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Listen, a Cray doesn't do anything for you if you don't have the right colocation arrangement.

Let's say what you're saying is true. That would mean people with value-based forecasting systems would see a huge mispricing and sell, right? Or do you figure the government just prints money and absorbs the downward pressure? Someone at the CME would know, right? It is weird, but I keep...

:D

Or a retarded firm. You can never tell just from the hardware.

If you're crazy. Nothing wrong with taking risk and trying out ideas, but trading systems require a great deal of skepticism. A 36% drawdown really means like 50% drawdown. The thing about equity curves is that they are like phony sales pitches. They're almost always too good to be true...

Ok, now the data all makes sense. Thanks for your help, though. Was very enlightening.

Hey, this is really great information. Wondering if you split the data up by time of day on the fill? My opening fills kind of match your numbers, but trades after 10am eastern on the NYSE are much more close to the perceived inside bid/ask, but I've also seen some really delayed, terrible...

What's a realistic slippage parameter for backtesting NYSE stocks, assuming I don't trade right off of the open, if the stock trades 1Mil shares, 2Mil shares, and 2Mil or more shares per day? Also, would I be better off routing orders to ARCA or using that "Intelligent Routing" feature?

Thank you!

Is there any web site that has a list? Yahoo has a screener, but the user interface is a bit annoying. Just looking for a flat list. Worst case, I just go make my own -- but I'm trying to save myself the effort and find a decent web site in the process.

Well, I'd like to do what you're doing -- tick-by-tick stuff -- just to increase the overall trade frequency. I've got a set of working 5-minute bar strategies that consistently make money and backtest well; however, what I want to do is apply the working model that I have and somehow increase...

Fair enough. I've seen enough of your posts on ET that you've done more than enough for the community, so I will take your advice. Mind if I ask you how long you've been using TS, and what type of time-frames you've been able to pull trades off on TS?

1) Can you export historical trades from the charts system? I've been trying to figure out the PnL from a strategy without having to save the reports. Is there a better way? 2) How do I export and filter the data? The view-data window? Btw, thank you for your time answering me.

Can you actually generate backtest reports and optimize strategies for baskets on radarscreen? I've got every window up for every component in a basket, and it's becoming a nightmare.

It's always one thing or another in every platform. I've never found a platform I like, other than the ones I write myself. And for the ones I write myself, the sheer amount of effort required to implement everything leaves features lacking also. So it's a no-win situation. It is what it is.

Say I have a strategy that works on hundreds of stocks, but that I don't want to create a window for each stock that it can apply to. Is there ANY way at all to prepopulate a few hundred windows and write all the parameters in, or am I stuck having to put this stuff together by hand for each...

Hmm, seems like you are in a similar state of affairs as me. Perhaps we should PM and discuss what our experiences are regarding these systems, and whether the edge we seek is an illusion or obtainable.

Just a question for you guys: how much statistical edge per trade are you looking for per basket/pair in your backtest? I've done cross-validation with a strategy to find out it works far back into the future, added slippage of 3 cents on both sides, and hefty commissions ($1 per side), and...

TradeStation has a lot to be desired. Can't execute custom, mixed baskets, difficult to hot key orders, hard to prioritize routes, etc. It's the backtesting ability that keeps me using TradeStation though. Also, the fact that all the ticks are organized and split adjusted, so I can write...

Haha, I almost went to Penn State. It's not that bad a school, kind of peaceful out there in the middle of the hills. I don't know if you read Ernie Chan's quant trading blog, but he avoids stop loss operations in mean-reversion -- or at least, I think I read he did. Don't remember. I was...