Your equity curve looks great, provided it's what real trading would produce. I wouldn't care if it makes $8 per trade as long as those are real...
How come then your equity curve shows about 1100 trades making less than 10,000? (how did you get $50 per trade?)
What you are doing is essentially correct. In liquid instruments like ES, this should get you pretty close to actual live trading results...
Frost, why don't you program your own little class keeping track of orders for a given strategy (could be a few dictionaries with...
I am experiencing the same issue with Velocity Futures using TT's data feed. It's a Comcast issue, apparently, they are trying to fix it... but...
Annualized Sharpe >= 2 is very respectable in my opinion. I would focus more on return/drawdown ratio, which in your case (IF it's valid...) is...
What you are suggesting is old school type trading, whereas some transactions may happen like that it's quite unlikely here, many times this...
I notice quite often on a footprint chart (let's say one minute footprint chart) that there is a significant number of contracts traded at a...
volume...10 lots first, then 5 lots
This is from today-UBM2 algo in action from about 2:40pm to 3pm. First picture cumulative delta, second picture volume (one second resolution).
You seem to be quite skeptical about the quality of IQ feed data; I don't deny that I have no control over how good the data is they deliver but...
Random.Capital, I would like to know what you mean by the feed being a processed native feed. IQ feed claims they deliver to you whatever they get...
I get the data directly from IQ feed api (every trade with it's volume size/bid/ask side). Is it precise? I don't know, but look at the picture I...
Do you care to elaborate on your point? I don't quite understand what you mean. I get all trades as they are executed (to the extent the IQ feed...
OK, I programmed the chart myself, I get streaming tick data (IQ feed) and then aggregate what I see at one second resolution.
I didn't read that one correctly... but still seems a little too simplistic to me to buy that many contracts so visibly, why wouldn't you at least...
A 'simple' spread order of ten thousand contracts (that's 1 billion notional of ZN I am talking about here...)? Hedge funds usually work the...
Maybe you are right (although the post was not quite clear to me), the 'true' algo may be hidden. But the 'visible' algo is loading up on...
I see almost on a daily basis an algorithm that is usually active around 2pm CST that keeps buying/selling a fixed number of lots in treasury...
Do you care to elaborate what inputs do you use to construct your belief indicator? Do you trade based on this (even better, in an automated fashion)?
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