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because you need those extra $300 to cover your losing days. or, to put it another way, if your goal is to average $500 a day, then walking away after hitting $500 will make you fall short of your goal in the long term. - jaan

anybody else noticed that (some?) SUPERSOES fills now cost considerably more than $0.01? here's an excerpt from our account statement: buy 600 VRST @ 18.56, BEST: 380978 P VRST ... SUPERSOES 100 18.5200 -1852.00 -10.50 380979 P VRST ... SUPERSOES 100 18.5300 -1853.00 0.00 380981 P VRST...

no, i don't know how exactly it is calculated, but visually it comes across as if a simple low-pass filter has been applied to RSI (just look at how it lags RSI). anyhow, i doubt that RSX is any better than RSI+filter. - jaan

FWIW, in our (day)trading, decimalization has not had any measurable effect. what has, however, is the volatility contraction: stocks move MUCH less (both pointwise and %-wise) than they did a year or two ago. (i can only speak about NAZ though.) our group started system research in early...

my company is a Datek customer as well. while i cannot really complain about the executions (we've done about 700 round-trip trades so far), i agree with previous posters that their overall service leaves a lot to be desired. to me it looks like, more often than not, their problems are caused...

heheh, somehow i believe you are overestimating the age of the stock market :) - jaan

well, i use custom tools. you see, i'm a co-owner of a software house, so part of our "trading business plan" has been to convert our programming expertise (which we have plenty) to trading profits. - jaan

well, sort of. then again, in short timeframe you don't really need much of an edge to be decently profitable. - jaan

well, that's most certainly not true. otherwise you could make a killing using today's high as your profit target, and having about 85% winners (dependig on your stoploss level). - jaan

i don't think that's true in general sense. as i mentioned on tony's thread, i've done extensive analysis of setup probabilities in the last three years, and i've yet to see non-godmode (ie realtime) setups with historical probabilities greatly over their random counterparts. to put it...

yup, that's excatly where i was getting at with my question. perhaps i misunderstood him, but tony made it sound as if the close at top 10% was a bullish sign in this particular case, but in general case it clearly is not. so it would have been interesting to have him elaborate on this. - jaan

FWIW, while awaiting for your reply to my previous message, i took the liberty of performing a simple experiment on SEBL historical EOD data since 1996. the results were pretty much what i expected them to be: 1. stock closes at top 10% of range (202 samples) next open higher than today's...

wow. since you gave so precise probability number i would really like you to elaborate. are you saying that, historically, if a stock closes at the top 10%, then it will close (or open) higher next day 85 times out of 100? or are you merely saying that the next day's high would be higher than...

http://toolkit.taltrade.com - jaan

DT-waw, i'm not sure i want to continue arguing, because you and i seem to be talking about completely different subjects. for example: 1. system optimization in my interpretation is NOT "adding parameters". instead, optimization is finding optimal values for given set of parameters...

DT-waw, although ArchAngel already answered for me, let me give you another example how to over-optimize a system over large number of trades: let's assume we have a system that averages 10 trades a day over one year of historical data. that's about 2500 trades. now, we just divide the...

that's not true, really. as an (admittedly contrived) example, if your system has N potential trades to pick, you can apply N binary parameters that tell whether to take n-th trade or not. after some "optimizing" you end up with the ultimate performance: the system picks only winners...

nicodemus, although i would not condone what you did, i just want to tell you that your witty comments have made this board much more enjoyable (at least for me). so please continue participating -- under a new alias, if you feel that'd be more appropriate. - jaan

voodoo, excellent points. i take back the ownership vs contract argument. so, to rephrase you, the fundamental difference between futures and stocks is that in case of futures each transaction (virtually) creates a new contract, whereas in case of stocks the amount of available contracts is...

ArchAngel, thanks for the long explanation -- very informative. but i stand behind my point: there is a fundamental difference between buying stock and buying a futures contract. after you have bought stock you actually own part of the company. after buying a futures contract you "own"...