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JSystemTrader 4.05 is released. Changes in this release: -- added a P&L line to the strategy performance chart (see pic below). The cumulative P&L (in contract points) uses the right axis of the price chart. The line is white. This makes it possible to visually evaluate the P&L over time...

This class structure implies that TradingSystem is an Indicator, which it's obviously not. I'd say a more intuitive relationship is "TradingSystem has an Indicator", or even better, "TradingSystem uses an Indicator".

You forgot to use the terms "guarantee" and "intermediate". Anyway, if this holds, we'll invite Thorn back to ET (but only if he guarantees to be civil).

I hope so, too. The JSystemTrader design is very similar to yours (although JSystemTrader is more narrow in scope), so we are pretty much on the same page. However, there may be some confusion because of the class naming, so it would be good to define each class responsibilities explicitly...

I would suggest that the SignalGenerator class should live up to its name and do just that -- generate trading signals. It should not know anything about the trades or their types. Instead of the "push" model where SignalGenerator initiates something (as it is in your diagram), you could use a...

"They" are the ones who are after you. People with the money and power, like Brad Pitt and Jennifer Lopez.

OK, it's your blog. But I suspect you may be left with just the cheerleaders around here, and the content of this thread would be reduced to "what a day!" and "don't give up, drawdowns are normal". A soup opera of sorts, as someone already noted.

So, there is some threshold that specifies the minimum amount of divergence between the direction of the longer and the shorter term trends? Look, I don't want to make it a torture to pull information from you. If this journal is just that, to simply record your daily P&L, that's fine. But...

Let's see if I understand this correctly. If the 360-minute EMA is going up and the 180-minute EMA is going down, you buy. If the 360-minute EMA is going down and the 180-minute EMA is going up, you sell short. So, you long the short-term pullbacks from the up trend, and short the "up" bounces...

To add a little bit of drama, I'd like to see the bot getting pissed off and start losing on purpose. Or perhaps it could set off a major ER2 crash. Nuclear war is even better.

What's the significance of the multiple dashes and dots? They look like OHLC bars of the broken quote feed. Or perhaps a Morse code.

JSystemTrader version 4.02 is released. Known problems have been addressed.

According to the latest book on TA that I am reading ("Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals"), the common indicators don't work...

JSystemTrader version 4.01 is released. Source code: http://www.myjavaserver.com/~nonlinear/JSystemTrader/JSystemTrader.html Discussion thread: http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?lm=1165545402&file=/2/38821.html

It may be that Thorn had a third elliott wave program, and it told him to start shorting at 1200 (or whatever his first "guaranteed top" was).

S&P is at 1409 plus change now, a new multi-year high. So much for the "guarantees". The "many, many months" turned into just 9 business days. And the day the "top call" was made (11/27) was the exact bottom, a perfect buying opportunity. :)

For short term trading with futures (holding period of a day or so), everything else being equal, the risk of holding a short position is about the same as it is of holding a long position. One can even make an argument that being short is less risky, because the stocks tend to fall faster than...

Here is perhaps a better way to estimate the impact of mutual funds on daily market fluctuations. According to http://www.ici.org/factbook/05_fb_sec2.html, the U.S. mutual funds had $8.1 trillion in assets in 2004 (I couldn't find more recent figures). The same site reports the median turnover...

I don't know who this guy Hyoooge is, but here is some evidence. According to AMG Data Services (http://www.amgdata.com/), during the entire year of 2005, the inflows to all equity funds were $147.55 billion. On average, it's about $0.58 billion per trading day (147.55 / 252). The combined...

I can't find the source, but about 97% of the dalily volume of the US markets is attributed to short term speculators, and only 3% to long term investors. Very roughly, this means that the 3% of the daily variance is explained by the underlying economical factors, and the rest 97% are the...