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re: "to calibrate my trading system which I only do annually I take the average of those vol estimates over a 12 month period. It would make no sense to use the most recent vol for that." I understand, but I dispute this given that average time-in-trade.

re: "average of those estimates over a year for the purposes of cost calculation, wheras they clearly have only the most recent measure" Exactly, and it doesn't make sense as an input to a trading system unless your average time-in-trade is several months....or years. It's like a HFT algo using...

re: "bid/ask spread in price terms to the volatility in price terms" That can only be done effectively with intraday snapshots. What is your measurement frequency ? Hourly ? 15 minutes ? re: "if corn had 3 times the % volatility it would still only have the same price volatility as corn" I...

Indeed...this Bloomberg report indicates soybeans 3x as volatile as corn: Interestingly this was all about the commodity index at 13 YEAR lows !!!

re: "but financial laws change every few years! I believe we should not use any data prior to 2009 for most analysis" This was a ridiculous statement. Just because the markets change, does not preclude one to skip backtesting in prior periods. Why ? Because the market could revert back to price...

http://www.elitetrader.com/et/index.php?threads/nothing-but-china.291921/page-3 Note the date of the "call".

Finally read the blog...very interesting....and no, I am definitely a proponent of using a system to trade. However, your system seems really complex to me. Most complex systems can't be programmed and therefore cannot be backtested. From your blog: re: "The volatility on corn is about half...

I'd love to hear his explaination for why his "system" went short on one grain and long on the other given the fact they had almost the exact same charts.

You going to be staying in Philly or NYC ?

Cool stuff Surf. Is Steven Schonfeld or Michael Botlo going to attend I wonder ? You flying up ?

Just be prepared for that day when there will be a massive short-covering rally. We are so under the cost of production, soon there will be no production.

You sure you want to go HFT instead of Algorithmic trading ? HFT has really become so competitive.....the profits are now very low compared to 3 years ago. Trading edges in this arena have been blunted from all of the competition. On top of that, now that one of the world's finest HFT traders...

Two things could happen: 1) You'll be dead before you finish it without any bugs.....or 2) you'll start using it too soon and the bugs will wipe out your trading profits. BTW: One of the first robust trading/backtesting platforms (Tradestation 2000i) was over a million lines of C++ code. They...

Should I put that on my resume too ? ;)

You trading remote or on-site in their Manhattan office ? If on-site, is there a speed/latency advantage ? (i.e. where are their servers located ?)

re: "I'm often getting picked-off." Surf - he may or may not benefit from lower latency as the higher latency may also be keeping him out of some losing trades. This is very hard to quantify. He won't know until he makes the move.

Better make a cost/benefit assessment first. It might cost you more to colocate than the profit loss from high latency.

Ugh....I looked at it a few years ago, and I saw many problems with it. More importantly, it appeared very aged and without good support. Have things improved in that regard ?

What a mess the authorities turned this case into....no wonder the $ 7 million in defense costs. My question: Was he worth $1.2 million in annual salary ? Wow !!!!

The Shanghai Composite SHCOMP, -1.29% is down more than 3%, wiping out a rebound on Monday, with nearly 900 companies losing and fewer than 50 gaining. The Shenzhen Composite 399106, -5.34% fell 3.4%, while the ChiNext board 399006, -5.69% composed of smaller cap stocks, and sank 4.2%...