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i'm interested in this topic as well. i completely understand, 'systems' represents a very broad set of criteria to generalize as it includes tactics, timeframes, markets, etc. i understand there is no fix-all answer. given that, could anyone who's traded and retired systems provide a...

agreed. agnosticism is a valuable concept. i think so many traders want some things more than they want actual financial security, like feelings of omniscience, gratification, excitement. in the beginning before i had a solid framework, my ideal was to think like the trader i wanted to be and...

i was just watching "very bad things" on comedy central this afternoon, and i think christian slater put it very eloquently just after they had killed the whore and everyone was totally freaked out about how to handle the situation and dump the body. he basically said that after you forget all...

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hypo, i must have missed a beat :) to be honest i didn't even look at posters names, i just skimmed the thread and noticed nobody had mentioned transaction costs, so i thought i'd drop it in in case the original poster hadn't encountered this yet (even though it's a pretty obvious answer)...

in my experience, the reason you can't just fade any negative equity curve is because of transation costs. if you want to see an equity curve upside down, flip the signals and remove the commission. once you add in the commission (especially in high frequency systems), you will see, it is not...

who's offering $1/round trip on globex ... what does it factor out to when you include the seat fees etc? what's the best r/t off the exchange?

even if the user unwittingly installs malicious content on their pc, if the firewall is set to only enable outgoing data on a case by case permission only basis, i would expect this to block 99% of all keystroke logs, do you agree? dont give outgoing permission to anything the slightest bit...

it sounds like you've got a mechanical system that you're trading against, and i can definitely relate to your situation if i read you correctly. i think you're on the right track when you (or another poster) mentioned logging trades. i've benefitted greatly from keeping a P&L, and plotting...

this may be a naive question, but what advantage does this give you over staying flat until the moment you would normally drop the losers and double up on winners, and entering at that time?

Def, Thanks very much for your explanation. I'm really happy with IB's service, and your presence here is highly appreciated. no complaints. Top notch operation. v

excellent, thanks bob. btw - i am still working on ways to get variance figures in bulk from TS. appreciate this suggestion very much.

can you elaborate ... are you saying that arbitrary parameters are preferable? hard core system people, how do you measure efficiency? since my initial post, i am coming to think MAR/#trades is decent. are there any mechanically focused boards anyone can perhaps point me to..

my concerns are more along the lines of the reverse engineering thread that came up a few weeks ago. does IB research customer equity curves, and take system ideas from the best ones. i sincerely doubt it, but yes i can fess up to a little paranoia. :( i trade commodities so my knowledge...

excellent question, i wonder the same all the time. it seems like there are probably laws which prohibit the use of this non-public information.... perhaps a chinese wall ala IBs where the buy and sell side businesses are vaccuum sealed. still, if brokers are legally allowed to use customer...

yes, curve fits are bad. i hesitate to trade more than two degrees of freedom, three max. what i'm working toward finding are the loci of efficiency across massive swaths of the input matrix. not for one specific best fit per se. the next step is to animate the data and observe how the...

excellent suggestions guys, thanks. Bob, what platform are you using to calc standard error of an eq curve? I know in TS, I could plot the eq curve as an indicator and apply standard error bands but this would become extremely tedious over a matrix of 75,000 input combinations. Are you...

Using tradestation's standard set of optimization parameters as building blocks, what is the best measure of linearity in an equity curve that somehow factors in the number of trades to determine a sort of efficiency measure? Basically, I want to find the most linear curve with the fewest...

smitty, do you know, using the app at the link you pasted below, is it possible to identify the coordinates of a specific point on the 3d graph with some sort of cursor? http://www.volny.cz/profipohanka/Chart3D_en.html this little app looks great, my only question is in data sets...

funny you should post this question today. just this afternoon, i was trying to figure out how to intentionally set my mouse so that the pointer dissapears after a set amount of time until i move the mouse again. i found that at least in win xp (i realize you're on 2k), there is a control...