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I don't have etf data at hand right now, but using futures instead (i.e. ES instead spy, CL instead uso) gives the following picture: (I think attaching all futures exceeds the size limit here, so I just attached ES and CL for now)

Ok so I'd say there's a similar effect in individual stocks, attached are all plots of the SP100 stocks (maybe the constituent list is not really up2date, but that doesn't change the picture)

I'll take a look at equities too and post results here if you're interested. What I can say for now is that the effect is definitely visible in the equity index futures, so I guess it will be the same for individual stocks.

and here's a zip file with the same evaluation for a range of futures markets.

Interesting post, acdtrader. I'll definitely follow up to your post as automated trading is my main area too. Meanwhile, as I'm working through the book I looked at an interesting effect with regards to the first day of the month. On page 46/47 ("Significant Time Frames") Fisher claims...

Okay thanks, yes the drawdowns can really be severe with the usual trend following systems... Interesting idea regarding grouping the assets, your copper vs. ES example was actually a good application of that.

Mav, do you calculate the sharpe ratio of your trading results? (I'm aware that it's not so straightforward to calculate in a prop trading environment due to not having a specific capital but rather a flexible buying power) The reason I ask is because you mention turtle techniques, the...

thanks for your feedback Maverick, kinggyppo and RCG

I haven't read this thread, but I think it's more interesting (and hopefully lucrative) to find deviations from random walks in real data instead finding trends in artificially generated random walks :)

Looking at the basics of ACD in detail, I noticed that in his book on page 12, Fisher divides the day into 64 five-minute intervals and states that based on random-walk theory the first bar would be the high 1/64 of the time, the low 1/64 of the time and hence the high or low 1/32 of the time...

They will have no difficulties to accommodate their orders, but still they will have a market impact. Of course, the longer term they trade the smaller the problem, but this means that they are less flexible with their system (i.e. they have to trade longer term due to their size) and they still...

Platforms like Ninjatrader, Tradestation (and all it's clones) and so on usually provide several sample scripts and systems, either when you buy/lease the software or you find smthg. in the documentation, on their website etc. For Matlab / R it will be difficult to provide sample code, as you...

There are numerous CTAs trading several billions as already mentioned in this thread, so it seems that it is possible. However, this comes at a cost: 1) In order to accomodate such large amounts, the focus shifts more and more to financial futures, away from the commodity markets which are...

I have the feeling this product is not updated anymore, e.g here http://www.exchangeapi.com/ProductOverview.htm they state: "Is QUANT2IB up-to-date with IB software? QUANT2IB is up-to-date with the latest IB version API 9.41 (Release Date: Feb 5, 2008)." A more recent product is this...

Maverick, do you also follow the VIX future (VX) for your ACD trading? In terms of it's price action and behavior it might be a very interesting asset for this kind of trading. (I've only recently started to look into ACD in more detail, realizing that it will be difficult to add it to our...

Just a note regarding the ETF: COW is a portfolio of live cattle and lean hogs, so it wouldn't be a pure LC trade. However, current weight of LC is ~63% vs. only ~37% for LH anyway http://www.ipathetn.com/COW-overview.jsp

I would use something like R or Matlab for stuff like that

tradesignal (http://terminal.tradesignalonline.com/) uses easylanguage (they call it equilla, but actually it's easylanguage with only minor differences). I don't know what tradestation charges, tradesignal is 60 eur (~ 85 usd) per month. this includes some delayed data, realtime data costs...

Do you need daily or intraday data? For daily data I can recommend CSI (csidata.com, as mentioned by rwk). Symbol changes are handled by having an internal symbol number. This way different stocks can have the same ticker symbol. The delisted stocks package is not part of the usual...

On a day like yesterday that's easily possible, see here: http://ftalphaville.ft.com/blog/2010/09/28/355081/market-on-edge-after-apple-drops-like-a-stone/ When you look at the following tick chart, you will notice that the market dropped from 1139.75 to 1138.75 without a single trade in...