horror reverse engineering stories and get a feel as to how widespread the practice is. Unfortunately the people doing...
There is not much you can do about that. The adverse selection you experience with you limit order is built into the fabric of the current...
The reason the realized PF and Sharpe are lower than their counterparts in the backtest is due to some unfortunate leverage decisions I made...
From the actual trades for 2009 (made money first 6 months, with the last 6 months flat) I get a daily PF of 1.4 and an annualized Sharpe of 2.0....
(1) market traded very liquid NYSE and NASDAQ listed equities (think SP500 constituents) (2) timeframe of strategy day trading (no overnight)...
One of my strategies has been treading water since the middle of 2009. I find the following scenarios plausible and list them in decresing order...
Dustin I have a couple of questions if you got the time: 1. What period in the past is the most similar to the environment you see today and how...
Tape A = NYSE listed Tape B = AMEX and regional-exchange listed Tape C = NASDAQ listed
el pollo, I wanted to ask you a question regarding the opening process on NYSE. Is the opening cross the first print reported to the...
Forgot to say, the universe above is the 500 most liquid names on NYSE or NASDAQ refreshed every 6 months. Talon, what don't you like about...
Here is a backtest of talon's pullback idea from 2003 up to now. The universe of securities is the most liquid NYSE or NASDAQ stocks refreshed...
I am not sure what you mean by proving this. You could in theory design a controlled experiment where you put a hard number on "how much" it...
You have put the magnifing glass on one of the last "unfair" features of our market structure. Of course, "unfair" is just a point of view. What...
Here is a little event study I did looking at the tail part of talon's index rebalancing idea. I looked at all additions to the SP500 from March...
talontrading, Thank you for the post. It was like a breath of fresh air. I am not posting much on ET but I read quite a bit, and to me this...
Scraff, It seems to me that your post is an attempt to express frustration with your fill rate. You feel that your attempts to sell your shares...
Stocks have a built in long term expected return of about 6 to 8% per year (including dividends) with a volatility of around 20% a year, which...
Divide your process in several independent components. The data gathering and raw processing you can outsource (outsource the processing of...
StLouisTrader, What do you gain from posting your trades real time? Most strategies have edges that erode over time. If your edge comes from...
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