Recent content by RedRat

I can recommend book http://www.amazon.com/Encyclopedia-Trading-Strategies-Jeffrey-Ph-D/dp/0070580995 long time ago that was a good start for myself RR

I do not run external DLL or EXEcutable files. Let us discuss the idea, not implementation, for implementation I use FANN library. IMHO RSI indicator does not work at all, why do you use it as the input parameter for NN? Have you tried EMA?

Ok thanks, There is a misunderstanding at my side because of I thought patterns are something you can formalize. You cannot formalize NN, it is a black box, you don't know how it mixes the input parameters. I worked with NN a lot, I used different inputs, no RSI or other indicators, I dislike...

Hi Frosty, I don't understand what do you mean by pattern? Here I do not see conditions on going long or short. Or do you use later on some combination of those parameters and constant values? Like RSI7 > RSI3 or RSI7 < 10 AND RSI 3 < 15 or do you feed all those RSI3, RSI7, ..., ATR5 ...

Ninja definitely supports FIX protocol. The problem is each provider has its own FIX tags, and probably Ninja does not support Currenex specifics, I am not so sure here. Metatrader is well known platform for which there are plenty of various advisors and indicators. For simple strategy it...

Hi, you have multiple options: 1) you can code for Ninjatrader it connects to Currenex via FIX protocol, I think that no third-party API are needed. Ninja costs you additionally $50/month and you need to configure and monitor it 2) you can code directly for FIX protocol, there are...

Could you explain the reason, why sending orders via SMART results in lower commission in comparison to sending orders to the specific ECN? If I send the order to SMART and finally it goes to ECN, will I get rebates?

TickData - not cheap, but probably the best http://www.tickdata.com/products/equities/london-equities/

I use netrack VPS http://netrackservers.com/virtual/vps-servers.html simpliest configuration for $25/month was enough for FIX processing with TT. I think that X-Trader requires much more resources.

Yes there is no need in complexity for non-automated trader. There are ready-to-use third party GUI which allows you to trade and automate systems for TT. For example Ninja works over FIX protocol with TT. Also I used to work with OpenQuant.

Look into open-source library, quickfix http://www.quickfixengine.org/ still it takes time even for a programmer to get familiar and run code...

Then when do you become flat? If you consider data since 06/2009 as Out Of Sample, there was strong up-trend. You have only long signals, is it fitted? Waiting for information about short systems...

I don't understand, how do you finally trade? If system 1 has long signal, will you go long 1 contract? If system 2 has long signal will you add and have 2 longs? If you run 50 different NNs running together, does it mean that one day you may be long/short 50 contracts? (I run my systems in that...

I disagree with you. Signal from two systems will be rare, that's why the net profit will be _definitely_ lower. The question is about risks, how would it influence on NetProfit/DD? I do not have an answer, it needs to be simulated, may be using monte-carlo, don't have time. I run several...

If you have several indicators, you may construct several systems (note, each system should be profitable alone). Each system is totally independent, if it has long signal you go long 1 contract. If the other system has short signal, you short 1 contract and you have zero total position. But...