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absolutely. - jaan

whoa, amid all the sparring in this thread nobody noticed who just posted here... http://www.elitetrader.com/vb/search.php?s=&action=finduser&userid=13832 :) - jaan

bigger spreads. - jaan

a quote from the article: "This proves active investing is a loser's game. Some can win." that's just like saying "professional athletics is a losers game. (only) some can win". while technically true, i find this to be pure demagogy. - jaan

FWIW, i don't think your logic is entirely sound. it does not directly matter how much daily volume there is in the stock your system trades. instead, what matters is how much volume there is on the other side of your trades as they happen. so, if your system emits a signal, and your clients...

yes, light. you're talking about michelson-morley experiment in 1879: http://www.google.com/search?q=michelson+morley - jaan

good question. let's see. that's taking 126 trades of about 11% avg profit (not considering margin), and compounding the profits. i can see that the main problem would be finding liquid moves in the end -- otherwise it's totally doable. - jaan

oh yeah :) but arguably that's just a more striking name for the first ("fooled by curve-fitting") phase. well, one way of looking at it is to fathom that there's a collective "other side" to your trades, meaning that the system will work only as long as the "other side" can afford the losses...

welcome to system trading. looks like you managed to skip the first "fooled by curve fitting" phase (good for you!), and have entered the second "damn, finding systems that work is HARD" phase. as there is no third phase, you better get used to it... - jaan

SMART routing, right? i've learned that SMART does not handle odd lots too well -- basically, whenever the current best bid (ask) is an order that does not accept odd lots, the SMART routing will just sit there with your odd lot sell (resp, buy) order and do nothing. the only way to get a...

well, considering the entertainment value... a buck and a half? - jaan

why do athletes participate in olympics? because they're clueless about probabilities? - jaan

FWIW, i have found that the opposite is true. basically, the more money (in absolute $$$-terms) can a strategy handle, the less likely it is to work (due to competition from "big" players). longer timeframes can accommodate bigger investments, hence finding an edge there is more difficult. of...

we log all nasd, nyse, and amex ticks daily. it's about 1.5GB of data -- not exactly what i would call "little to no space"... to the original question, one (rather expensive) source is here: http://www.nyse.com/taq. - jaan

no-no, it's not as bad as it sounds -- DNS records are totally separate thing from the actual data the servers hold. DNS records are basically "business-cards" for computers on the internet that allow other machines to "call them up" by name (eg "www.realtick.com") as opposed to IP number (eg...

i would not be surprised if realtick/TAL users (such as myself) will not be trading on monday -- realtick servers have been completely inaccessible for almost 24h now. even their DNS records have expired. - jaan

FWIW, we use IB as our broker, and simply converted our acct capital to EUR. you see, IB lets you to trade US stocks even if your capital is in EUR. all USD profits we sweep out the account once they exceed a certain amount, so our currency risk is negligible. - jaan

ditto to that. i've also seen orders disappear. the account window has always worked. i use an ancient version of TWS though w/ API. correct. TWS does synchronise this file with the server, but the code seems to be buggy, so occasionally it misses trades. in my experience, this is always related...

thanks, aphie, for a challenging puzzle, having me to brush up on my combinatorics, and ruining my weekend... :) so here we go: as several people above replied, the number of all possible permutations is 30! (ie 1*2*3*4*...*30). let's divide those permutations to 31 groups as follows...

not really. the tests will usually remain negative for the first couple of weeks, because the hormone they react to has not reached detectable levels yet. i... ehm... a friend of mine learned it the hard way... :D duh, of course s/he is sentient human being. technically, the clone is just your...