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sjfan was talking about PM and trader on the buy side. on wall street, there are also positions on the sell side. on the sell side, institutional trader is more like an individual trader, that is, he has to trade the market to make money. on the buy side, the trader is not really a trader, he is...

can you share the journals you found interesting?

one way to test L5 without intraday data is to enter at the entry price calculated from L5, but always exits at the daily close price, assuming the cut loss and cut win cancel each other for long term. the backtest in this way should produce positive gains if there is indeed an winning bias on...

I compared my backtest result with emintrade's realtime trading record, and tried to find out why my backtest did not perform as well as his real time trading. I found some interesting results. the most difference comes from the opening price. it seeems the openning price from yahoo and...

please be advised the current market situation is quite different from normal. i actually doubt a fixed L5 would work for long term since if that is so simple, every one should have made money. I do not think that this approach has not visited by so many quants there on the street.

using the L5 value, I did test on the short side. the entry price is: open*(1-L5/100), and the out price: open*(1-L5*2/100), and stop price open+0.07. the result from 2008/12/22 to 2009/4/20 almost canceled the gain from the long side, gain per trade is -0.2%. i wonder if for short side...

how do you know the system sometimes generate substantial drawdowns? based on emintrade's real time show, it performed quite well.

laurentb, you said you were using neural net to find rules. I already have had that experience for two years. My experience is that, neural net will give your lots of winning strategies from backtest, but you have to analyze each strategy if it indicates some human behaviorial pyschology...

I spent couple of hours working on the analysis. I did try to optimize the ATR for longer time frame. For example, if the previous day is down, the profit is better. Even though the optimization produced better results, i still have doubts over those optimization if they work for even longer...

i totally agree with you. I am also impressed by eminitrade's results for the last several month which prompts me to do the above study. without his algorithm, it is hard to be convinced the system will stand duration of the time. I believe OP has done the test for longer time frame otherwise it...

In order to test how emintrade's simple system works under different situations, I performed the following studies: 1) use the L5 value emintrade provided since 2008/12/22 to today 2) use the intraday 1min data from esignal for the 5 stocks mentioned in his posts. the results: total...

great posts and congratulations on your success. I have some questions which i hope you can clarify. at the beginning, you mentioned "I test since december 2008 an easy and simply system that makes +51% now", and later on, you mentioned you have used the system for several years. If the market...

who are the two guys great at using cycles?

in emini ES trading, some traders use market depth to scalp for 2 tick profits. I wonder how that is possible when the trader has to pay 1 tick spread?

In time & sale, some executions are classified as above ask or below bid. Some people say those orders are stop-triggered order. How come an order above ask or below bid? if the order is a stop order, the order will become a market order when it is triggered, it can only hit ask or bid, never...