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I've used both and TS is still quite far ahead in terms of ability. Last I checked TS has the following advantages: 1. 2000 simultaneous real time symbol processing. 2. One can auto-trade a 2000 stock portfolio on any time frame from RadarScreen. 3. Off-the-shelf software is...

Seriously? This is what it comes down to? I've used the complain link maybe 2 times in my years here.... Ok, fine, your approach is to blame the contributors for not flagging problems on your website? I can handle that. However, here's the next set of problems. Talon has had posts removed...

All ET has to do is charge someone $0.01 through pay pal to get this multiple alias/multiple IP BS out of here. Its so simple. Give me a reason to stick around? Same retard keeps trashing the same threads over and over again and you do nothing about it. Its been years BTW, the same ass doing...

Ahh, glossed over the exponent on the p-value. Thanks for clarifying. Thanks again for doing this analysis. To roughly answer your question: I usually look for a high net profit/drawdown ratio over about 5-10 years for intraday. Usually anything over 5 to 1 gets my attention and over 10-1 is...

Thanks for doing this. It looks like the normality test passed, yes? That's usually an encouraging sign. Any improvement ideas? Mike

Glad you're back. I was starting to think this discussion was waning interest... too bad if it did cause this is where is gets interesting IMO! Attached please find the same system with the volatility filter excluded. You can see this system is worthless without some sort of filter. This...

Good question, I was hoping to get his input for this system. Here's the SPY return distribution with histogram. Can someone do all the pertinent analysis? Skew, kurtosis, etc in R or something other than Excel? Excel fudges certain #'s. Mike

Its fine if you are using SPY. The system should translate to any index product at this point. You need to configure your contract specification in AB by assigning big point value, scale and minimum move. That way, your testing will reflect the 0.25 tick increment in the ES. Otherwise just...

Great! I see you're using fixed cash size at $1000 per trade for each market, correct? Do you have the proper contract settings for ES? Minimum move, tick size, etc? What conclusions can we make from this backtest? Also, can someone do a distribution analysis on the trade returns?

This sounds like a good idea. I was going to hint at some normalization issues next, but I like what you're getting at instead. Can you pseudo-code (or whatever environment you work in) this for us? Mike

We may be getting a bit ahead of ourselves here. Lets step back and get back to the basics. If it isn't clear already, we're going after a mean reversion characteristic. First lets set some standards for testing first: 1. Use 5min ES continuous contract data for the last 10 years or more...

Very good point and I should have explained better. This indicator is a way to measure realized vola as you have pointed out, but the lag provides history. The clustering effect is another way of identifying prolonged periods of high or low volatility. At this point, IMO, whether or not this...

Thanks cfd, This is much better code, I suggest everyone use it instead. Yes, I admit, I suck at writing good code, haha. Oh well. See my prior post to where this is leading. Do you have any thoughts about this indicator? How about a trading rule or hypothesis we can test?

You did help, and its been about five years since I last did all these calculations, hence my propensity towards making these mistakes. During that time I have traded several volatility based models that have done fairly well and I can assure you that the point is to create a good trading model...

Thanks for catching this mistake - yes, I want to take the square root of the sum of values, not the square root of each one. Again I'll try to be more careful in the future about posting mistakes. Please, don't back off, any input is good input! Clustering is just periods of high vola...

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OOPS ! Sorry all, I accidently posted the incorrect (not debuged) code set and chart. It was the end of a long day when I posted that original Please use the attached code as a template. As you can see, the difference is substantial. This code uses same bar sqrt((High - Low)^2) calcs...

Ok, so lets remove the effect of gaps. How should we code this up? We don't need anything special or tricky, just something brute force, i.e. simple-stupid at this point. We're still on point 1 here, i.e. understanding vola. clustering. I think after we get this gaps issue out of the way we...

We can always tweak the indicator for more/less granularity once we move a bit further along. However, assuming a 5min time scale, does an hourly lag make sense? Should we weight recent vola. more heavily? For now, the gap problem is a good one. I believe gaps introduce a non-linear effect in...

Awesome. Thanks dtrader! This is a great start. Attached please find TradeSation code for the indicator along with a chart of todays 5-min ES and the Volatility Cluster indicator (plotted in red). We can clearly see a sharp spike from 7:30am to 8am (PST). The initial lag for the sum is 12...