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I'm sure you've already done the math, and your soft dollar stuff must be worth it. However, depending on your volume, you could be hugely overpaying. For a trader doing 200k shares per day, the difference between 1.5 cents per share versus 0.3 cents per share would be worth over $50,000 per...

I think automated systems are being used for every kind of trading that manual traders are implementing. Momentum, scalping, trend-following, counter trend, etc. If a system can be successfully traded manually, then someone is likely trying to save their time and increase their speed by...

Well, it's been over two hours since the INTC spike down. It looks like the trades will stand and not be broken, IMO. The poor sap that entered the sell order for 1MM shares by accident, instead of 10k shares (as intended) will have learned a $500,000 lesson. Ouch, talk about a bad day! -Eric

Your point can be taken both ways. I would suggest that computers are NOT subject to being influenced by fear, greed or intuition, and that this is a good thing. Those qualities are not typically associated with profitable trading, and avoiding them is usually best for the trader. I think...

It doesn't matter now, no. However, at the time, it was very important to know whether there was any real 'news' that caused the drop, or whether it was just an order entry error instead. My reaction to the price movement would have been very different if there was breaking news of a huge...

Dustin, lol. I just lucked out, I guess. We were talking about it from the moment it happened in a chatroom where I talk with other traders during the day... My cost basis was about 24.45, although I am worried about a possible trade break. -Eric

I haven't heard any trade busting news to date. Please post if you read or hear news on this. Thanks, -Eric

Thanks for the quick reply. That error made my day. -Eric

Anyone know what caused the huge spike down in INTC 15 min ago? Extremely wierd... Appears to be an error of some sort. The stock dropped 4% ($6 billion in market cap) during a two minute period on HUGE volume (~5MM shares). This was followed by a near instant recovery... I never...

I'm sure that Garry Kasparov would have strongly agreed with you, until he got his butt kicked by Deep Blue in 1997. In that matchup, you are not just talking about the discipline of the human brain, but you are talking about the undisputed #1 human brain in the game of chess. And still, given...

For automated systems, there is zero difference between signal and order. The order is placed during the same millisecond as the signal is generated. For a manual system, I would suggest that the slippage could still be the difference between the price available at the time of the signal...

Good point. To some extent, taking the confidence level will weed out systems that 'look good' based upon only a very few excellent trades. However, if you are trading systems with only moderately high confidence levels, then you should be especially cautious of that sort of system performance...

It sounds like you are asking about the expected slippage in a system. Your slippage will vary depending on the liquidity in the market you trade, as well as the typical size of your order. For non-marketable limit orders, 'slippage' is not really applicable. I suppose that you could consider...

OddTrader, Sorry, I just noticed your post. Yes, all of the tests were conducted equally, although not exactly concurrently. I tested them consecutively, and 15 to 30 minutes premarket, when trading was very dead so there would be nothing my inherent system delays to slow the results. The...

The following posts were taken from another thread (http://www.elitetrader.com/vb/showthread.php?s=&postid=746181#post746181), but added here to help consolidate this discussion for reference: Let me try to address what the confidence level calculations from the linked thread actually...

Let me try to address what the confidence level calculations from the linked thread actually measure (more detailed information may already be on that thread, not sure). The confidence level attempts to mathematically determine the likelihood that a system has an expected average profit above...

Yes, I do use a short term confidence test to determine when to activate/deactive a system, and not necessarily the overall history. Typically, I will arbitrarily use the most recent 120 trades, which might take me back 2-4 months into history. In this way, I will have my system automatically...

I've seen many systems with confidence levels over 99%. Any system can deteriorate over time, as the market changes and evolves. Personally, I recalculate my confidence levels daily, based upon the new trades (if any) executed each day. If the confidence level ever drops to below ~90%, then I...

Personally, I check for statistical confidence of a system on a stock-by-stock basis. In other words, you may have a good system that works well over time for IBM, but is not well suited for trading XMSR, for example. If you are interested in checking the statistical confidence of a system...

Well said, and very true. -Eric