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Even with advanced programming skills, it would take you no less than 6 months to build a robust ATS with an IBs API. Not to say that IB's API is somehow inferior to other alternatives, but it does take time to program around a lot of detail.

Thanks, that's a good read. The discussion in that thread is around the formula: X = abs(Avg-Profit) * (Number of Trades)^0.5 / (Std Dev of Profits) X then maps to a confidence percentage. One thing that popped at me immediately is that the length of the test period is nowhere in this...

I'd like to know if there are any standard measures of confidence boundaries in a given strategy performance. For example, suppose I have a strategy that shows a profit factor of 2.0 over the 100 trades that it made during the last 3 months. How do I know that those results are not due to...

I don't follow your line of thought. You seem to imply that the lower the probability of a prediction to be correct, the greater that prediction is. That's not very intuitive. I mean, suppose I make a prediction that tomorrow Christ will come down to Earth and the market will plunge. I'll also...

I am still missing the factor that drives the weighting. Perhaps the following example will clarify this: For simplicity sake, suppose that the system uses only 5 indicators, and they are all exponential moving averages: 1-min average, 2-min average, 3-min average, 4-min average, and 5-minute...

So, it sounds like the weights of the indicators are re-calculated frequently so that their combined output reflects the market price. In a way, instead of calculating the indicators with the fixed parameters and using it to predict what the market will do, you seem to be doing the opposite...

Only market orders are supported at this point. However, stop and limit orders are in the pipeline.

What kind of scheme is used for dynamically weighting the factors that are applied to the indicators? I mean, what makes the system to overweight, say, RSI over Stochs at any point in time?

JSystemTrader version 4.13 is now available: http://www.myjavaserver.com/~nonlinear/JSystemTrader/JSystemTrader.html For more realistic back testing, I've added more options to the back testing dialog: Historical data for expired contracts and market indices can now be downloaded...

I have the same experience with NNs -- the markets are just too noisy, and the NN doesn't know any better than to learn the noise. I suppose another way to put it is that the NN's output is only as good as its set of inputs. Feed in the noise, and the noise will come out. On the other hand...

I assume the bot is non-adaptive. That is, it doesn't change its parameters during the session or even in between the sessions. If that's the correct assumption on my part, then it's more like the market is catching the bot's rhythm, not the other way around. You may be using that reference as...

That has been my experience, as well.

OK, I'll try one more time, and then I'll give up if it doesn't convince you. Suppose you write a book and title it "Simple Method to Live a Long and Happy Life". In the book, you identify the following rules: 1. Attend Pentecostal church. 2. Have sex in a missionary position only. 3...

But SPM itself doesn't have an edge, I thought we agreed on that. You said:

Order flow is just a stream of numbers, so why is it impossible to program for it? Not sure what you mean by "price action", so I can't comment. "Discipline" comes free with the use of a fully automated system that places orders for you and does not require your presence - I have one running...

OK, so in its simplest form, the method is: Buy when two following conditions are met: 1. MACD2(12,26,9) > 0 2. MACD2(12,26,9) > its signal line Sell short when two conditions are met: 1. MACD2(12,26,9) < 0 2. MACD2(12,26,9) < its signal line where MACD2(12,26,9) stands for MACD...

Back test #3, with the entry/exit rules as defined by romik a few posts above. Results: 448 trades for a $4206 loss. Sample day:

You got it. I'll post it in about 10 minutes. Although I think that the last rule was meant for "Exit from Short Entry".

Trader28, can you confirm all 3 of these rules? My interpretaton of your original post was different.

OK, but for the benefit of "believers", would you be willing to identify the exit/entry rules? I mean, look, after some 1600 posts, we are still not sure what a "Simple Profitable Method" is. I'd program that in precisely the same manner as I programmed everything else in your system. I am...