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How a question is framed implies something about how it will be interpreted. It is different to ask someone to argue a specific way than to simly make an argument. Potential candidates may be unwilling to apply if they do not feel they will be evaluated fairly, especially given that you...

Yes, we do. :D

BOXBOXBOXBOXBOXBOXBOXBOXBOX BOX......................................BOX BOX......................................BOX BOX......................................BOX BOX......................................BOX BOX......................................BOX BOX........Confirmation...

The results are extremely suspect under even a cursory examination. Their traders do not have realistic uncertainty, objectives, or incentives. They ignore the fact that the existence of liquidity/informed traders is partially dependent upon the existence of noise traders. I can't...

mksummny, How do you decide where to place your orders so long before the market open? How long into the day do they usually last before they get worn away? Do other traders usually jump in front, or do you make a really small spread, or are there not many active with this strategy?

Hello, The above is the error. Total purchasing power goes up over time because of real economic growth (as others have stated). Hence, the $1 billion increases despite no inflation. cakulev answered well. I doubt survivorship bias was not taken into consideration when studies...

I didn't know you were Robert Greene and Joost Elffers. At any rate, don't you think there are better ways to the top?

The more complex your system, the more (independent) trades should be in your optimization period. In general, however, I limit my optimization length because I want to see a longer testing period, not because there is a benefit to it. Without knowing anything about your system besides 30...

It's always good to check if slippage / fill assumptions are reasonable, but using the worst price of the day seems very extreme to me. If the purpose is to just hurt the results by some amount per trade, then there are better solutions. The reason you may want to move to a conservative...

You may wish to consider: 1) Reducing slippage to 1c - you can get VWAP for 1c as an institution (although this does have some slippage in it as well) - as an individual with 100-300 shares, you should be able to enter positions with less than 1c slippage if you do smart order-entry, or use...

Hello, There are a few issues that you should consider adressing before implementing this system. 1. It sounds like the system does not act with the same rules long as short. A lack of symmetry in the rules allows you greater ability to curve-fit results. Hence, the short results...

Ahh Should have thought of that. Thanks very much! Morgan

Looking at Esignal tick data for AFFX, I see many instances where the bid = the ask, but there is no subsequent trade... any ideas why? Thanks, Morgan Date Time Price Size Bid BidSize Ask AskSize 5/6/2005 6:43:41 48.01 1 48.03 1 5/6/2005 6:43:41...

Mill sounds good Sushi is OK

I believe it is 25 days for the quiet period

Yep.

abogdan, We estimate that the system can manage 25++ million without significantly affecting performance (we performed liquidity checks). As such, we do not feel that trading the system with our own capital would be a good use of its capabilities. As for sharing it with someone we...

Hello, I and my partner have created a trading system, and would like to create a track record. We have done rigorous testing. Walk-forward backtest, holdout sample (1 year), holdout sample (Nasdaq stocks) etc etc.. The problems: -I am a student (working also) -He is temporarily...

Hello, Differences in the profitability of strategies have been documented in several academic journals. Many especially note that several strategies are profitable on the NASDAQ but not on the NYSE. The most popular explanation is probably coverage/liquidity - the higher the coverage or...

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