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Why would you ever invest "a great quantity of money" in something you haven't checked and are confident in yourself?! Always do your own due diligence.

Is THIS what you are looking for? A simple Google search for "Interactive Brokers contract" brought it up.

Good plan. I assume that as you move forward, older live results will become part of the "backtesting" you compare newer live results to?

I agree that you cannot develop a perfect system (holy grail), but I think this situation is different. My philosophy is that for automated trading, backtesting is paramount. Without backtesting, why are we trading the strategy? How do we know it is profitable? Even if it is temporarily...

Thanks for sharing! I assume it concerns you that you've already encountered a drawdown in your live 2010 results that exceeds your max drawdown over 18 years of out-of-sample testing by quite a margin (44% drawdown). That, for me, would set off alarm bells that the backtesting is not...

Totally agree. Impressive results last week, btw. The equity curve is nearly ideal. You have been running live for just over 4 months now, correct? How closely have you found that your live results are reflecting your backtesting results and how do you perform this comparison (statistically). Do...

I can definitely relate to that. Pure curiosity: what field do you work in? Thanks for that description - it gives me a better picture of the setup. Do you narrow down the list to a number that your API can simultaneously support? Is there even a limit of that? Which broker/API are you...

Rol, I'm a bit surprised that I'm the first one to be commenting on your journal, to be honest. First off, thank you for deciding to post. I have found the few posts thus far to be interesting and containing useful information and I'm hoping that continues. As someone also interested in...

Anyone happen to know what the latest version of the Genesis C++ API is?

C++ proficiency in 3 months?! LOL. Hopefully they cover the definition of "proficient" in the program you're enrolling in ;) I won't even touch the fact that you tried to compare javascript to C++...

Thanks for the tip, but I'm pretty sure that's not our issue - as I said, we use the ECN timestamp of each print/tick to identify at what time that trade was executed, so if it was pre/post market, it would not be included in our data.

Over the past couple of years, we (a small group) have developed an automated intraday trading program in C++ using the Genesis API, which has the ability to execute a given strategy in real-time (live) and test the strategy over historical data (backtesting). One problem we have had for...

Maybe I missed something, but for this "clearly stated" system, I see no mention of exits, which in my experience are often much more important than entries to the profitability of a system. Unless I missed it, if there are no mention of exits, it's tough to discuss the system as profitable...

If by predicting you mean to be able to perfectly predict where prices will go, I don't think we will ever reach that stage. It is too complex of a system, with too many random, changing variables that cannot be characterized using any tractable math we have available to us today. The...

Just a question out of curiosity on this topic, for the experts. My instinct tells me that if you have a time-series that you are doing testing on, if you randomize the samples in this series (I think the term "observations" was used earlier), assuming that the time-series is a...

Umm, you mean slower than C/C++ etc., but with many useful built-in functions that allow fast development of mathematically complex algorithms. Don't get me wrong, I love Matlab and use it all the time, but it's not popular for its speed (or lack thereof).

Why would we expect any less though, are we expecting magical things from computers? If a discretionary trader trades a single system/style without adjusting to changes in market condition, he/she will also fail.

Just think about it for a second. Why doesn't it fool real people? Because they have a set of rules in their head that distinguish a real quote from an erroneous one. These rules are not impossible to code.

Yeah, that's a great sample there... a contest that rewards highest return, no questions asked, with no regard for risk whatsoever. The systems that win this contest would *never* be traded with real money.

I guess I should have clearer in saying that, if implemented correctly, an automated system rules out any human error in the execution of the implemented algorithm/system, whereas a discretionary trader may not stick as steadfastly to his system rules, perhaps to advantage or disadvantage, but...