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Well, that's a relief to me.. I wrote my own ATS which is very reliable.. I don't even know what its doing during the day and don't care. :) Also, neural nets are very powerful but you have to be very very specific about what you feed into them and what you expect to get back. Good luck...

The Buttonwood column: volatility on the rise

I don't even know what my system is doing during the day. I *never* over-ride it. Emotional (discretionary) trading is just silly. I have fail-safes, dead-man switches and the like to alert me when something goes wrong.

No, it's bloated. Useless for price data. Most brokers have custom APIs or more simplified protocols. Good in theory though.

I have an automated strategy that makes trades continiously throughout the day. I have a rule that says not to enter any new positions 45 minutes (or whatever) before close. But for existing open positions I don't want to close out immediately because that would be silly, but I also can't...

Unless the humans program the blackboxes to adapt to changing conditions. It's not that hard.

Are there any general methods for mechanical/automated strategies to know when to stop entering new trades? That part should be easy... something simple like don't enter new positions 30 minutes before close. But closing out existing positions at the optimial time before close seems tricky.

You won't get my back up.. so don't be shy. You are your basing your assumptions on random entry points. Can you tell me, theoretically, why any model(not counting for transaction costs) that generates any expectancy(deviation from entire market movement) other than 0 should not be able...

You could always look at the current depth before yours is placed and then look again after it is acknowledged to see if anyone jumped in front of you during the round-trip.

I'd just like to add that the expected outcome of a martingale strategy is exactly the same as the whatever system without martingale over the longrun. The only thing you are ensuring by using this strategy is that you will blow up much more quickly. It will happen. I suggest picking up Fooled...

Shhh.. don't discourage him guys, more money for the rest of us. :p

What sort of data sets are you backtesting with? With full depth from all markets you should have very reliable results.

Haha, dude, you kill me.

Bars have no meaning in my world.. can you reframe a 2-bar trailing stop loss in terms of trailing stop percentage of volatility? Also, I don't have profit targets, they make no sense. Long return's limit is [-100%,inf] Short return's limit is [-inf,100%] Long from 30->70 gives you ~133%...

Well, imho, a models profitability doesn't really matter.. because theoretically if you develop something that has a consistent negative expectancy then you can just do the opposite of what it says or find out why it is negative and reverse it in the model and have consistent positive...

The answer is a definate 'yes' unless your model is worthless, then it is no.

Interesting idea.. I'll put that on my todo list. Should be interesting indeed. Also, I know the good stuff lies in the depth.. I've just gotten my API connected to my broker and began analyzing real data so I'm still digging right now. My previous research on depth was based on shoddy data...

I'm not really sure if getting stopped out on one leg is such a bad thing. I haven't ran any simulations yet but just glancing at the data it seems that when the correlation reaches relatively low levels it always corrects back to its long term value. Now whether A rises to reach B or B drops to...

I've been playing with some models in matlab that I've been developing over the past few weeks based on high frequency data I've been recording... roughly 1gb/day on disk for each symbol/day recording all depth quotes and trades. No depth in my experiments so far but will be getting into that...

That is absurd. If you want ARCA and ISLAND then subscribe to them. Why the hell would nasdaq bother collecting and redistribution data from other exchanges?