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This thread might be a good place to start: http://www.elitetrader.com/vb/showthread.php?s=&threadid=36083&highlight=deactivate It will show you how to calculate a statistical confidence level, providing a more rigid and stastitical way to determine if the system is good, or whether it might...

Bad timing on that prediction, huh? lol http://biz.yahoo.com/ap/050509/online_brokers.html?.v=4 Looks like they waited about 18 minutes after your post to make the announcement. -Eric P.S. Congrats to Cdntrader, who nailed this one on Friday afternoon on this thread.

To do this, you simply need a way to timestamp events to the nearest millisecond. I'm not sure if the off-the-shelf automation tools allow this, but this should not be difficult in custom built automation systems. For me, I record the timestamp of ever order BEFORE it is sent out. Then, I...

I agree with what you are saying. It can be very difficult on ET to separate those that are truly good and successful traders (as I know Dustin is), from those that talk a good story and are really clueless. For the excellent traders that choose to post on ET, we should be happy with any...

I must have missed the part of the ET Terms of Use where every post must reveal one's technique, or put money in YOUR pocket. Personally, since the rule change yesterday, I have been very interested in whether my fellow traders would notice an improvement in the 'tradeability' of the market...

This is already possible for higher volume traders. All you need is commission rates of 0.2 cps or lower, and pass through ECN rebates. A trader paying 0.15 cps and receiving a rebate of 0.2 cps for order executions is actually getting paid to trade (no net fees, actually seeing net credits)...

I totally agree with you. If this was his first attempt to resolve the issue, then it was a poor first step. Possibly the original poster to point out to us whether he had already attempted to work this out with the Brights in private. -Eric

Don, I think you are generally a good guy and I think Bright is one of the better prop firms in the industry. That said, I have to say that this STINKS. I don't know by whom, or why, that guy's posts was deleted, but I think it needs to be put back in place by the moderators. It was...

prophet, Excellent post. Thanks for the information and the link. I can certainly see how autocorrelation could be helpful in trading system activation/deactivation. It seems like an advanced, but possibly very useful tool. Now you've got me also wondering whether other traders use this...

nononesense, It sounds like we come from similar backgrounds. I come from a background of automated control of industrial processes, as well (chemical engineer at a manufacturing plant). Your point is well taken about simplicity. Too many traders are trying to find the 'perfect' system...

Not me. In fact, I must admit that I haven't a clue what either of those are. Sorry. Care to elaborate on what they are and why you think they may be useful for trading system applications? Thanks, -Eric

Jim, Sorry, I just noticed this post. I have never encountered a situation where the future profits are negative when the past profits are 'too good.' From my experience, better the past returns lead to (on average) better future returns. It may be possible that your sample size with x >...

I'm glad it was able to help you. I keep telling myself that "one of these days" I'm going to start trading options. Currently, I still have my hands full expanding my Nasdaq trading, and will likely pursue NYSE once I run out of Nasdaq ideas. However, once I get around to options, I'll...

Don, I realize that you are a big fan of the all-in commission structure, and have a vested interest in this structure since that's how Bright Trading operates. Personally, I would strongly avoid any broker that offered an all-in rate, since this sort of rate assures that I will be paying a...

I'm not sure I understand what you are trying to say. Assuming that their is a statistical confidence level of 99%+ that as system is profitable... => Why in the world would I want to deactivate it from real trading? I wish every single system that I trade had that high of a confidence...

Man, I am with you on that one. Seems the best way to turn around a system in a slump is to manually deactivate it. I have had this problem repeatedly over time, and have therefore found that it's best (for me) to make the activation/deactivation decision 100% mechanical. Certainly, every...

Some systems continue to be profitable, while others fade away. My main system in the late 1990's stopped working in early 2000. This was an arbitrage strategy that relied on speed, and some trading opponent became faster while his arbitrage machine that I could possibly make mine. When...

I'm not sure I understand your question. First of all, if the movement of the market were fully random, then trying to make money by trading the market would be fruitless. Therefore, in order to be trading at all, you must believe that the movement of the market is predictable to some small...

I do. I would add, however, that liquidity can affect how many shares of a stock (or futures contracts) can be bought at a given price, without causing additonal transaction costs due to slippage. If you are trading sufficient size to affect your own slippage, then you need to be careful...

Peter, I am interested in continuing the discussion, but I'm not sure if examples will tell us much. With any set of data, optimization of the activate/deactive logic can curve fit the results to different answers. For example, assume that you have a bad trade that was 79 trades ago in your...