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This NQ system is based on a different method... trades more often. All these systems use market orders (both simulated and actual trades), and run in real-time on dedicated servers, using IB and Realtick tick feeds.

Here is the same system on ES

T&S reveals some interesting patterns for ES and NQ, perhaps because of the tick size and single exchange (fast execution, single quote, everything in sequence). Here is a system I trade based purely on NQ T&S (tick) data:

What is the long term profitability of this system? How stable are these $600/hour returns?

After TWS shuts down, check the contents of c:/jts/oldlog.txt What is in the log file just prior to TWS shutting down?

My colleagues and I have developed novel analysis tools and systems now trading ES and NQ. We seek possible collaboration in the Huntsville / North Alabama / Nashville areas for trading system development, testing, pooling of data resources, development of web based signal distribution, or novel...

I work with a trader who trades robust systems that are mechanically non-adaptive consisting of a few fixed rules even though these rules require periodic adjustment and external/discretionary risk management. He claims his systems are non-adaptive. Yet when you think about it, his intelligence...

These networks use past training examples and walk-forward validation/testing sets. The simulations I posted are all walk forward. I have become very acquainted with the tendency of networks to over- fit the training examples, or memorize patterns in past data that falsely appear to be...

Sorry for the delay in responding to your messages. 1) I have tested my systems on longer data, starting on 3/13/03. I didn’t present these results because (1) this data has different characteristics to the data I’m using now, so it isn’t a fair test and (2) I can’t obtain this data...

True, though I was wondering if that system could be traded discretionarily. It’s performance trends very well locally, though it could potentially stagnate and go nowhere. That’s all the data I have available. I have some different data going back further, but I can’t obtain that data...

Sure, no problem. I have a colleague with access to about $200M to trade futures trading systems like this, provided I improve the return/risk characteristics and establish a longer track record (simulated and traded). I believe these systems have a liquidity advantage as they can predict and...

As much as I would love to discuss this stuff in an academic, collaborative way, I don’t want to reveal too many details. I’ve spent months developing these systems and methods, and want to insure I can profit from them, and not have others developing more powerful systems, combining their...

Yeah. I think good systems need to be “lateral” in design, as Perry Kaufman writes, having the ability to capture a range of market action, and thus the ability to generalize and adapt. This is in contrast to “vertical” systems that capture fewer types market action, are less likely to...

I use trained and validated networks (neural nets, constrained least squares, etc.) to determine which subsystem signals to trade. It's a vast improvement over analyzing recent performance with fixed rules. Every system has a character (length of winning/losing streaks, trending nature...

Although these systems were designed around observations I made while trading NQ, the methods might work on stocks. These systems require intraday level I trades and quotes to generate the indicators. I only have clean data for ES and NQ. I’ve tried esignal, Realtick and qcharts for...

I’m not satisfied because I feel I should be able to combine the advantages of these three (and more) without having to add extra complexity, over optimization or trade multiple markets. I want a system to work well on many markets. However, I don’t want the single-market trading risk to be...

Thanks! I agree. Mechanical or discretionary? I realize that allocating capital between systems can be itself implemented as a mechanical system to be optimized and tested. That first system I showed might do really well with a mechanical performance trend determination. Because my...

Or all of the above, trading all systems simultaneously, allocating equity between them? Or should I simply work longer to develop a system that combines the strengths of these three? This may be possible, though very difficult. It’s taken six months to develop these three. These systems...

… or a system that does well in some situations, breakeven (or doesn’t trade) in others:

… or a system that determines the longer term direction, but has higher shorter term risk: