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As I'm managing one discretionary position right now (short JKS) - looked at the market before close. Interesting day.. Such a strong up day in SPY with a gap, and yet, nearly every short I had from Friday is at profit comparing with Friday EOD levels. That is 7 positions carried over the...

I run 100% automated trading. Homemade. Performing ok. Journal

My 5c. Take is with a grain of salt as anything you find online. More often than not edge is there longer than many people think. That is for edges that are found on 10y+ data samples. What typically happens is - market becomes more efficient and edge's expectancy goes down. Depending on the...

I don't know what it is but I want it :)

What @markd01 mentioned is one way to do it. That let's you stay within AmiBroker and not to use any other software. Tomaz (AB developer) put lots of disclaimers around using integration with IB but it works well enough. About 6 years ago I used it to place and manage trades right from AB...

@Overnight Consider me fired from this thread, as well as your posts. Ignored. Val

Backtesting software - RealTest. Since it's so easy to do I ran a comparison with 20 MA. Note - I personally wouldn't consider any of this a tradable edge. Also, I'd fire a guy who would bring me this kind of "research" if he would be working for me. Even for an intern this is bad (referring to...

Those kind of graphs, over multiple decades, can skew a perception a lot. I ran this test myself and it is apparent that most of the performance came from 90-ies. Here are all possible combinations for SPY by last 3 decades without compounding. oc - open to close co - close to open cc - close...

It's been a long day.. My quick guess will be: MaxPositions: NumPos MaxEntries: NumPos - Combined(S.Positions) Where "Combined" accesses all strategies' data and S.Positions stores the number of currently open positions calculated at the previous close, so if used together that should be give...

"like" is probably a wrong word. I do specialize on stocks / daily / <5d days hold. Average hold is probably just around 2-3 days. All scans + executions are automated and I don't normally mess with them. There are 5 systems running at the moment. They have little correlation with each other...

I haven't followed news or announcements for a long time so it is hard to say what is truly unusual, except the obvious unemployment stats. And even those seems like not the kind of things market cares about these days :) Val

September was a good month. +8.83% over 179 trades. After a crazy winning streak early this month, 18 up days in a row, this week everything feels completely out of sync with the market. There is nothing to do about it as all is within expected boundaries. Val

No doubt good data sources exist. They add too much complexity and some extra sources of deviations to my taste. Maybe for someone who is specifically looking for the "events" related edge that would be more useful. Btw, In a past I used a few and liked AAII fundamentals which is reasonably...

Happy to hear that. No special handling of earnings in any of my strategies. When I test an idea I try to generate thousands trades over 5 years period. So earning impact smoothness out. Also, with stocks in general you want to ask yourself - why would you filter out earnings to begin with? If...

Yes!!! There is no way I'd have Sortino=4, as a single individual, managing 10-50mil account. Val

Right, as bottom still line matter in anything we do. Can't just comfort ourselves continuously saying - just need to keep doing the right thing and end up with nothing after years. But, especially in professional setting, who needs PnL while taking risks like LTCM? Isn't it risk first for you...

There is a graph of open positions over time in my early today's post. Re market neutral - as much as I can make it, yes. You can see an example in my previous post here. I had my longest winning streak while market was all over the place. It actually continued and ended up being 18 days.

They will be all over the place. Some are super precise, some are really bad. I don't even look at them. And when I did - I would often want to override the system because something doesn't look "timed" correctly or "out of sync with the market". Mechanical trading is about robust model and...

What would be the purpose of posting real-time entry and exits? Val

Wanted to do this at the end of month, but time is a sparse commodity and I’ve got some now. Pros know that neither $ or % profits mean much. There are just numbers to impress gullible or uneducated on this subject. They are the shiny object that distracts. One of the things that actually...