Search results

How has your pure paper trading compared to your live? In your live account you have to adjust to match your bp as well as ignore some signals because you cant take them all. But the paper trading doesnt have to do this. Also your returns is using 2x, so would it be more accurate if...

All the Screentoaster video tutorials are down, are there plans to reupload these to youtube? Some of the most important "how to" videos can't be accessed. Thanks.

I did my own in Matlab, but there is an easier way. Find cointegrated pairs at some point in time, save those pairs, then if you have PTF, simply input the pairs you found... and run the backtest on those pairs only, your output file would be very accuate to what you would have done live...

It sure is changing. What if my criteria was high performing stocks over that last 12 months, and I went and backested these stocks over the same 12 months...that wouldnt make any sense. I would be trading on information I did not have at the time. 12 months ago these stocks did not exhibit...

I too once felt this way, the problem is that you might be running PNL backtests on stocks that you already know had exhibited a particular behavior. For example if you find cointegrated pairs now, if you run PNL analysis, ofcourse they are going to come up as performing well. The same time...

I give him props for NOT cherry picking because he is recording closed trades, it is consistant in that he sticks to that metric. I dont think hes recording only the winners at market and not the lossers. I think the losers are usually the ones that end up being held longer for unrealized...

Rol, Whats your average hold for a unrealized loss? As long as the amount of days isnt something like 4 months, it is probably likely that the shape of the curve is basically intact. Is it easy for you to show m2m, if it is, perhaps you could just leave it that way. Personally I am...

Heech, You bring out a good point, for the sake of having accurate stats and charts to evaluate a model, 3 days average hold time for not recording unrealized loss/profit wont materially change all stats that he has recorded of the past year. I agree that m2m on the stats would be a...

Let me get this right, you beta weighted your all your options systems against SPX and you came up with 3500 Vega. So you are currently a net purchaser of options, then correct? What about over the course of your trading??? If you have a call write system, which is the same as short puts...

Engine, With out needing to know all the details for all your models, would you say that a majority of all your positions are net short premium/short volatility? For example credit spreads/naked premium? I wanted to comment for a while now about your benchmark performance comparisons. I...

I'm not an expert and am in fact quite novice but if you want to know... XLQ is an add-in that will allow you to pull into excel a feed like DTN.IQ or IB's feed without using DDE. Yes, it is a lot faster. Please google it if you want to know more. I use matlab and VBA scripts\excel for...

DDE links is old technology and it is slow. I have since updated to use XLQ, which is a third party excel add-in. This should now allow you to input 1400 with no lag at all, provided you are using a feed that is compatible with XLQ. I switched from pulling 1000 names using DDE to XLQ and I...

Excel 2007 Power Programming by Walkenback & Mr.Excel forums...all you ever need. The help you get there is amazing. Stuff I would pay for is literally free. My universe is currently 1000 names, and all that is DDE links and VBA scripts, then sent direct to the platform. If you have a...

Well, I am certainly glad to hear that. I wasnt too sure what was either too low or too high of a benchmark. Now I know I am not aiming too low, and will focus on execution to get as close as possible to backtest and paper trading results. Its nice to know that I am giving myself ample room...

Thanks for the bone. Thats some great advice and gives me a direction to go towards. For the next few weeks, I am going to focus on order execution and working orders to win spreads. I think those two things you mentioned could very well yield more cps than going back to the drawing board to...

I am going to guess that you did about 300k shares round trip for all your systems live trading. Youre not complaining now, but I bet you will soon, as your volume picks up. I would say at even the worst prop rates, you would be paying half, atleast. But I agree with you, if I were you...

I trade around 150 names a day and all with the same 100 share lot, sometimes a 200 share lot when the signal is strong. I would rather have 100 positions worth 1k each than 1, 100k position. What is even more ironic is, the more positions I have on, the safer I feel. There are plenty...

Rol thanks for sharing, you have posted your 4 months quity curve but how about some stats regarding those 4 months other than equity, Perhaps you could post a recap like above, but started from 4 months ago. I would say that in another few month you should probably take your equity to a...

I want to clarify that these results and bench marks, are all intraday trading, with around 150 names per day. Just in case any of you, thought the results were weird and were comparing that to an long term strategy.

This post is specifically for equity traders, utilizing backtesting/paper trading as a decision to go live or not on a new model. My prefered performance indicator is cents per share. I have back tests that yield about 3c/share (Gross- not including slip and comm) with little optimizing...