thanks for the comments and references, i'll take a look at them.
i look at it this way: you trade your capital because trading it is the optimal risk/reward with respect to other opportunities for employing your...
did you use randomly generated price data or did you use actual historical market data? if you did the latter, i believe this is similar to what...
on the point of position sizing - are you thinking in terms of the Kelly ratio type methodology, i.e. scale up when the odds are greater and vice...
over time, i have given some thought to the random entry / profitable exit argument and i don't buy it - for exit to have an edge, there must be a...
here is a thread discussing this product: http://www.quotein.com/ http://www.elitetrader.com/vb/showthread.php?s=&threadid=60297 their website...
http://www.reflow.com/reflow_survey.htm at the bottom of this survey, there is a table summarizing execution costs reported by academic studies...
here's a thread from IB's discussion forums - it's got some good feedback on this issue, including from IB's tech staff....
i am not sure if volatility is the issue - i guess trend is more important, which is what A-Beltway said (if i interpreted correctly) - i read...
i output raw data to a .csv file, open it in excel and apply a backtesting template, it takes no longer than any other data input/output format -...
using DDE, if i set the percent offset for a relative order to a value below 1%, i get the "invalid price increment" error... - for most stocks,...
also, does yesterday mean "official" primary exchange close or does it include after-hours close?
can anyone help and confirm if the same applies to Nasdaq and AMEX? also, where would one find more details on this? thanks in advance.
use excel - for most basic strategies, it's faster than any charting software - search for threads on clean data, you'll have to pay for the...
it is correct that IB can miss some ticks - there is a detailed post by jfilla explaining how this works in here -...
hi Murray - thanks for your efforts on this and other threads, sharing some useful findings. i have recently gone through a backtesting...
ok, just saw the lrc settings in your post above, thx.
well, since derivatives are a major part of today's markets and i'd guess that most derivative models pay special attention to 2+ std deviation...
hi Steve - i appreciate your insights, so i don't mean to criticize, but i don't think the above is correct. 95% refers to observations before...
Ensign w/IB rocks! i evaluated TS, Esignal et. al. three years ago, settled on Ensign and never looked back; post your questions here or PM if you...
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