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Hi Coros482, please be aware that MDD is a path-dependent variable. That means if you reshuffle your trades, they will give you a need max draw down. Your average earnings don't vary through reshuffling because at the end of the day the earnings will show up... If you only use...

Hi, bought most of my data from CQG data factory, pricing and quality is ok. Since 1999 we collect our own fx data from two data sources: Reuters and EBS. Please be aware that most historic fx data needs lot of cleaning and checking. Also most data is indicative, meaning that the bids and...

Hi, got the IB feed running on the same screen as my Reuters feed - the updates of prices, bid size, ask size, etc. are simultaneous and happen exactly at the same time. I don't have esignal but Bloomberg should also provide the same quality. BTW, the updates happen a lot faster than two...

Hi Wavetrader, the Bund currently trades 8:00 til 19:00 CET (11 hours). Eastern Time: open 2am til 1pm West Coast: 11 pm til 10 am Regards, Oliver

Hi Saschabr, we are collecting tick-data from Eurex sind 1995 through Reuters - the resolution of the updates is significantly less than two seconds (at least for the futures). Could it be that you are referring to the cash index? You are nevertheless right that Eurex updates are way...

Hi NoNonsense, the system in mind for the monte carlo simulation is a very short-term break-out system which trades 150 times a year a market. It is traded with real money over a sample of 20 markets (fixed income, equity indices, fx and energy) since 1998. Given the large number of trades...

Hi Maxpi, what you should be aware when implementing tick-by-tick tests, especially for stocks is the following data-provider specific problem: the number of ticks provided is dependent on the data-provider! The same move in a stock can vary widely in number of ticks when sourced from two or...

Hi maxpi, good luck with your optimization and at least you have an understanding of C/C++! One of the big tasks when working with tick data wasn't speed of processing or the handling of huge amounts of data, it was: a) filtering the data - especially the early 90ies (hand typed in for most...

Last time I checked on OANDA (in Europe) they were not able to provide segregated accounts. Therefore if OANDA fails, your money will fail with OANDA... Buyer beware

Intra-Day-Trend vs Over-Night-Trend If you split an equity index time series (for example the Dow Jones or S&P500) into two parts a) intra-day (from open til close) and b) over-night (from close til next days open) the following can be said about the 90ies: 1) markets moved sideways...

Hi Maxpi, we got started in programming and modelling intra-day timeseries data in 1995. Currently we run V6.1 of our own C++ libraries. Even with compressed data, a run over 10 years of tick-by-tick data can take up to 5 minutes on a P4 3.1Gig machine and 2Gig of Memory. Why that long...

Hi Prophet, when I do a system, I do a 10-year-Monte-Carlo-Simulation of expected MaxDrawDowns. I draw and put back into the sample daily-returns of my single market / portfolio equity-curve. By drawing 260 returns for a year and standardizing the length of the MC to 10 years, I get...

Hi T-Rex, I'd like to add my two cents worth of knowledge about common known systems - In the Journal of Finance in 1992, Brock, Laknishok and LeBaron published simple trading rules for the stock market which had been working from 1897 til 1986. Simply put, they had discovered the...

The most important factor about business costs in trading: slippage and commissions They have the biggest impact on the bottom line (for higher frequency trading) and are most of the times the least looked after factor. There are thousands of tremendously good track records for systems...

Hi Cutten, you are perfectly right that many managers, however excellent their track record, could happen to run into a "peso"-risk, losing huge amounts of money in a very short timewindow. I disagree with you concerning the personal investment a) nearly 50% of ltcm assets under...

Hi WDGann, if balance and perspective are needed - which formulas or views would you suggest to measure the performance of funds? Of course any individual utility curve would limit the comparability for others. Most CEOs nowadays seem to measure their success in terms of money being paid...

There's a paper by Fernando Diz with the promising title "How do CTA's return distribution characteristics affect their likelihood of survival". If you are interested post me. The short facts are: *) survival is linked to performance but not necessarily performance linked to survival...

Hi Swish, the definition of Standard Deviation is: square root of the variance. That is, the standard deviation is the average squared deviation (variance) returned to standardized format You can access the formula for standard deviation for example in Excel. The StdDev gives you (in a...

The formula for positive expectation is: [1+(W/L)]*P - 1 meaning W/L = pay-off = average winner / average loser meaning P = hit-ratio = number of winners / total number of trades Swish please be aware that Sharpe Ratio is in most cases defined as: (Return p.a. of System or Trader -...

A lot has been said about finding a robust parameter set for a given trading system. Graphical interfaces like Excel facilitate that task - but how about robustness over a range of markets. Most systems profitable in the fixed income, foreign exchange and commodity world don't work on equity...