Just curious, for those of you who don't believe in back testing, how do you evaluate a strategy? How do you decide to go live trading using a...
hi ES, Well, believe me, I don't have any problems with creative types -- I work with them every day in my day job and I have no issues. I...
With regards to commission and slippage, I basically embarked on an academic exercise: you can categorize algorithms from worst to best as: A....
Thanks for the thoughtful reply. I agree with you mostly as well. Regarding the high number of trades per day, I have found that if you don't...
Here is my opinion on this matter. Markets are fractal in nature, and therefore are multiscale in nature. There are cycles in the minutes, hours,...
I basically decided after much research that there is no such thing as a holy grail. There are only opportunities that pop up and that can be...
hmmm okay. I won't try to get involved in this one.
Yes I am well aware of overfitting. In fact I have a Ph.D. in engineering and I am a professional industrial scientist with over 15 years of...
Okay excuse my ignorance, but I just looked up scala and it seems like a really nice language. I will probably take a look further and see if it...
I used to try to put it to him gently and mildly that it doesn't make any sense to not believe in an objective, statistical approach to finding a...
Thanks for the reply. Well, yes I guess I wasn't clear when I said he approached me to develop an ATS -- it's not that he had specific ideas on...
hi All, I have been working together with a friend of mine to build strategies, although over the last year, it's been mostly a one way street,...
hi Lev, Well it is still a work in progress. The Java code is functional for forward testing and live trading at this point, but I still have a...
JBookTrader looks very impressive. I will download and check it out at some point. But right now I think I have enough of what I need with my...
Thanks for your advice on trading the front contract. As for the code, yes, I have written a trading system from scratch using the Java API. I...
Okay, so I have been forward testing my algorithm buying and selling ES and SSO side by side, and so far it is working out. My profits and losses...
Yes I am well aware of the non-stationarity of PL expectation. But I just felt in this case, the difference between pre-August and post-August...
I have several automated strategies that I am back and forward testing. There is one in particular that relies on morning volatility / reversals....
hi lev, I am using the SPX to trigger trades. Up to now, I have been buying and selling SSO, and I have flirted with SPY options. What I would...
That's a good idea. I think I can actually implement this (trade both) very easily. Thanks for the tip!!
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