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    Check your back-test data

    Export the data using NT standard export. Then delete within NT the data you have just exported. Then reimport to NT the data you exported, but with the import timezone set to EST.
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    Check your back-test data

    By default, NT assumes the imported data is in UTC. So if you cannot remember what you did, you likely went with the default and imported EST data as though it was UTC (hence 02h45pm appears as 07h45 am). Delete the data you have in NT, and then re-import from the original source data, but...
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    Check your back-test data

    07h45 AM EST is equivalent to 02h45 PM UTC ("Universal Time Coordinates", broadly equivalent to GMT). In most data repositories I am familiar with, tick data is stored in UTC (regardless of the time zone of the exchanges/dealing it relates to), and you have to transform it to the time zone you...
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    Tadawul

    I am looking for sources of the following information: - Tadawul market connectivity (APIs) options - List of Tadawul licensed brokers/Exchange members - Market priority/order matching rules for Tadawul - Sources of historical Tadawul market data (e.g. historical intraday trade prices, quotes...
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    Executing orders consistantly at predefined increments

    Is the objective a 1 unit position at every price between $100 - $101? Or is your target a total position with an average price of $100.50? Does it matter if you miss a price level (perhaps because price moves too fast)? What is the time horizon over which you need to build the position? Do you...
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    is there a website that will run my system and send signals

    Set up something like NinjaTrader or MetaTrader or ... [whatever] ... on a VPS connected to your broker's data feed, and have the software send you SMS alerts (or emails) when there is a signal ...
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    Famous expectancy quotes or proverbs?

    Between two evils, I always pick the one I never tried before - Mae West
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    Order confirmation 30 minutes later, Direct access account

    Did you get a fill that makes sense in terms of the prices and other trades occurring at the time?
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    Order confirmation 30 minutes later, Direct access account

    10 am EST?
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    Order confirmation 30 minutes later, Direct access account

    What is your set-up? - Trading software/platform? - Broker? - What time of day were you trading? - What share was it? - Anything else that might be relevant ...?
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    Large-scale order placement

    It is hard to reconcile “minimize market impact” with “execute as quickly as possible”. Look up the following impact-driven algorithms that all focus on minimising overall market impact costs, usually by splitting orders into smaller child orders: TWAP (time weighted average price) VWAP...
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    Intraday range on stocks with different share prices

    How about normalising each stock's range by say its 14-day ATR? So take intraday High - Open (say $8) and divide by that stocks 14-day ATR (which is also a $ amount). So the result is a ratio. Then you can compare the two stocks.
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    Intraday range on stocks with different share prices

    Thanks. Could you post the charts and describe what differences you are referring to? Am happy to try to help if I can.
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    Intraday range on stocks with different share prices

    Why can you not compare 5% gain on $10/share stock (A) with a 5% gain on a $100/share stock (B)? If you have $10,000 you can buy 1,000 of A or 100 of B. If either goes up 5% you make $500, the same...
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    Backtesting time period

    Found this ... some ideas that might be relevant here ... http://ddnum.com/research/stats.php
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    Backtesting time period

    OK… I think I am starting to get my head around what the Chernoff Bound does/doesn’t tell us (sorry … it has taken me this long to get there! … a little bit of knowledge is a dangerous thing …): Here’s an example of how I understand it could be used … If you have a strategy with a win rate of...
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    Backtesting time period

    Yes, good point. In addition to ensuring it generates enough trades, the historic data should also be as representative as possible of the market regimes you might expect to see going forward.
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    Backtesting time period

    Thinking further about this, I think it effectively gives a way to estimate how many trades you need in each of your In Sample and Out Of Sample "samples" to be "(100 - epsilon) % certain" that say the two average trade measurements can be compared. ...
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    Python to trade futures?

    Trading Technologies (Fix API, X_Trader API, or TT API).
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    Backtesting time period

    Thanks! It probably could if you equate p to win rate ... Referring to wikipedia entry for Chernoff bound ... "the Chernoff bound requires that the variates be independent". So you have to assume that trades are independent of each other, and ignore serial correlation. So it is just a rough...
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