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another complication is wash sales - not something you want to be computing yourself. note to self: avoid any broker using APEX clearing.

Don't beat yourself up. Today's markets are in uncharted territory with zero/negative rates and totally skewed risk appetites/aversion - this does cause perfectly good systems to have out of the ordinary drawdowns and bad runs. In other words you need to take your backtested max drawdown and...

have you looked at susquehanna? a relative of mine works there doing the type of thing you are describing. but they are in Philly area.

I don't trade penny stocks (but I did dabble there a bit prior to the dot com bust). As far as I can see, the only real edge in penny stocks is trend following on the down side. Go short when strong downward momentum has been established. This usually ends up being a one way street with low...

low correlations between pair return streams. ie. there is no correlation between my PEP/KO system and HD/LOW system. How does that look when you mush together 200 or more of these systems? Really good!

I trade in futures markets (all the asset classes) and US stocks. I can say that for me they are good offsets to each other because of the lack of correlation. But looking at differentiated opportunity and richer edge set, stocks are so much better. For example in my pair trading there are...

what are What are you looking for that is making a Bloomberg so important? These days most things available on a Bloomberg are available somewhere on the net for a modest price.

hi guys I want to backtest some intraday FX trading ideas (USD pairs as well as some cross rates) and I was looking for historical data going back several years. I'm not looking to spend thousands of dollars but maybe up to a few hundred at most (free would be even better of course). Any...

Eido looks interesting but I do not see any pricing information on their site. Any idea how much it costs?

Hire a programmer or just learn VBA for Excel and do it yourself. What you are looking to do is easily done with a VBA macro.

That's lowball man. I bid $100 PM me.

http://www.economist.com/content/big-mac-index

That's eye opening. China is almost at par with US in terms of manufacturing costs. The only reason China grew was its cheapness of labor and manufacturing. With cheapness gone what is going to keep its growth rate going? Certainly not its innovation ability.

Try RJO. They are good.

I subscribe to several newsletters/services and what you have sounds interesting assuming I don't have to be glued to the screen all day. Any historical perf (actual or hypo) you could show in public or thru PM?

It is the core strategy of many hedge funds and can get really arcane. The results these days are hardly worth the effort http://www.eurekahedge.com/Indices/IndexView/Eurekahedge/477/Eurekahedge_Distressed_Debt_Hedge_Fund_Index

Do a single member LLC or a General Partnership if you have a spouse. This will allow you pass through accounting which is much simpler and less headache than running a Corp.

As a sanity check, could you run your backtest on at least some actual data? Your brownian generated data may not be picking up the nuances of real data(?) such as price shocks, correlations among stocks and a multitude of other things.

anything special about that contract? good trends? good reversion?

I don't think it's exactly like 2008. I would say a blend: 80% like the dot com bubble and 20% like the beginnings of the credit crisis of 2007/2008. On a valuation basis the stock market is definitely getting rich. Not at the levels of 2000 but still ripe for reversion: All it takes is a...