Search results

Someone else has to back me up on this: The protagonist is long and looking for a bounce. He calls out for it. Bounce! Bounce! His calls go unheeded. The market shits on the living room rug like an untrained labrador and closes early. The audience waits in suspense.... Then it's just...

Doood! That was an epic cliffhanger ending yesterday. I'm sure I wasn't the only one waiting to see how the hero resolved it in the next episode. But we get... nothing?!? I feel cheated.

Where did you end up puking this one up? You never posted the exit.

Yeah, that makes sense. Does NinjaTrader allow you to generate all possible trades when entering when an indicator is below a threshold value, including trades that overlap others? Ie, if you are testing RSI < 30 with a holding length of 3 bars, in the case when the RSI is below 30 for 5...

frost, before going further, I would answer the question of why your baseline percent profitable is > 50% for long and short. It may be correct, but I question it and you question it. If you get through tests of 10 indicators before figuring out there is a problem with your procedure, the...

I knew as I was typing out a response that I shouldn't say anything since I don't trade equities. Everything I know is in regards the simple world of futures with centralized FIFO books. I'm always amazed at the complexities of the segregated equities markets.

Doesn't it make sense that the first person in the queue at the 90 bid is the one that took out the 90 offer with residual size? In essence, can't you buy space at the front of the queue? If so, that means that colocated servers can't ALWAYS be at the front.

They know why they're selling them. I assume you know why you're buying them. And the 2 of you even agreed on a price. How nice is that! Hurray for markets!

That makes sense though, right? The real degenerate case is where characteristic1 is the same as characteristic2. Clearly, taking the same characteristic into account twice won't change your probabilities. Think about the characteristics as adding or removing information. If the system is...

Isn't it a function of the correlation of the 2 characteristics? In the degenerate case where corr(characteristic1,characteristic2)==1, the probability should still be 75%, right?

local: Is there a reason why the carry isn't arbed in CL?

Trend follower's delight:

If you are interested in this, I would use something other than the IB feed. It is impossible to sort out where trades take place due to the way they distribute data. With something as active as ES, it might be good enough to give you a reasonably close picture, but if you try it on an...

What makes you say this? I can only see that being the case when your patterns are constructed with nonlinearities (ie, xor).

Well, that doesn't surprise me: With only 3000 examples, I can easily come up with sets of 16 variables that encode the entire target, noise and all. And the result is meaningless. With 48 variables, the state space is 2^48 (281,474,976,710,656). It shouldn't be hard to see why it is...

OP, in the interest of seeing this thread continue, have you verified that you can get meaningful results from this data set when you know a priori which inputs are relevant?

Don't give up just yet. I was actively working on getting you your promotion at the government agency that doesn't (publicly) exist. Please post another problem with similar complexity and let this thread sit idle.

Merry Christmas, neke. I think there's a special corner of heaven reserved for honest people who risk their money day in and day out given the hellish situations that have to be endured at times. 2011 or bust!

Seriously, WTF? Hi, I'm a chart. When I'm zoomed in, I don't recenter when a contract runs through the high. You can add horizontal space to me, but then you can't zoom. Sometimes when you zoom in, I switch from 1 minute to 2 minute. Oh, there's an option to change that. It's buried in...

So how much longer until we get to watch you make a killing shorting NFLX?