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Yes it requires stationarity. This is one of the main differences between playing gambling games where the rules of the game tend to provide fixed statistical properties and trading in markets where the statistics change. Testing for stationarity is a very important step in evaluating...

People that are back-testing systems use MC to get a more representative idea of profit and max drawdown. This is a simple process of just drawing trades from the trade sample set generated in the back test. It is not the same idea as MC applied to option pricing.

you could try some of these http://www.tradingmachines.net/dir_brokers.html

I think this was only posted as an example of what an edge looks like or has looked like. If a system shows performance that is consistantly and significantly better than random then the fact it does not exhibit the same performance on another related market shouldn't matter. The...

I was very impressed how he managed to use so many words to say nothing in that book. How about "Trading Systems" Secrets of the Masters. Joe Krutsinger A bunch of half baked trading systems cobbled together from the results of a short questionaire sent to celeb traders. At least it has...

www.tickplusdata.com This source has the full tape including trade and quote data. www.olsendata.com Also has quote data but is more expensive

Great post and good advice. it's all about the edge but unfortunately the edge can never quite be relied upon in markets. Once all the analysis done, it still pays to be lucky. Point 3 is resolved by measuring everything against a fixed capital.

Air conditioned offices and frequent air travel are a new feature since the last pandemic. If the bug does mutate into something transmissible and deadly then it will spread very easily and cause widespread fatalities. The worlds financial districts are likely to be particularly hard hit...

In a nutshell, yes. It is simply a contractual arrangement between the broker and the trader that avoids stamp duty whilst otherwise being identical to actually trading the stocks.

This is still not competative due to the stamp duty problem. The direct access CFD providers e.g GNI, etrade e.t.c are cheaper for trading UK stocks. If you were to offer direct access UK stock CFDs at these rates then you would be the most competative in the market place. Since the...

Thanks for responding. I agree with everything you have said. To add to your point about trend followers being correlated if the underlying asset is correlated. This is true, however I have found the equity curves resulting from a short term trend following system to be much less correlated...

Hello Acrary, Have read through this thread and am interested in the way you are combining systems. I have a question about the validity of using correlation relationships between trading systems when trying to combine systems in a portfolio. In standard portfolio theory where assets...

There is a list of software here that might help. http://www.tradingmachines.net/dir_automation.html Quanstudio has a built in FIX engine so might do what you want.

I think you have to have the terminal. You might also look at their reliability record to see if it meets your requirements.

If you just want a terminal then there is quite a bit of choice. If you do really want a feed covering the markets you described then the choice is pretty limited. I think there is only Comstock and Reuters and neither are low cost.

FCE and FTI both roll monthly. Not sure if there is any good reason for it other than the French just being French.

There is a directory of analysis and automation software at http://www.tradingmachines.net/Directory.html

The change is now delayed to August.

Took a small hit in yesterday's FTSE market but only enought to leave me in a bad mood. Annoyingly, I would have been fine if the markets had gone down and stayed down, it was the rally that caused the problems. Seems that many of the UK indices are making new multi-year highs today so...

It is only easy to convert signals to systems if it is something simple and standard. If it is something out of the ordinary or is complicated then it is an almost impossible task. Unless you have a large sample of the trades a system has made over a wide range of different conditions it is...