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The short squeeze starts at exactly 10:30 EST, as scheduled. :)

Yes, the original intent was just autotrading. The backtesting and optimization components were meant to be outside. However, I realized it makes a lot of sense to put all three pieces together, since they all run against the same strategy code and the corresponding core classes. With the grand...

Way to go, Tyro. Congratulations on your own bot! I'll be the first one to admit that TrueTrade is more flexible than JSystemTrader (especially in the order management aspect), albeit at the cost of higher complexity. I think you'll get more responses and participation at the IB's board, though...

The arbitrage traders and programs bring the prices in line. If the S&P cash is up, but the corresponding future is down, and the difference is large enough, these programs simply short S&P cash and buy futures, thereby making a risk-free trade. This happens so quickly and efficiently that you'd...

What doesn't add up is that you don't seem to think like a programmer with a statistical background, as TraderMojo pointed out. For one thing, you don't need any money at all to run your autotrading software: start with a simulated account. If you do decide to run in live mode, then again, you...

The gap will close. I held long overnight, but now I am short from ES 1515.75.

Version 5.08 is available. Among the various improvements, I've added an option to remove the weekend/holiday/overnight gaps:

What's the upside potential within the same period?

Profit factor (your last column) is the most meaningful compared to the other metrics that you have there. I'd note that 6 months of backtesting and optimizing is likely to give you spurious results, especially if the number of trades is small.

... Or join the crowd and launch your own bot.

If you are worried about paying for your rent and food, it's too early for you to think about the "before lunch" trading, or any type of trading at all.

Covered at 1500.75 and 13244, respectively. I am long these two overnight, and hedging by a short USD position.

Have I ever been wrong?

Well, it looks like there is no one left to squeeze today, so I am short from here (ES 1503.75 and YM 13274). Will probably cover at the end of the day.

At the Dow trading +30, the forecast is off by 830 points so far. :)

I thought it was the other way around: 1. Trend following systems: a lot of small losses, few big wins. 2. Counter-trend systems: a lot of small wins, few big losses.

On track so far. The dropping TNX will seal the deal.

Here is my blotter for today, if anyone is curious.

Indeed. However, the rules never change: buy into dysthymia, sell into euphoria, go flat on euthymia.

Despite of the appearance, the stocks are still undervalued based on the historical forward earnings yield, as well as the differential between that yield and the 10-year bond yield. The parity between the two will occur at S&P of around 1650 or the bond yield of about 200 basis points higher.