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Live by the sword, die by the sword. The AUD/NZD strategy took a bit hit this week losing 114 ticks. I was on the wrong end of a bad fill this week. IdealPro (currency exchange venue IB uses) is supposed to be closed from 14:00 to 14:15 each day. I was filled on a order at 14:01 when the...

Well this doesn’t give me warm fuzzies, but I thought that I would share. IB does its nightly reset at 9pm PDT at which time the Trader Workstation (TWS) and IB Gateway will briefly lose their connections to the server. After a few seconds the apps reconnect and everything goes fine...

Frost, would you mind also putting your total cumulative Pips gained/lost since starting this strategy along with the other stats?

Weekly update from last week (starting 7/15/12). The AUD/NZD strategy has had the following results, trading live (All results include commissions): Trades: 14 % Winning Trades: 64.3% Avg. Trade (ticks): +1.04 Total (ticks): +14.6 Statistics since the system began running in the live...

Hi All, I've decided to journal about a couple of automated strategies that I've been working on and their performance. One strategy uses support/resistance to generate signals, with the AUD/NZD currency pair that is being traded in production. I'm also trading USD/SGD, HKD/JPY and EUR/DKK...

Just curious why a new account MB Trading for the strategy?

Hi Frost, What are some of the technologies/languages that you are using for automating your strategies and backtesting? Also I'm curious to know who the brokerage your using. I've been using the Java API at Interactive Brokers for a while now, but am interested in hearing what others on...

I especially like the line in the PR notice that reads... "Consequently, the Board judged that the costs of collecting the underlying data and publishing M3 outweigh the benefits." An organzization that can print money is worried about costs?

Thanks for the info Taric..... I'm going through the same process right not trying to figure out what the initial costs would be to get a small fund going. I've done some reading about the 'incubator' fund that Green Trader Tax offers, and I agree that the auditing could probably be put off...

I'm not sure, but I heard that upgrading to Java 1.6 helped a lot.

HSI in Hong Kong is pretty fun as well.

Agreed.... IB did not prevent the trade from being closed out for a $200 loss rather than a $700 loss.

Frost, how many contracts are you trading, and what sort of drawdown can you expect in percentage terms relative to the current amount of equity in your account? -rob

Frost, as far as determining #1 vs #2, what I would probably start with is taking the #trades for each system, the average return and the standard deviation of the returns for each and run a t-test to see if the there is a statistically significant difference between the average return of...

Is your code in source control? Can you roll back to yesterday's backtesting engine and try it again?

Hi SSB, Did you end up going with the "Incubator" hedge fund, or something else with Green Co.? If not, are you charging your clients a admin/performance fee, and how are you calculating NAV? I've been looking into the F&F account structure at IB, but I just think it would be much...

TradeKeeper is actually $50 per year not $3,000. Check out the website.

I've been using tradekeeper the past few years to generate my schedule D from my IB statements (http://americanware.homeip.net/tk/) Has worked pretty well and is resonably priced.

Check out tickdata.com. Also, if you are using Wealth-lab developer, Qcharts integrates nicely and they have about 2 years of historical data on 1 min bars.

I would say if you have enough capital to trade 5,000 share position sizes across 10 positions, then buy a few more years of historical data. Even if the system only generates half the net profit as the backtests (and the backtests are almost always overly-optimistic), it should pay for...