Do you care to explain the need for log? It's typically done to make the returns more normal for parametric statistical tests but for my purposes,...
Thanks for the response. Where you said, "As per your max drawdown… it should be the same money wise and percent wise," are you sure about this? I...
I have a day trading strategy. In the attached photo, you can see its performance trading Nasdaq futures. The top panel is the strategy's...
Thank you for the recommendation. Yeah, Ameritrade has an API that my system can connect to, too. I actually used to use Ameritrade (manually...
No doubt about the exceptional capital efficiency of futures. But to have a fair comparison of $ PnL, we need to factor out risk, which is mostly...
Yes, just the close price is used in moving averages. Nothing else. Even the component of the system that tries to keep me out of whiplash days is...
Thank you. I will inquire about capital but you must be right about the settlement time. Moroever, because if I'd be trading ETFs in a Roth...
Thank you. I read this one but it does not have a lot of deep meat to it. It basically says that since ES price is 10 times the SPY price, a...
Thanks for the thought but that won't apply since I'm just day-trading during regular hours.
Edit: ETF trading will be cost-free but futures have a $4 round trade cost, which in an account size of 100K, that will be only ~ $2000 per year....
I have an automated trend-following system that day-trades futures profitably on a 5-minute time frame with 2 round trades per day on average....
Thank you very much for the helpful answer. Can you just elaborate on where you said I'll probably run into issues with IB's intraday margins?...
Yes, I do. This is a profitable strategy I used to implement manually.
I'm starting algo-day-trading CME futures in a 20K account. Trading on a 5-min time frame with about 3-5 round trades/day per 20K in capital....
Read Mod-Matt's comment...
Rithmic API uses Google's Protocol Buffers to transmit data (instead of JSON, XML, etc.). Protoc is a compiler uses to translate between Python...
This is an excerpt from the very reputable book "Trading and Exchanges." Is this statement still relatively accurate (book published in early...
Not really. Few stocks have the type of swings that crude oil has, e.g. Yes, trading is a numbers game and you want to diversify. But who is...
Which segregation variable matters the most? "Customers' Assets in Seg?" I see a bunch of them
Alright, cool. Did you go the Protoc route?
Separate names with a comma.