Search results

That would no longer be the strategy that he wants to deploy, obviously. Look, I've wasted more than enough time engaging with you. You're clearly more interested in arguing (trolling) than in helping. Over and out.

Only if you assume that all the candidates have the same expectancy. In fact, the ones that fill nearer to the open have considerably higher expectancy than the ones that fill later in the day. So there's actually a mathematical advantage to taking fewer but larger positions, i.e., prioritizing...

As it happens, I'm familiar with the strategy in question. So I'll let you do the re-reading. In particular, see the clause "Most days only 1 or 2 of the limit orders will get hit."

No, I think I understood correctly. Assume it's a strategy that places the limit orders fairly far below yesterday's close, so that on any given day, it would be rare for even as many as 10 to actually reach that price (unless market is crashing). Hence the desire to have more candidates, to...

Desire to buy the first X of N symbols (a different set of N each day) that reach their limit price triggers intraday, at those prices (no slippage), but without placing N limit orders all at once in advance. Requires code that places orders as price approaches the trigger, possibly cancelling...

Thanks! I'll be very happy to have you try it. With your knowledge and experience, I'm sure that you'll have many useful suggestions for its improvement. You must be including a lot of parameters and steps. I used to also do this too, and actually added the "sequential" and "genetic"...

Certainly. The first area would be power and flexibility of chart customization. My charts are flexible enough to be useful for reviewing the trades from a backtest, but that is their main purpose, so they're not as infinitely customizable as AB's. The second area would be perhaps some kind of...

In addition to Val's reply, see also my first reply to you on this topic. The little script that I posted a picture of does exactly what you describe, without requiring any custom code.

That's pretty cool! But can you do this? (Which, it occurs to me, is also kind of a metaphor for how we trade.)

The former is what my simple example script does. The purpose of that example was to answer the question that is quoted in that post. It does not represent how I actually trade. The latter is closer to how Val and I both trade (in some strategies). Though not necessarily "for lack of buying...

I see that you have a good understanding of some of the typical pitfalls in modeling limit order entry using daily bars. However, the particular example that I posted has none of these pitfalls. Right now (Saturday morning), the most recently known complete bar is Friday's. All of the formulas...

You could develop a portfolio of strategies which place all their orders before the open (as in the example I just posted, though it is obviously not an optimal strategy). No automation is required for that. You could also have the best automation engine in the world and feed it garbage signals...

I think I'm allowed to answer this, since RealTest is not currently a commercial product. Here's a simple example of this kind of strategy, which requires CBT in AB: daily trading universe: member of Russell 3000 index price > 10 20-day average volume > 100K shares price above its 200-day...

Thanks, Val! I have enjoyed our correspondence and collaboration over the past few years and am impressed with how quickly and successfully you have pivoted into the systematic approach. And I very much appreciate all of the encouragement and feedback that you've given me about the software...

Wow! Re-reading Trading In The Zone this morning, I am fascinated by Douglas’s theory about how our brains become conditioned to resist structure, discipline and responsibility. His point in a nutshell is that we’re all born with natural curiosity about everything, and of necessity, our...

Of note: (a) today's rally is on light volume; (b) long term treasuries have now reached a 4-month high.

Right -- it sounds like you're just using an inferior backtesting platform. The code and data has to support the same time granularity used in actual trading. I get very high fidelity between test and actual results at the individual trade level. The real problem is how to chose rules for the...

You were not alone in losing money in 8/07: http://web.mit.edu/alo/www/Papers/august07_2.pdf

Has anyone else noticed this? Each page takes at least 30 seconds to completely appear. (No, it's not my connection: FIOS 20mbps -- every other site comes up instantly.)

Good answer. In other words, price movement against the direction of the trade around the time of entry gives you a superior fill but possibly inferior odds of success. This dynamic -- the balance between signal quality and fill quality -- is of course a big piece of the trading puzzle.