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Many of them do come back around for smaller losses, but somehow I am not content with this. My experience shows there to be two cases: i) There's heavy volume and a sustained push against me. I can see the market accumulating and bouncing on the VWAP/TWAP, the correlation to the indexes...

This is my current approach, but I'm a small time trader attempting the retail automated route for the first time. So while diversification usually helps, the occasional sting is still felt. On Wednesday, I had a basket of a few vs many, in which the many stopped hedging the few because the...

Yes, I mean there's a data snooping bias, but if it's clear as night and day and statistically significant... are we back in the realm of bias, or not? Is an out of sample test enough to avoid "cheating", so to speak?

Ok, so say I have a histogram of profits and losses from simulation and real results. I break out each result into two columns and write down some facts, like time of execution, time held, etc. I do a kind of qualitative regression of sorts on the outcome and find that time-in-trade happens to...

Not much to share, other than the fact that HFT infrastructure is a kind of luxury. You have information before everyone else, you can use it. The mechanism doesn't have to be through flash orders, it can be just by virtue of removing liquidity first or getting to the front of the queue...

I hate to break it to this thread, but HFT doesn't revolve entirely around flash orders. I'm not sure why this is all over every ET thread about HFT.

Also, 2900 shares traded today. I will start noting these details more regularly.

+$92.75. Things didn't run as smoothly as I would have liked. I'm noticing certain things during execution that I didn't notice during backtests, so I would like to fix this. Also, it's very obvious to me that earnings and news are bad for me, but it isn't just earnings and news in one...

Go long volatility then?

I did know this, but that's why I'm posting. The pursuit of edge-improvement. I mean at the tick level, I can see when something is not right by virtue of reading the tape. It's just that if it's obvious to me intraday, why wouldn't I want some generic, applicable methodology to identify the...

The weird thing about this is that sometimes I refresh and I get garbled data, other times I refresh and I get perfectly fine information.

Hard to explain specifics, but my system dynamically moves the stop and calculates an estimated "edge per trade" left in the trade still. It's not a good system, but the losses are bounded and the pnl distribution skew is favorable. However, when I run the system in practice, 70% of the time...

This fixed it. Thank you so much. I was losing my mind, not trusting the computer, doing floating point arithmetic by hand. I have enough mental damage, Tradestation is not helping!!! Thank you, thank you, thank you.

For mean-reversion traders, how do you guys arrive at your stop loss targets? Some multiple of the deviation from the mean, or just some empirical result that backtests while? Does it make sense to use time-based approaches? i.e., if the reversion hasn't happen in such and such time, just...

I have 1-min charts going back 6 months, there's plenty of bars. The value error is on the last bar, so I know there's more than enough data. It's only happening on one wacked out symbol, too. (BUCY.) Is there a way to flush the local data cache for a symbol? It seems to be drawn...

Yeah, I am able to reproduce this error every time. I'm trying XAverage( Foo( alpha, beta ), period ) and XAverage( Foo_I( alpha, beta ), period ) where the only difference between Foo and Foo_I is how they use 'Data1', 'Data2', and 'Data3' (since only the first symbol can be used to place...

Has anyone ever seen tradestation's EL package return bogus numbers from builtin functions like, say, the exponential moving average? I'm getting weird numbers where in one chart window it says one thing, but in another one, it gets a completely different value using the same set of data...

-$105 All system losses. Nothing I could do, the market was just not favorable to me.

-$105 Had two grinders that didn't work in my favor. Did not do anything wrong. I just had bad luck.

The idea is simple. You have a regression function that describes the time series at a given time as a function of its lagged values. If there is a unit root, then the relationship is not stationary and the coefficient is one. But you can't test this directly, because the usual beta = 0 test...