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Oh yes, I don't use delayed entry exits. As I mentioned, I use the low of the same bar for short entries and long exits (sell low, which is unfavorable), and I use the high of the same bar for long entries and short exits (buy high, again unfavorable, but more realistic).

I use one minute data intraday. One thing I don't understand is when you enterLong, are you closing your short and entering long at that point? It seems you might need to double enter long or short when you flip to the other side. I am not sure if you are doing this correctly in your sim. Also I...

Or another way to reduce tracking error is to do like my example: don't use two SMAs, but simply use the even more primitive method of a single MA crossing over with price. That creates the beautiful profit curve I have attached earlier because of reduced lag.

I would say this: you haven't really optimized the MAs for this particular scenario. since there is no cost in stuttering in and out of a trade, it is better to make the MAs closer in duration and shorter. Then what happens is when the price takes a big trend, you capture most of those big...

Here is something I did over a year ago in R. It is a simple 30 minute cross on the SPX intraday, i.e., if the 30 minute SMA crosses the price, then enter or exit. PL curve attached. lastmin = 388 simday = function(datestr,plotflag=FALSE) { day = as.Date(datestr) spxidx =...

Can you plot the stock price, the MAs and the position of entry and exits?

You seem to be missing the point. I am not arguing that delays are irrelevant or whatever. I am saying that simple cross-overs don't work when you add commission and slippage. But they actually do in the idealized world where there is no cost when you stutter step and enter in and out of a trade...

Remember (or you can confirm yourself) price timeseries are multi-scale and fractal like. No matter how you zoom in or zoom out, the trajectory has the same (scaled) distribution of wave lengths. At the seconds and minutes timescales, you will have relatively longer time scale fluctuations that...

Surprising but it does. I have hundreds of such test results. Also MACD is widely published. Also take a look at the world championship automated trading competitions. Most of the "successful" winning algorithms are based on cross-overs. Overcoming the costs is the name of the game.

I've tested plenty of signals that only work when you neglect commission and slippage. Even MACD or simple MA cross-overs work over a long period of time with some drawdowns of course, only if you neglect commission and slippage. The intriguing thing is that pretty much all simple methods cannot...

The problem is you can only do this for 100 stocks at a time unless you get quote boost.

Stats 101: statistical significance. You can set up a hypothesis test, where the null hypothesis H0 is that your proposed trend is random, and H1 is that it is not. You must then somehow construct the expected background probability distribution of the random case (there are two ways to go about...

Hey thanks for checking in. Yes I am definitely in a much better position now. I have since shifted my focus to something that is much more likely to work, and have made a lot of progress toward that goal. I would never have gotten here with my ex-partner. He would be still asking me to check...

Thanks for your input. So the bottom line is those quotes could be meaningless. But if they are indeed showing me recent trades and their prices, and if I am willing to sit on a quote for days or weeks at a time and adjust them based on past sales, then is it really that unreasonable? Or are you...

DMTB, why do you say it's not possible to do algorithmic trading of bonds? If IB will let me quote bids / asks and if I get executions, then I should be able to come up with a program to do it for me. Am I missing something?

These are standard bond terminology. When you buy a bond, there are usually semi-annual coupon payments. When you approach the coupon date, the bond price should rise to take into account the impending coupon payment, just like how a stock behaves before dividends. Once the coupon is paid, the...

I was wondering if anyone knew whether the quoted prices at IB for bonds are dirty or clean quotes. I am assuming clean which means that at settlement, I pay or receive accrued interest? If that's the case, is there an IB utility to show the exact amount of accrued interest at the time of the...

Back to this: if you think a little bit further, this whole thread is completely meaningless. So if the two strategies are uncorrelated, then there is no benefit in mixing an inferior strategy. But if the two are anti-correlated, then the OP suggests it gives smaller drawdowns. But the problem...

By the way, there is a huge danger in what you propose. If your strategy A is curve-fit (which is very likely true, given your small training window), and if strategy B is significantly anti-correlated to A, that means it is likely that the two strategies are picking up on the same statistical...