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Agreed :) So .. sounds like book delta / microstructure games, and futures only due to favourable leverage, commissions structure, tick increments & tax treatment?

TWS loses connectivity repeatedly in the 30 mins around the ASX close and HKSE afternoon open. This is happening every day. My region is set to Asia, but it doesn't seem to help. Is there a setting that fixes this?

"Pretty strictly futures and sometimes cash bonds." * Ah .. hey .. do you mean: Pretty strictly fixed income futures and sometimes cash bonds. Or Pretty strictly any kind of futures and sometimes cash bonds. There's a world of difference here, imho.

Borrow in gold. Repay in lead. It's alchemy, Greek style.

Maybe. We know the minimum spread is bounded by a minimum tick size. And we know how to observe the spread. So, what's the distribution look like? Also there's a battle going on here. Passive limit orders in the book vs Market orders blundering across the spread to consume them...

Availability varies based on the exchange, and size varies according to .. the number of depth updates (obviously), which can be very instrument specific. For those who are cheap .. it's not real hard to capture a load of book data from, say IB, and as far as I'm aware, that's OK for personal...

One way to stop debating and estimating slippage is to go get the book data, to see what you'll actually match with. If not, then at least be including the opposite best size in your backtest, to know whether you've broken through the top layer. Hope everyone out there backtesting away is...

Or you could just look at the book, and see what you'll be matching with -- assuming you want to pay the spread. Edit: Is big slippage, measured in "seconds" good or bad? :eek:

And in a long range, where any trend following indicator is returning consistent small losers, it laughs at you.

How does it do during a range bound market? :D

Same same. Futures are little / no different. It's just the size part I was picking up on. Sucks when you become the market. That's all. :D Edit: I think the OP meant something illiquid.

Just saying the order that crossed the spread and consumed whatever's in front of you may not be big enough to fill you entirely. So seeing price trade through your price in historical data may not imply you would have been filled entirely. "Let's say I'm looking to buy GOOG at $600.00 so I...

Agreed. The equity curve looks too smooth for a low Sharpe, while the other results sound unlikely to produce a high Sharpe. The strategy appears to be pretty high risk per return, but that's not showing up on the equity curve. So .. something's probably not quite right. Regarding...

The curve being smooth implies the look ahead hole, and the Sharpe ratio being low puts it towards noise, which completes the picture for me. It fits, although not at the same time :confused: So .. I'd work on those two things. Not much margin for error, as someone else suggested.

* Unless they are smaller than you. :D

Example - Order book's: bid 1000 lots @ $10.00 / $10.01 @ 500 lots ask That's the whole book. Nothing else above/below. Your order is to BUY 2000 lots @ $10.03. Result is a partial fill: 500 lots @ $10.01 Your unfilled 1500 lots is the new bid. Ask is empty. Book looks like...

I agree. The equity curve "looks" unusually smooth. Also, on the use of a Sharpe ratio, even if you're not pitching this strategy to anyone, the measurement and similar ones can be useful to show whether you are trading noise.

"about King Arthur and his knights who embark on a low-budget search for the Grail, encountering many very silly obstacles." Well, it does fit the thread.. http://en.wikiquote.org/wiki/Monty_Python_and_the_Holy_Grail

Dude .. I'm pretty sure I solved that as an example of dynamic programming a long time ago. From memory, it's a good example of why greedy algorithms can shoot you in the foot .. and so useful in undergrad computer science algorithmics courses. It's not exactly anything new though.

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