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Spline looks interesting from the chart but I have to ask how you decided to compare against an MA(10). Its quite possible that various look-back periods will result in different PDFs. By optimizing one can find an MA that matches a Normal Dist. and a Spline that deviates from it. Perhaps though...

My .02 The challenge isn't in finding a better method to fit prices, its finding a security or transformation of securities that fit a MR process.

I have been monitoring this thread lightly, I was curious if anyone has begun trading pairs on an intraday basis. My testing has shown that this is not profitable but I freely admit that the testing was not done rigorously enough to draw any conclusions. Look forward to hearing some responses.

Mea Culpa, low-pass is correct. Whats your blog btw?

I'll take a guess that MAESTRO is referring to exponential and weighted moving averages. MA's are used to eliminate 'noise' in a time series and these act as low-pass filters in EE parlance. EDIT: Upon further thought I should include tests for Cointegration.

RT, Luckily WealthLab offers a function for futures to ensure a trade through. As for TS, there is an ADE indicator that a user developed to 'peek' ahead one bar. Its a little clunky and I'm not 100% confident in the results but its better then nothing. As such, have you developed High...

Yes, 2.40/car was included. My guess I could assume the actual P&L is somewhere in between these two curves. However now I have no resolution on drawdowns and runs. I guess I can include some random number generator and perform some monte carlo analysis but perhaps RunningBear had it best...

RunningBear, I expect your right, it just seemed to me that futures traders would have a general rule of thumb or technique to account for these trades? Here is example of the differences, 1) Top/Bottom Tick Removed 2) All Trades

1) In my case I am starting with ES and 1 car for bare testing purposes. I thought about scaling strategies to perhaps test on an 'avg' fill price but as I said I am not familiar with future specific strategies so would like to hear suggestions.

Another Question: Interactive Brokers simulator replicates your order and place in line in the order book so it makes an effort to simulate accurate executions, does TradeStations Simulator do this as well??

Taking off a % of profit is still not a clear test, the resolution for drawdowns, etc. would not be available.

Many of the strats are high-frequency which exhibit small avg winner, large losses, and high probability. I also utilize limit orders so slippage of a tick would likely kill all the strats (not to say thats wrong). Similarly with completely removing bottom/top ticks because a significant...

Question to practitioners of high-frequency trading strategies on futures; how do you model fill probability in your backtest? For example, in equities i can simply assume fills only when price trades through my limit order. In futures, especially indices, a lot of the volume is done on the...

Please PM me if you have experience programming in C++ and easylanguage.

Apologies if I missed it but do your equity curves include commission/slippage adjustments? This could have the effect of transforming flat periods into negative periods.

If there is room available please send me the details. It would be interesting to meet some NYC ET members....

I believe there was a study done on CTAs that attributed a large portion of their returns coming from the T-Bill yield. Not all CTAs obviously but your basic systematic trend-following CTA's....

Is there a resource for code examples? The following site offers a few tutorials but is incomplete: http://www.stockbotprogramming.com/sharpc.php If someone can post a simple automated example for C# to IB's API, maybe even just an MA cross which includes all relevant parts of an ATS...

Wayne, Sounds very interesting, looking forward to trying your product.

Well the answer was easier then I had anticipated although the code needs work!: In my code I create an array called {pos} that captures buy, sell, short ( 1, 0, -1) I created a matrix and used changes in position to record relevant prices. Then fiddling with the plot tools, matlab will...