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Perhaps that is true of directional trades, but mine don't fall into that category. My stops are designed such that if they are ever hit then it means something fundamental has changed in the things I'm trading and I should re-evaluate the model before resuming. Also, limiting drawdown and...

After stop-loss I won't trade for the rest of the day. I'll pull in all the recorded data for that day (3GB/day usually) and take a peak at the model to see how/why it broke down. It shouldn't happen that often in theory as I re-estimate all parameters over a rolling 1-week period.

My goal wasn't to start any fuss, but to gather input to see if anyone else is thinks it is possible. As you probably already know it is often easy to see things when there is really nothing. I am the only pair of eyeballs looking at my system so it's possible I could have missed something. I...

You are right in that regard... I haven't seen these results myself but I don't have any real reason to doubt that at least someone somewhere is doing it, including yourself unless you are really playing a big gag on everyone. :D I do try to stay somewhat humble but I tend to over-react when...

Ok maybe that could've been worded differently. Let me clarify: Some high frequency strategies do work, I'm not claiming my does *yet*. I'll see soon. I am claiming that at least I have some strategy that *seems* to work so I'm not quite the "random newb" that bitstream was implying...

My point was this: just because a bunch of old-hats failed miserably when trying to go high frequency has no relation to the effectiveness of high frequency strategies that DO work. Of course many day traders fail because commissions are high, and using leverage irresponsibly can be another...

Anyone here have experience with nasdaq's TotalView? I've been using it for a few months now and it seems to always have far more liquidity than ARCA and BRUT. Most of the time the spread is only a penny whereas on the ECNs the spread can bounce around 5x that amount.. QQQQ,QCOM, etc

Probably not. More than half the people here said they are not auto-trading. Next time I'll be sure to word the poll properly.. I guess being in the Automated forum doesn't mean much.

Is this automated? This poll is only referring to automated trading.

Long-short portfolios of stuff that moves together. Strict stop-loss when inevitably one of the holdings of the basket announces bad earnings or something and the relationship changes.

Thanks for the encouragement.. at least ET isn't completely overrun with negativity. :D All very good points.. it remains to be seen how this will scale when I go live but I believe based on the average trade duration and relative insensitivty of parameters to performance that I should be...

No. The point is, when the variance increases linearly with time the ending point could be anywhere, rich or ruins. Also, my strategy is all about heding which may be why you don't understand it.

Are you kidding me? Obviously you cant just take some old strategy and "turn it to high frequency". That doesn't even make sense and is in no way a valid indictment of "high frequency" stragies, as if there were only 1 type of intraday strategy.

Here is a thread on stuck quotes In general, I've never had a single "fat fingered" quote on any feed.. many times a day though, the best gets deleted and i dont receive the new best quote for another second or so and it creates a spurious outlier somtimes 50 cents fro the best and is...

It is not 'perceived' it is real. Take almost any portfolio and you will see that it's variance increases linearly with the amount of time you are holding it. Yes, day trading auto-strategies will 'bleed slowly'.. and I can't speak for other strategies.. but my system knows its own...

Oh.. it'll come. How are you doing so far? Are you an automated trader?

Haha. It'll be some daily summary.

I am skeptical by nature.. I guess that doesn't jive with the go-get-em attitude of some traders. But.. like I said, I'll start a journal soon and we shall see. I might be totally full of shit.

I don't believe in ufos, bigfoot, jesus or any other myths because they aren't even within the realm of possibility. Nothing personal taken.. I'm just a guy, i dont see why anyone would feel the need to blow smoke up my ass.. of course I haven't seen this evidence either, but it is within the...

It's a catch-22. Funds making this money dont need anyone elses money and so dont give a damn about telling the world about it. Try asking for them if you want audited results.