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Two things I forgot to add: I have done a statistical simulation of limit order fills. In terms of stopping and filling, the fill distribution is largely bimodal. I.e. the order is filled or it is not. From the fill samples I have observed in my live trading, I have found that about 40% of...

It's completely unattended, and I don't do anything except reoptimize every weekend for each instrument I trade. The system's objective generally is stop-and-reverse. However, I employ profit targets for each position. There are a total of 4, and the position size is broken up as equally as...

10 parameters???!!!! Of course it's not going to work! All you are doing is performing an exercise in surface optimization. With that number of parameters, there is also a chance you haven't even found the global optimum, but rather a local one. Come back to the basics. A sound strategy...

There's nothing "hedge" about it. It's marketed as a managed futures fund, and the founders use a trend-following indicator to follow trends in a diversity of futures markets. rt

1) how many parameters did your system use? 2) did you walk-forward optimize? or just optimize on a static window and examine the results? rt

Nice, downward trend the whole session. System only took one short position with 3 contracts. Monday, 04/20/2009 Security: ESM9 Session PNL: $1,673.10 USD To-Date PNL: $8,762.64 USD Account Balance: $94,139.78 USD

What I don't get is that people are crying over paltry amounts. $140k for the guy, several tens of K for the fat lady. It hurts to lose money, but it literally takes millions (likely more than $1MM) to be able to live comfortably for 2 or 3 decades in retirement without income. People's...

I have a policy of reducing size to one-half normal on options expiration days. Experience has told me these days can be choppy. Friday, 04/17/2009 Security: ESM9 Session PNL: $483.70 USD To-Date PNL: $7,089.54 USD Account Balance: $92,466.68 USD

Thursday, 04/16/2009 Security: ESM9 Session PNL: $610.60 USD To-Date PNL: $6,605.84 USD Account Balance: $91,982.98 USD

Wednesday, 04/15/2009 Security: ESM9 Session PNL: $1,206.44 USD To-Date PNL: $5,995.24 USD Account Balance: $91,372.38 USD

I have created a thread to demonstrate this very thing. I created a small account ($75,000 USD), and started trading with 1 contract to illustrate the progression of my ATS. You might want to take a look before you jump to conclusions that automated trading is not possible. rt

The account balance has exceeded $90,000.00 USD (just barely), so it is time to increase position size from 2 to 3 contracts. Tuesday, 04/14/2009 Security: ESM9 Session PNL: $849.10 USD To-Date PNL: $4788.80 USD Account Balance: $90,165.94 USD

the functions HighD, LowD, and CloseD are helpful for what you are trying to do. They reference daily HLC values from within an intraday chart (bartype < 2). For the simple case of price being the close of the daily bar, you can simply use CloseD to reference the past N daily closes...

Not much happening in the markets these days, let's see if we can get a little volatility soon. Monday, 04/13/2009 Security: ESM9 Session PNL: ($143.20) USD To-Date PNL: $3939.70 USD Account Balance: $89,316.84 USD

The in and out of sample lengths are based on weeks. So I will pick a certain number of weeks for in-sample optimization, and a certain number of weeks for out-of-sample evaluation. The tool I built will scan combinations of in and out of sample weeks to profile what values are generally the...

I have never had a need for a genetic optimizer. The premise behind genetic optimization is to find optimal parameter values when a brute force search is numerically intractable. This is only the case for an optimization over many variables. Genetic or brute force, I have come to the...

I use TS with NT, using macros to send orders and commands to IB TWS. As far as I can see, TS's live data feed is unfiltered so the price action is pure. I can live with the snapshot data feed that IB provides, but NT does not provide macros within ninjascript so I stick with TS as the data...

Another slow, grinding day during earnings season. Thursday, 04/09/2009 Security: ESM9 Session PNL: ($338.40) USD To-Date PNL: $4,082.90 USD Account Balance: $89,460.04

There are nuances to automated order execution. Tradestation markets their product as an all-in-one software tool. Backtest, optimize, and automate. Using only tradestation to develop and deploy your ATS is woefully inadequate IMO. TS is absolutely terrific for constructing a system...

Wednesday, 04/08/2009 Security: ESM9 Session PNL: $1,064.50 USD To-Date PNL: $4,421.30 USD Account Balance: $89,798.44