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Just curious, for those of you who don't believe in back testing, how do you evaluate a strategy? How do you decide to go live trading using a system? I suppose you could emulate a trader with a successful track record, but that's almost like back testing too. If you rely solely on...

hi ES, Well, believe me, I don't have any problems with creative types -- I work with them every day in my day job and I have no issues. I would venture to say that I come up with some pretty out-there ideas myself but it's just that I don't take them seriously until I subject them to a...

With regards to commission and slippage, I basically embarked on an academic exercise: you can categorize algorithms from worst to best as: A. consistently unprofitable without commission and slippage B. consistently profitable without commission and slippage C. profitable within certain...

Thanks for the thoughtful reply. I agree with you mostly as well. Regarding the high number of trades per day, I have found that if you don't account for commission and slippage, obviously there are plenty of profitable strategies that I can come up with. The PL curve just keeps climbing and...

Here is my opinion on this matter. Markets are fractal in nature, and therefore are multiscale in nature. There are cycles in the minutes, hours, days, weeks, months, quarters, years, decades and ceturies timescales. Therefore, you might be able to find things that might work in those...

I basically decided after much research that there is no such thing as a holy grail. There are only opportunities that pop up and that can be exploited, but not indefinitely. Unless you have the scale or the power, that is. So I decided not to waste time on finding the holy grail but rather find...

hmmm okay. I won't try to get involved in this one.

Yes I am well aware of overfitting. In fact I have a Ph.D. in engineering and I am a professional industrial scientist with over 15 years of experience in computational modeling so I am well aware of this issue. That is why I never optimize blindly to maximize PL, but rather try to find an...

Okay excuse my ignorance, but I just looked up scala and it seems like a really nice language. I will probably take a look further and see if it has a place in my framework. Regarding databases, one of the reasons I built the database was because I originally was downloading all the SP500...

I used to try to put it to him gently and mildly that it doesn't make any sense to not believe in an objective, statistical approach to finding a strategy. But just recently, he completely blew my fuse and I told him how he is no different than a dumb Las Vegas junky with delusions of grandeur...

Thanks for the reply. Well, yes I guess I wasn't clear when I said he approached me to develop an ATS -- it's not that he had specific ideas on how to do it, just that he wanted to build something, anything, whereas I wasn't even thinking about trading at that time. In the beginning, we...

hi All, I have been working together with a friend of mine to build strategies, although over the last year, it's been mostly a one way street, where I would implement and back test almost everything while my friend would forward test the strategies after I send him the executable to run...

hi Lev, Well it is still a work in progress. The Java code is functional for forward testing and live trading at this point, but I still have a lot of work to do to make it a complete system. You correctly point out two parts of my framework that is still not quite completed, unified, or...

JBookTrader looks very impressive. I will download and check it out at some point. But right now I think I have enough of what I need with my framework. I like the flexibility of my own system since I can do pretty much whatever I want however I want to. My code is split up into a number of...

Thanks for your advice on trading the front contract. As for the code, yes, I have written a trading system from scratch using the Java API. I have been working on it for about a year now, but initially I had a crude system up and running in 2 weeks. I originally started by modifying the small...

Okay, so I have been forward testing my algorithm buying and selling ES and SSO side by side, and so far it is working out. My profits and losses from ES are pretty much a magnified version of my SSO trade results. My next question is this: is there anything to look out for on the day of...

Yes I am well aware of the non-stationarity of PL expectation. But I just felt in this case, the difference between pre-August and post-August this year was quite striking and I was wondering if anyone else had an algorithm that exhibited this two-phase behavior this year in particular...

I have several automated strategies that I am back and forward testing. There is one in particular that relies on morning volatility / reversals. This one was a consistent money loser up until the beginning of August, when the VIX shot up. Since then the consistency of this algorithm over the...

hi lev, I am using the SPX to trigger trades. Up to now, I have been buying and selling SSO, and I have flirted with SPY options. What I would like to do is buy and sell ES using the same SPX signals. You partially answered my question regarding whether I can do that -- basically you believe...

That's a good idea. I think I can actually implement this (trade both) very easily. Thanks for the tip!!