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Your equity curve looks great, provided it's what real trading would produce. I wouldn't care if it makes $8 per trade as long as those are real results. Dom's point was it looks like this is dangerously close to breakeven assuming slippage etc. but you may already have accounted for that.

How come then your equity curve shows about 1100 trades making less than 10,000? (how did you get $50 per trade?)

What you are doing is essentially correct. In liquid instruments like ES, this should get you pretty close to actual live trading results (backtest ~ live). Of course, if you wanted to be absolutely conservative, you would also include all trades that only touched the entry (not traded through)...

Frost, why don't you program your own little class keeping track of orders for a given strategy (could be a few dictionaries with orderIds/positions etc.). That way you at least know for sure that when you didn't place any orders, your position is flat.

I am experiencing the same issue with Velocity Futures using TT's data feed. It's a Comcast issue, apparently, they are trying to fix it... but who knows how serious this is as it has occurred over a number of days.

Annualized Sharpe >= 2 is very respectable in my opinion. I would focus more on return/drawdown ratio, which in your case (IF it's valid...) is high because that tells you how much you can make given a certain risk threshold.

What you are suggesting is old school type trading, whereas some transactions may happen like that it's quite unlikely here, many times this liquidity shows up at the peak of a fast move... there is no time to 'go around and ask'.

I notice quite often on a footprint chart (let's say one minute footprint chart) that there is a significant number of contracts traded at a certain price without price moving-here I am talking about FX futures in particular. Quite often (a few times a day at least), this amount of contracts...

volume...10 lots first, then 5 lots

This is from today-UBM2 algo in action from about 2:40pm to 3pm. First picture cumulative delta, second picture volume (one second resolution).

You seem to be quite skeptical about the quality of IQ feed data; I don't deny that I have no control over how good the data is they deliver but even if the feed is screwed up, what is the chance of seeing the picture I attached on 10 different days? The lot sizes in the picture I attached...

Random.Capital, I would like to know what you mean by the feed being a processed native feed. IQ feed claims they deliver to you whatever they get from the exchange (in the api), I understand that there may be imprecision on their side but at least to my knowledge they are not processing the...

I get the data directly from IQ feed api (every trade with it's volume size/bid/ask side). Is it precise? I don't know, but look at the picture I attached-it's one second volume chart where you can clearly see a region in the middle of the chart where someone is executing fixed size lots. The...

Do you care to elaborate on your point? I don't quite understand what you mean. I get all trades as they are executed (to the extent the IQ feed data is precise).

OK, I programmed the chart myself, I get streaming tick data (IQ feed) and then aggregate what I see at one second resolution.

I didn't read that one correctly... but still seems a little too simplistic to me to buy that many contracts so visibly, why wouldn't you at least randomize the lot size/ time interval?

A 'simple' spread order of ten thousand contracts (that's 1 billion notional of ZN I am talking about here...)? Hedge funds usually work the spread at a predetermined level (of spread) and may use icebergs on the legs of the spread but don't just simply spray the order flow with buys/sells for a...

Maybe you are right (although the post was not quite clear to me), the 'true' algo may be hidden. But the 'visible' algo is loading up on thousands of contracts-not peanuts by any means-doesn't seem like a scout to me (would be a huge scout).

I see almost on a daily basis an algorithm that is usually active around 2pm CST that keeps buying/selling a fixed number of lots in treasury futures at what seems like fixed time intervals. It can be seen on cumulative delta chart (you have to go down to one second resolution). Attached...

Do you care to elaborate what inputs do you use to construct your belief indicator? Do you trade based on this (even better, in an automated fashion)?