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IB is probably the best and the second follows at a distance. I don't like their forex though and the requirement for the user to convert foreign currency to base currency gains. They should improve on that part. Stock and futures trading is fast, efficient, cheap and problem free.

Watch out for some kind of short-covering rally that will induce a lot of pain to shorts.

After his call this past Friday for an "an immediate reversal to the downside" I have placed Michael Harris on the top of my guru list. His method of analysis is something new and very interesting. I am tired of looking at stupid charts with lines and indicators plotted on them and trying to...

OEC can do that? I din't know. Thanks for the information.

this is cool http://www.etftable.com/Momentum.aspx

It has to do with whether the pricing is for European or American options. The formula is an approximation.

You guys like xmas trees I bet:)

Hard to say if it is a fancy optimizer or not. It belongs to a class of systems that discover systems but I am afraid this particular one cannot avoid optimized results simply because these genetic programs mix and match various indicators using some evolutionary algorithm to produce optimal...

Testing systems manually nowadays is like trying to build your own car instead of buying one from the dealer. Too much to do and little time to do it. Get one of those programs that you set your R:R and other criteria and they find systems for you. One such program is discussed is the thread...

Do you get better results with both daily and intraday patterns? By the way, I figured out a cool way of doing what you suggested using a genetic program. The algorithm will take the APS patterns and let evolution determine the best system.

You do a lot of DD

Hey guys, if you cannot compete with market makers try something else in your life. You sound like the guy whose horse died and he asked his government to kill the neighbor's horse so they compete on a plain level field. You focuss on what works against you due to HFT and you purposely avoid...

Just remember that speed is not the only advantage big guys have over you. Their main advantages - especially if you use a scam broker - are more money than you and control of quotes. Your idea has no chance as long as they control what you see on your screen...

I agree that the ultimate test is the real market but nobody is willing to spend a fortune testing systems, the objective is to make fortunes, not to spend it.:)

System A has a return of 50% in year 1 and - 20% in year 2. System 2 has a return of 35% in year 1 and - 5% in year 2. Please calculate both Sharpe and Sortino ratios and then after we determine that you well understand these notions we will discuss them.

No, market is fractal only when you omit time. As soon as you introduce time, market is not fractal. Otherwise, Buffett would be considered just another type of daytrader:)

They haven't studied equations with 2 variables yet :)

The large remote idiot who places a market order for 500K shares deserves punishment because he drains liquidity from the market. Why do you think such an idiot should be protected? Why do you think other players should not know he will be moving the market? What good do you think there...

Q1: Maybe Q2: I think it is better because you save time. Out_of_sample testing is just stupid and useless. If your system selection is based on systems that perform well in out_of_sample plus in the in_sample then this is equuivalent to a system that performs well in the full sample.

If you want to design trading systems NNs are a total waste of time. Consistency is the key word here. For each different market the neural topology is in principle different. NNs tend to perform in unpredictable and inconsistent manner. Data mining for rule-based statistically significant...