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How are you defining trading frequency? You must be referring to Bars, not ticks?

Oops, I didn't see the "guess" part. I would think the relevancy of ATIT vs frequency would depend on the specific strategy. For some, they are basically the same thing.

Are these just your rules of thumb, or are they based up on a statistical test?

In the above figures... notice how if you only run 30 trials, the region of interest takes up a huge chunk of your total number of trials... I would say using a 1000 monte carlos is a better choice

You need enough to "reject the Null Hypothesis", with a given confidence level. With something as complex as the market, Monte Carlo simulation is the best way to go about it, in my opinion. If you make 15 trades in a day, with an average holding time of 5 minutes and a standard deviation of 1...

Not sure if you're asking me or the OP... but I'll answer: I have no idea what to think of his systems... He clearly knows a thing or two about statistics, which I appreciate... but I also see it to be a sales pitch more than a proof of concept for his trading systems. It almost seems like a...

Are you getting a kickback from price action lab? You seem to be just as obsessed with data mining bias as that website is... Also, can you really take a website that is telling you not to buy trading systems... yet is selling a trading system seriously? That being said... I agree... don't...

Yes, your trading style is what dictates the fidelity at which you need to model fills in simulation. I trade algorithmically and frequently, so I've built a simulation framework that models queue position (using the book) and various latencies . My principle assumption is my market impact is...

I suspect rebates are also a factor that need to be taken into consideration.

That is not necessarily true. That could be an optimistic fill. What if you are further back in the queue than the available depth of market?

My first question would be how does your sim model fills? If its just giving you the best bid or best ask, than that is probably your problem. Its already apparent that the typical players are going to show up to this thread and blame it all on those pesky algo's and the market being rigged.....

Actually....~6/20 would be a confidence of 5%..... but hey, not everyone understands how confidence intervals and the Null Hypothesis work.

Umm yeah, that has nothing to do with what I said.

I wish I could "like" this again. I think the problem most people have when they trade frequently if loss of discipline, even if they have an "edge".

Please explain

Yup, we are saying the same thing. I'm a big fan of AI/ML algorithms.. but without me, they are worthless. Me + AI results in capability that is greater than the sum of its parts.

Its the difference between AI and real intelligence (as I see it). The AI algorithms I've seen are basically trying to minimize some user defined "cost". I haven't seen anything that is able to come up with its own cost function (that doesn't mean it doesn't exist...I'd love to here about it if...

Valid question. Pattern recognition is a component of learning. Recognition doesn't imply intelligence. Understanding does.