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Besides, This shows the exactly same machine, same program instance, with datafeed arriving normally (not NYMEX, but Globex), right now. So this does not look like the effect of the "rule" enforcement. Unless the rule holds for Nymex only. Does it ? [This has not happened recently...

Thanks. I see. Apart the fact that personally i don't consider this "rule" as a progress (and I as many other users would be very happy if things were restored as they were) the strange thing is that i am receiving normally ALL the other tickdata. Only Nymex tickdata is being affected...

I have been using IB paper trading for years with multiple machines. I have seens quite occasional issues, but usually worked fine. On March 1 Nymex Tickdata stopped coming in. Contacted IB and a very smart Guy named "Frank" quickly answered he had already identified the problem and was...

Here is the spike (CL) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3130861" width="1200" />

No dd so far: Oil (cl, qm, ho) spiked up. <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3130845" width="1200" />

Mini folio is proceeding so far with some good luck. It shut down around 10:20 to allow moving the game with mkt. <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3130428" width="1200" /> Tom

Raised another K in the meantime. Most lucky performer is SI. Sooner or later we should see a vast dd and some inversion ... ;-) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3129873" width="1200" />

Just restarted a new session (15 hours). SI and CL grabbed rapidly some scalps (exceeding 4K). (on suggestion by Pocket, added NKD to see if gets wilds and study the hedging rules. No discretionary bounds defined) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3129286"...

Thanks softdown for asking. My main focus on this thread was discussing new strategic rules, especially hedging mechanisms, with you experts of ET. I consider invaluable the feedback of you people. For this reason, and to honor this excellent site policy, i kind of avoided to make...

In particular, this is what happened to MJY. <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3127641" width="1200" /> (as we already know, vertical red line is a rollover instant) This is also an interesting table from CME with E-micro Futures Contract Specs...

The <b>micro</b> folio instead had the MJY, so had some consequences, loading up positions ("drawdown = investment") and then taking profit: <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3127364" width="1200" />

Yesterday yen had a large spike. I did not have consequences in the mini folio, as i am not trading it. Most lucky performers are SI and CL. <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3125390" width="1200" /> I had some ideas for new strategic rules. Such as giving...

Right. :-) I would add: Forex: you will have the illusion to have enough capital. The end either (a quicker one) ;-))

Well, i think the right word is more like "quant" (or "strategist"). ;-)) Clearly, if you trade a system where you allow only short (or long) entry, for sure your position can grow very high (you are essentially <B>"martingaling"</b>, which will lead to account liquidation). I am not sure...

There is somewhere, i think in the previous thread, a legend for <b>order symbols</b>. These symbols are made up. I use: blue = BUY maroon = SELL circle = global position was zero before order square = global position is zero after order triangle = global abs position was not zero...

This crash is just a joke compared to what happens with random data (Geometric Brownian Motion, etc.). So you understand why i only trust this kind of <b>robustness analysis</b> done with random generators. Personally, I would never trade anything just because I see some history of good...

this is RLM crash in detail, just to see the action (the hedging mechanism can be changed at will: this is the current default)

Hi Moon, I am just in part responding to your wish, by providing the results of the bot backtested on the 2 weeks just before and including the flash crash. This data is not mine but was given to me by PocketChange some time ago. This is the bot behavior as is now, "default" strategy, with...

Hi Moon, I don't care much about producing that chart for a simple reason: that no matter how good it could be, I would not believe it ;-)) ...i mean it would be irrelevant. Because it would just be 1 run on 1 single price realization. Nothing that can really mean anything. I did run some...

The strategy played has nothing to do with any period or optimization. I determine strategies based on (real time) random data. Then that strategies are applied to the real time data. If you run the bot on past data you can use any strategy you like and see what it would have done. My...