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Thanks for the links, bone. It will take me some time to work through them to figure out which questions I still have. And I think it goes without saying that your expertise can't be replaced with a few handouts and lookup tables. Before I traded the ES, I learned its multiplier and...

I swear I didn't post my q before looking at the CME page! I totally missed the spreads tabs on the margins page that also gives the ratios. That is a good start. http://www.cmegroup.com/clearing/margins/inters.html Nothing specific on the implieds but I'll keep digging and post back...

Starting from square one, I'm looking for good introductory information to get up to speed on spreading. This is the stuff that is taken for granted by people who have been active in this area for years. Above all, I'm looking for dense information (lists) more than strategy ideas or verbose...

I figure that if I am going to make a career in the market, I have a few choices. I can trade unleveraged, I can trade with leverage and be lucky, or I can hedge leveraged positions with options. A disaster stop works and is cheaper than options in every trade except for the one that ends a...

If you assume that it is possible to reverse your logic from your trades, why not spend some time working on how you would do that? Play the part of the 3rd party, take a list of trades, and think critically about what needs to be done. That might give you some insight to answer the question...

Here's ES (times are MST).

I have a hard time believing you have spent years studying this stuff based on what you post. It's not uncommon for trend following systems to generate their entire yearly profits with a single trade or with a very small number of trades. Why would you base any sort of go/no go decision on a...

I've never traded SPX options, so I have no idea how they trade. A while ago I tried testing some systems out on SPX data and when I dug into the trades I was getting I found out they were completely unrealistic. It seemed that when the open was the same as the high or low, both the open and...

You would be better off using a tradeable instrument for this type of analysis. Its not at all uncommon for a quoted SPX open to be at an untradeable price. Taking a quick look at back-adjusted SP data from 1982-present, I see 22 gaps > 2% with the biggest being > 7% on 10/22/1987 and the...

10/15/1998 is another good one.

Dood, I get the math. A few cents here and a dollar there doesn't add up to much. Do you have a better explanation for why losing systems still lose after you reverse the rules? When you're buying breakouts, you are going to get the best prices at the worst times and the worst prices at the...

I have a hard drive full of ideas that don't work. If I could reverse the non-working ideas and make money with them, then I wouldn't have a hard drive full of ideas that don't work; I'd have woven gold undies and flying cars. Overcoming spread and commission is an enormous chore...

I assert that it is easy to make a losing system. Given that, one of the following is true: 1) Creating a winning system is also easy, or 2) Reversing a losing system will not necessarily generate a winning system. Spread and commission seem so insignificant but they are a HUGE barrier to...

Agreed. I saw it last night and I liked it. I don't know if I'll remember it a year from now but it fit the bill in terms of zoning out for a few hours.

NQ looks something like: Symbol = "NQ" Expiry = "201106" Exchange = "GLOBEX" Currency = "USD" SecurityType = "FUT" Edit: This is just for IB/TWS. For IB I use the Kts C# library and I really like it.

Seriously. It's a stated purpose of the NY Fed to intervene in foreign exchange markets to "...counter disorderly conditions in foreign exchange markets." Why is it so upsetting that they are doing what they are tasked with doing? http://www.newyorkfed.org/aboutthefed/whatwedo.html

Have you thought about ways to objectively value your IP so you can make a good business decision about how to protect it? If you have strategies that cannot be traded without automation, I would think they have little (current) value to you and you have nothing but upside by having them...

What he wrote could make sense if it wasn't really front running. They receive the limit buy, buy the shares for their book, then hold them until the stock ticks up or down. If it up ticks, they keep the position for themselves. If it down ticks they give it up to the customer. It's risk...

frost, I'm still curious about this. I attached a pic showing what I'm talking about. I'm curious about this because it's a bias I've come across when using traditional backtesting software to do the type of analysis you are doing. I haven't tested using NinjaTrader, though. The first...

You sir have got yourself a deal. Go team go!