Recent content by jazzguysoca

Sorry if I gave that impression; I definitely believe that simple strategies can work (I've traded them and totally agree anything with a low parameters/samples ratio is preferable). But I doubt blatantly obvious ones will yield much of an edge, especially a statistically significant one...

I'm afraid I'd have to concur with HurricaneUS on this; Buying SPY/ES at the open and selling it at the close via MOO/MOC orders generates a negative expectation equal to the commission cost. Adding equally spaced stop/target orders adds no edge. It just attenuates the swings; Over the long...

I wasn't exactly bitching - I'm very much an IB advocate. But I'm also in this business to make money; If you guys feel the need to pay your broker more than you have to, go for it.

+1 Its amazing how many graduates can talk the talk, but quickly fade when asked to roll up their sleeves and actually code something.

Thanks for the head's up. So $30/mo per 100 additional quotes, with an upper limit of 1000 additional quotes total. Note that this is certainly helpful and cost effective, but once you reach ~500 quotes total, services like IQFeed become more competitive. Perhaps IB could offer a 1000 quote...

I started out the year strong but was spanked by the August Black Swan. Ended the year with a modest gain of +11% (vs +44% for 2010). Equity curve and stats at: http://www.algodude.com/system-lab-december-2011-performance/

Thanks for the kind words, ohms - appreciate it! For those interested in more techniques along these lines, try googling "White's Reality Check" (there's a WRC paper on the reddit group I mentioned as well).

My pleasure, feng - hope its helpful. Happy Holidays to everyone!

There are many variations of MC techniques, but the basic idea is to generate synthetic equity curves by resampling the equity curve generated from running your system on historical data. Here's one simple way you might do this: 1) Run your system on historical data and compute your...

There's a couple of papers on MC techniques posted on the reddit Algorithmic Trading group I moderate that you might find helpful: http://www.reddit.com/r/algorithmictrading/

Its a Nas100 component so I doubt it has such a small market cap. Just checked: $5B It trades above $30 and it does 3M shares/day. And its price behavior hasn't been unusual lately. No earnings announcement either. Very odd... Ahh, it did get a downgrade from Piper this morning...

Just received a reply from IB: Apparently one of the stocks I purchased currently has a 100% initial margin requirement as of today. That's the first time in two years I've seen a Nas100 component get hit with a 100% margin requirement. I wonder if this specific restriction was imposed by...

Yeah, I'm actually aware of PM, but have never needed it in the two years I've been trading with IB, as I always size things under 3:1 and my intraday equity swings are rarely more than $5K or so. But certainly, the extra headroom 6.7:1 would provide might come in handy some day...

Is anyone else having trouble with orders being rejected due to insufficient margin today? I started the day with slightly over $100K in cash, which should have given me an intraday buying power of over $400K. My bot entered 4 positions totaling $245K which would have left me with about...