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its 200 trades a day over 20+ products, or around 5-10 trades per day per product. If I put it across to 50 uncorrelated products then the numbers increase. Yes I figured out Sharpe Ratio won't be my target anymore for high frequency. In fact my Sharpe increases when I took away those few...

heh. it's 200, not 20 million trades a day. Why not ? Run a program on my logs to determine avg bars per buy/sell, etc and formulate stats ? chart out graphs ? Automate every human actions... Not possible ? I have 51 hours, from US EST 5pm to GMT +8 Asia time 8 AM before nikkei and...

heh maybe im using the wrong details. In a typical aualized sharpe, you take the 12 x month of performance in %, for the ROE. Instead here I have a string of small wins and loses per trade, not anualized, and not in % on my ROE. In fact I dont even watn to have a ROE, its not calculated as...

So u came in with a "beginner thread" and want to be successful in trading. Who here in this forum doesn't want to be successful ? So if I say theres a sense in what you are doing ? Why would I tell u? I'll probasbly take what you've said, put in onto my existing syste to see if there's...

well.. this 45% was very very hard work of sleepless nights, and it was only 25% back then. So much algorithms have been thought thru and put in place just to push this number higher, ie. taking lesser trades or trading only during specific part of the time for example. I'm not sure, in...

Hi, My previous posts and threads are on qns regards to Microsoft Excel performance and Automated trading. I'm (I hope:)) about to run live on my IB TWS from paper trade to Live. Say I'll start with 30,000k. That gives me 100,000k intra day SMA margin, enough to trade my strategies...

I decide to show up in this thread :). Yes there are people who are successful.

I see a list of Formulas. I was expecting to see a list of Hedge funds or Prop that says - 33% returns since 1980 with Pair trading with co-integration/convergence. Good luck with the debate and your trading :)

If you buy a pair, any pair that you think its called stat arb, then I'll ask you: - If 1 day both products =$0, do you make or lose. If you lose $, its not an arb, and certainly not statistically at all and its a risk. - If 1 day a major news hit 1 of the pair, does the other product move...

Pair trading is not stat arb.

Don't explain. You're not arbing anything at all. Firstly you need capital, and secondly you have risk. If 1 day an airplane hits NYSE or if electricity fails on ALL US exchanges, that you cannot buy/sell on market, then its not an arb, then you have a risk. Arbs are suppose to be riskfree, and...

THE LAW OF ONE PRICE. :)

Well, im wondering how do you present an arb data then, since every trade you take = locked in profits. I have done only a few arbs in my life because I don't monitor them, but it definitely feels good to spot one and get the MM (the party the other side) to take your orders. Since most...

heh I just answered your survey. Im with a cheap computer, but the $ i put in for upgrades, s/w licenses, and multiple LCD, VGA card, multicore... it cost more than $5000 lol.

Fooled by randomness. Winning by chance and finding a solution to justify :) Good luck.

I hv 2 computers, 4 screens and 2 internet lines, one with Mobile 3G data plan. And i think its not enough, since im using it for $$ purposes.

I came here to look for noobs tat post their so called profitable strategy when its not. When some idiot comes here and posts a new and working strategy, it will be automated on my algo system the very next day... with some coding of course.

so u just want data right ? Why complicate it with daily spreadsheets ohlc intra day or ohlc in spreadsheet form ?? Get the ohlc, copy it to spreadsheet, and it becomes spreadsheet ohlc data lol. Like I said, there are tons of it, its only if u wanna buy or not. Search it here. :)

Can you spare me $30,000 on IB TWS ? Open an acct for me so I connect my automated systems and trade in time to come. For a start, I may run my systems on your paper trade acct, as a track record. I know many hedge funds giving seeds, and are leaning towards systematic trading with Sharpe >...