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To All: read this thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=187380 On the second page Acrary gives simulated statistics. What would happen if do single trade per day with PF = 1.5 and risks 1.75% of entire portfolio. At the 50% level (also the most likely result)...

Regarding the screenshot: 1) For one day it is possible to reach 1200 USD, but the other day I would have a larger loss. 2) If you aim $500 per day with the account $50k you must be ready to experience several HUGE drawdowns and may be complete blow up of your entire capital. 3) I believe for...

Ok the answer is YES but you as well as 95% here will NOT reach it. I trade 6 contracts intraday and my target is around $1000/day with lower then 50k account. But the reality is cruel. The realtime statistics of my system does not match historical and expected performance. For my...

Pig, I repeat my question how much money did you make today? Today was a good day for myself, my strategy made 46 rounds and $1260. Do you have something to share except of your stupidity? <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2771045 >

There are many performance indicators which are well-known. First of all this is the Sharpe ratio. Then there is a "recovery factor" or yearly PnL divided by Largest yearly DD. Then there is a Profit Factor and so on. Net profit is just one side, when you talk about net profit there is no...

I did not wrote that r/r 5:1 is unachievable. I wrote it is hardly achievable and most traders here will not receive it. But you still don't get the point, that this ratio remains the same regardless of leverage. If you take small leverage your risks are low but also your return is LOW. I...

Ok could you please post a screenshot of your daily PnL and amount of ES traded? Or may be you will be so kind to share these "very simple strategies" which allow you to make $150 per day per ES contract? I am away, there is a long queue buying popcorn and waiting for show.

Discretionary traders live for the money from market. It is hard to calculate the % return because of they have multiple withdraws. They do not see the forest behind the trees. But system traders test their system based on history. They understand the statistics, the historical DD and expected...

Piggy, there are two different tasks: 1) Earn 10% per year 2) Earn 10% per year with maximum 2% DD. Under the restriction of 2%DD! Again it is REGARDLESS of your leverage. The ratio remains the same, 10%/2% = 5. Or 250 000 / 50 000 = 5, period. If you leverage less you experience less DD...

Piggy, 10% per year is not a high target. But you forgot you have a restriction of money at risk, which is only 50 000, or 2% of your buying power. So consider the task "do 10% per year with less then 2% DD". Is it possible? For most traders here this is very unlikely. This ratio remains the...

Hi Heech, Today I did rollover to the June Russell2000 contract. I found that I do not need SecurityID at all! I just supply new MaturityMonthYear and I receive prices. But I was not able to receive prices via Ninja. I compared outgoing FIX messages and found the only difference is I sent...

The interface is FIX. TT has specific adapter for ICE, but then you connect to TT via standard FIX. And previous version of Ninja supported December Russell2000 contract. So it should be possible, speak with Ninja' tech support.

IB supports FIX but AFAIK it costs $500 one-time setup and $100 / monthly fee. No 300-500 definitely. I do not know about other brokers. If you use FIX why do you need Ninja? You can use FIX protocol to develop your black box or I am quite sure you can find trading terminal which supports...

Hi, I trade through Velocity, it uses TT. I use FIX protocol and I only pay commission for contracts volume, there is no fee for using FIX gateway access. I trade Russell2000 futures which is traded on ICE, so there is no difficulty with ICE products. Ninja also operates through FIX...

I am training on 5min time bars with know-how preprocessing. First of all you should map all your data into the range say [-1 .. +1] and better if you map it with linear probability. For example if you map price = 1000 to be +1 and price 500 to be 0.5 it will not work. RSI is the better...

There are a number of publications regarding NN here: http://yann.lecun.com/exdb/publis/index.html specifically look at http://yann.lecun.com/exdb/publis/index.html#lecun-98b Unfortunately I still do not have a strict algorithm to train NN on my market data. I may train NN several...

Hi Pavlov, Why don't you ask the same question in the "Prop Firms" section of ET board? Except of commissions you should look into the payout ratio. I beleive you can get a discont if you trade volume. Unfortunately I personally do not trade stocks, but I want to in the future. Here are...

I don't know such a brokerage, if you find please inform me. Velocity told me they do not aggregate trades, while I compared data and they were aggregated. Also it may depends upon trading instrument, the Russell2000 may come not-aggregated, while ES is aggregated by say 50ms (?). I looked...

Ninja via TT works through the same FIX protocol, you may find Ninja log files with login/subscription requests. So it depends upon the server' configuration, does it aggregate data or not.

What do you mean "TT Guardian feed", the data feed for X-Trader? IMO X-Trader uses the same FIX protocol to receive market data. I did data comparison with Zen-Fire and I found that my incoming data for ES futures are aggregated. (Is it the syn for coalesced?). I can not find my message on...