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How are you quantifying trendiness?

Very wise advice.. I suspect that no matter how long I work on this there will always be something else to do.. always adapting. Even if it is rewriting this thing in some new languge 10 years from now. Good to know others are staying up all night squinting at the monitor too :p Rufus...

I had a few ephiphanys at the last minute and decided to do some more hacking.. one of the helpful posters here noted that mean reversion in the prices themselves can be really handy.. plus some of the coeffecients on my regressions were wacked out and some outliers in the data still.. just too...

Duly noticed.. I'm off to the sidelines as well, this is making me crazy.

I appreciate the skepticism.. but my data feed is very nice and every quote and trade is timestamped by the exchange (accurate to the millisecond) and also as soon as it hits my system, I also do rigorous tests on the round trip times..intradaily seasonal latency, etc. By this I can use...

My target is as high as possible.. yeah my backtesting results were a little rosy, but they are still good nonetheless, half the point of the thread was to gain attention and stir up some interesting conversation and I'd say that goal is accomplished. But, the forums here at ET are...

I might do that some day, as it is I have a 'real job' that wont allow me to do that. Plus, I like to sleep in and can't be bothered to wake up and watch charts...

You know, it just occured to me that this is a good idea to combine with my strategy.. take some of the risk out of fading. Of course there is always ways to generate profit on paper.. get a chart and draw points on the peaks and valleys.. i still dont understand why a sufficiently real...

lol. I don't have access to some super-secret shit like the dude on PI... I guess anyone can build something similiar with enough coding and research. :D

Days don't matter.

Well, hopefully (tomorrow) wed. morning it'll be ready.. I've mainly fixed the quote filtering issue, well enough to start running live anyway. I'm running on about 3 hrs sleep so hopefully I can make it. :D I'm cobbling together the code for the main realtime loop. In testing it is very easy...

I see a lot of typing but nothing that makes sense. Every post you make has the word 'velocity' about 500 times.. You make assumptions about my strategy, I am not going to give that away. It is based on mean reversion but not mean reversion of prices.

Short term trend following is something I'm considering but I haven't put much effort into yet.. basically I'm trading mean reversion now, but it would probably be useful to do both. I'll start another thread soon (maybe today) with some examples from the equity curve, etc. I won't be able to...

Yes it has helped me. I don't know why it would fill my ego as I haven't really done anything amazing besides stir up a few arguments. But, the fact that people I respect believe it is within the realm of possibility gives me some comfort. I have confidence in myself but it is good to sometimes...

I'd definately be suspicous.. no doubt. I didn't say I thought I could do no down weeks, but it's something to shoot for. I believe it *might* be possible. I could be completely naive.. *shrug*

I'm sure there is stuff you can use off the shelf, but I wouldn't touch it.

It's 5am and time got away from me.. won't paper trading today.. arca quotes really suck for some reason and it's giving me outliers like crazy..

The markets are not random... I can't believe they still teach this crap. I guess it works for people who don't want to think. See this thread for some tests on quantifying randomness. Quantifying randomness: variance ratio

Well, considering that the methods I'm using turn up nearly nothing on ET and only a few on the quant forums... Thanks.. I hope I won't need the luck though. :p

My model takes into account gaps.. I've seen plenty of gaps in back testing and I don't fill before they hit.. they usually don't show up on the radar. Market-neutral Somehow.. I don't think my strategy is all that common. I believe some others on this board are using something similar...