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thanks for the comments and references, i'll take a look at them.

i look at it this way: you trade your capital because trading it is the optimal risk/reward with respect to other opportunities for employing your capital - if you miss a trade, the opportunity cost is as much of a loss as an actual loss on a losing trade, i.e. the opportunity cost is as real...

did you use randomly generated price data or did you use actual historical market data? if you did the latter, i believe this is similar to what Van Tharp did on commodities markets (pls correct if i am wrong). it has been well recognized and documented that some commodities markets exhibit...

on the point of position sizing - are you thinking in terms of the Kelly ratio type methodology, i.e. scale up when the odds are greater and vice versa? - here's something i have not clarified for myself with respect to this issue: if you have an idea of the distribution of your odds, then why...

over time, i have given some thought to the random entry / profitable exit argument and i don't buy it - for exit to have an edge, there must be a process somewhere between entry and exit that produces that edge - in which case, there must be an entry more optimal than random entry - if a more...

here is a thread discussing this product: http://www.quotein.com/ http://www.elitetrader.com/vb/showthread.php?s=&threadid=60297 their website says: "up to a thousand of fast streaming quotes (with 10 fields each) are well within the limits of an average machine Snapshot" - does anyone have...

http://www.reflow.com/reflow_survey.htm at the bottom of this survey, there is a table summarizing execution costs reported by academic studies - there are a couple from 1996-1997, there is a market cap breakdown which may be helpful to you. i'd agree with maxpi, there is probably a way to...

here's a thread from IB's discussion forums - it's got some good feedback on this issue, including from IB's tech staff. http://www.interactivebrokers.com/discus/messages/2/36891.html?1155187632

i am not sure if volatility is the issue - i guess trend is more important, which is what A-Beltway said (if i interpreted correctly) - i read more than opinion stating that equity indices are among the least trendy markets, and it makes sense: s&p is comprised of sectors some of which are...

i output raw data to a .csv file, open it in excel and apply a backtesting template, it takes no longer than any other data input/output format - in my experience, excel is very fast for up to 15K-25K rows of data; enough for a few years of intraday or more than a few years of daily data on a...

using DDE, if i set the percent offset for a relative order to a value below 1%, i get the "invalid price increment" error... - for most stocks, if i want an offset of $0.01, it would be less than 1% of the current bid/ask - in TWS itself, one can choose a dollar or percent offset, but with DDE...

also, does yesterday mean "official" primary exchange close or does it include after-hours close?

can anyone help and confirm if the same applies to Nasdaq and AMEX? also, where would one find more details on this? thanks in advance.

use excel - for most basic strategies, it's faster than any charting software - search for threads on clean data, you'll have to pay for the highest quality data - best of luck.

it is correct that IB can miss some ticks - there is a detailed post by jfilla explaining how this works in here - http://www.elitetrader.com/vb/showthread.php?s=&threadid=53426 in addition, there is a clarification response by IBsoft. all the best.

hi Murray - thanks for your efforts on this and other threads, sharing some useful findings. i have recently gone through a backtesting exercise on SP futures, from 1982 - my results showed that breakouts earned roughly in line with the S&P but with half the drawdown - these are rough...

ok, just saw the lrc settings in your post above, thx.

well, since derivatives are a major part of today's markets and i'd guess that most derivative models pay special attention to 2+ std deviation moves due to leptokurtosis and "fat tails", it's not surprising that a 2 stdev trigger may carry special significance. what you are saying is that...

hi Steve - i appreciate your insights, so i don't mean to criticize, but i don't think the above is correct. 95% refers to observations before their occurrence, i.e. before they get to 2 stdev... - this means that 95% of observations will be below 2 stdev, it doesn't mean that they will get...

Ensign w/IB rocks! i evaluated TS, Esignal et. al. three years ago, settled on Ensign and never looked back; post your questions here or PM if you prefer. all the best.