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I've done automated trading wit ES for a year now using market orders, slippage is 1 tic per trade normally. Why market orders? Since it's automated I have to make sure every order gets filled.

My advice: automate your trading! You can then use the time for better things, like raising capital etc. I've done it and I don't even need to read financial news anymore.

Why is NAV decreasing during Dec to Jan even though the return is positive?

As long as no one is fooled it's ok... :-)

As written in another post, Tradestation works for simple indicators, however these are all virtually obsolete these days. You also need more control to test thoroughly, which can only be done in a real programming language. The sooner you get past that learning curve, the better.

The Evaluation and Optimization of Trading Strategies book is a good start. But as NetTecture said, you definitely will need to write your own code to do the testing thoroughly.

Indeed. 87% return and 10% volatility = 8.7 in Sharpe ratio, virtually impossible with a fundamental strategy!

I don't know why, but ever since I started making money on trading, I stopped complaining on others (unless they're clearly illegal)...

Dude, HFT doesn't necessarily imply front-running, please don't spread misconceptions.

Probably sufficient to most, but I still don't think it can match Tesla's 2048 cores which are tailored for floating-point arithmetics...

Sounds like an oxymoron to me...

Question is: There are code libraries available for C/C++ for Tesla; shouldn't be too tricky to convert...?

Ever considered using Nvidia Tesla for computations?

Why confidential? How are you gonna attract investors if you don't disclose it? Or do you only do proprietary trading? Don't get me wrong - I'm sure your setup is super duper great, but there's way too much hypothetical talks here on ET; coupling strategy/system/algo talks with some sort of...

Ok I see. What are your expectations in terms of returns, volatility etc.?

May I ask what level of performance you are currently achieving? Just trying to convince myself getting into it although I'm not sure whether the effort/investment are worthwhile...

The ironic thing is the microwave links are way older than fiber optics, so "re-inventing" is probably a more appropriate way of describing it... :)

I was more referring to the usual KPIs like returns, Sharpe ratios etc. - has anyone done simulations of the impact on these depending on latency in an HFT setup? I mean, regular back testing can't do the job as it's sort of an "idealized" environment.

Slightly off-topic: what performance do you see from your HFT right now and what improvements do you expect from reducing the latency?

No need, check garachen's latest post and do that yourself.