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O.Y., What do the different colored lines represent? Since you've gone this far can you post the transformed JMA data along side the AUDUSD price info?

Congrats. I'm glad you passed your test.

Don't get all sensitive on me. I didn't say anything bad about your AMA. It might be the best AMA on ET. But, c'mon a small in-sample backtest isn't indicative of anything. I'm doing my best to take you seriously. No, I didn't say I use wavelets for real-time filtering. I said I've...

I was just trying to be helpful. Nevermind. You've been losing money for 5 years and have 2000 posts on ET. You must enjoy it.

kut2k2, Could you post the results again? I didn't see them in this thread. So, my understanding is that you're trading some type of AMA crossover strategy. Is that correct? Is it a combo of TA-type indicators or just AMA? Is it the same strategy for all instruments? What is the...

intradaybill raises a really good question and one I've been wondering about myself. I suspect that many people are using JMA, AMA, etc. to smooth price for basic technical strategies like MA crossovers. It seems unlikely that something so facile could produce consistent actual results in an...

Yes, I saw that posting. Thx. Might be b/c they're more expensive than MBT et al. for both forex and futures. The plus that I see with PFG is that if you're trading forex and futures in trust accounts they use the same trust firm for both account types and they happen to use a firm where...

Not yet. MBTrading is looking good. I need at least 5 years of tick data and 10 years of daily data to parameterize my models and MBTrading says that they have this - though I haven't checked out the data yet. I can't use Oanda and Dukascopy since I wouldn't be able to use Ninja...

FWIW, I did get a better, however laughable, explanation from Gain when another market order was rejected this week. Apparently, when Gain receives a market order they consider it to be a sort of limit order. That is, if the price has moved in the 1/2 second or so since you submitted the order...

I could have used a better example. "Pair Not Dealable" has happened to me 3 times in the past few weeks. Only 1 instance was during a major data release. So, I think the general issue is the same.

@bstay, Thanks for the definitions. "Requote" sounds like a bit of a misnomer in this case b/c Gain didn't re- do anything. They just rejected the market order. It was up to me to figure out what happened and take action by manually re-bidding for a new market order. I guess that's what a...

That could be true if your model is based on linear or dynamic systems. But that doesn't have to be the case. For instance, you could model the problem in probability space.

I'm glad it's working out for you now. I doubt too many newbies will be saved though. It's just human nature to repeat the same mistakes over and over. That is, unless you've found a cure for the rashness of youth and inexperience.

I read it. Sounds honest and painfully familiar. At least you have a realistic idea of what you don't know. That can help you from flushing your money down the trading toilet. I'd offer ideas if I could but I don't trade discretionary.

@cunparis, Insightful comments regarding backtesting. I paid that tuition, too. Trying to get that ideal parameter optimization :) That was an expensive lesson for me (more in time than in P&L). Now, I take different approach to backtesting. I try to gauge the parameter sensitivity...

@cunparis, What do you mean by "Backtesting can be useful to test out ideas and prototype, but that's about it." Are people using backtesting for something other than testing ideas and prototyping? I'm not trying to be a smart ass, just wondering what else people would be doing w/a...

You don't know what you're talking about. Wavelets have been used in real-time data filtering for at least 8-10 years.

Doh! No, they use them to filter future data because quants are magic.

There are quants that use smoothing filters, but they're often using wavelets, not some proprietary stuff called Jurik. There's a whole body of academic research on wavelet applications to econometrics and finance. Also, there are many paths from which to create custom wavelet filters. It's...