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LOL, how community minded of you!

Obviously we're never going to know the truth regarding Acrary, he wrote some good stuff, though hardly groundbreaking (non-correlation of systems, confidence intervals). He also wrote some fairly meaningless stuff, which people have been attempting to pick apart for meanings ever since. He also...

I hope you're not back-testing on bar data.

By "costs", do you mean commission?

Just reading through this thread when I noticed a quote from Ericp: "Also, for what it's worth, I'm referring to 3 cents per share traded, so 6 cents per round turn trade. For example, you buy 200 shares at $20, and sell those 200 shares at $20.06 => You have made a gross profit of $12.00 and...

I'm not sure what you're on about Bob, the thread I mentioned is littered with similar updates. It's true to say that such statement are very rare, but not non-existent.

Well, if I'm understanding your statement properly, the 'Grinding it out day after day' thread is the obvious one.

Jeez Bob, are you sure of that? I can think of a few counter examples.

There is already this http://www.dinosaurtech.com/ Dunno why you'd want to do this work again?

I guess the next step will be the usage of time machines.

Should all that HTML gobbledygook in nitro's posts look like something awesome?

This being the perfect example :)

It's interesting reading Wulfrede's speculation, this also correlates with EricP's recent posts, these guys seem to have reached a point were money isn't a problem, so they're content to grind or do nothing until better conditions come along. In terms of capacity, I'm guessing that some of...

No doubt, this thread proves that.

The thing that beats me with the current environment is that with low volatility, medium and long term trading are still good, as ever. I just can't understand where lescor and co. are getting their consistent intraday RTM opportunities from.

I'm not sure there is any closed form solution, but it's easy to see the effect in a backtester. As you take profits more aggressively, your sharpe ratio will go up but you'll make less overall due to the winners being smaller. You can also look at the time factor, profitable RTM trades usually...

kdb+ is great if you have a shit ton to drop on the license. I use R, but it's more for visualization and rough testing, the back testing packages are a work in progress, to be kind. As far as specific packages go, I don't think most people use more than the time series & linear algebra stuff...

+1

Ok, I see. In response to your question, I automated everything, in fact I don't think I could do what I do manually. I'm monitoring multiple stat-arb positions from many strategies running in parallel. I'm sure if I tried to do this all manually I'd end up making a bunch of mistakes...

I'm a little confused by your terminology, when you say 'manually execute', do you refer to the process of getting orders filled or the entire process (signals & execution)?