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Parameters are not necessarily trading "indicators". (Personally, I believe indicators generally useless for trading and, obviously, the more indicators one has, better can be "curve fitting" to past data.) "Parameter" can take another meaning. For instance, the order size, the scalp size...

Hi DustyFoot, fighting overfitting is the greatest single concern a strategist has. So before metrics, it is important to make sure that the experimental model will not allow <b>curve fitting</b> (which is by no means trivial). As to metrics, apart the classic metrics which have been...

Because it's not worth, in my humble opinion. You would pay a fixed amount for something not necessary, and, what is worse, even "conceptually" misleading. Further, trading actively such timeframes, the drawdown can be, potentially, unbearable for any investor (or one needs to trade very...

Hmmm, taking "several" as >= 2. That would be >= 20 ticks per seconds. I am following market realtime and i am not seeing that. For instance, for futures contract ZB, it would be a variation worth >= 625$ per second. And even if i saw that, i frankly don't believe in strategies which attempt...

Superhuman patience and persistence over years and some brain. :-)) Tom

My basic recipe is first find a profitable strategy and, then might perhaps begin to think if your latency really might represent a problem. I am trading from overseas and frankly I don't see how a 100 ms latency could ever represent a problem with any sensible strategy. Further, if really...

That's true. If not even the creator of the program is able to provide a profitable strategy, how could one expect the the final user, who has a little clue about what is going on (and problably 1/(10^6)-th of the specific knowledge of the creator :-)), will be able to be profitable ? Tom

Right .NET is perfectly fine for the purpose. Some of my "users" are still wondering how i can process so fast amount of data like 100 or more years of millisec tickdata without minimally blowing up or taking much memory and with such incredible speed in a totally graphic environment. Well...

I have a purely "mechanical approach" and have been sharing a lot in various threads here on ET. With both live and simulated results, under various random walk hypothesis. Here is the last one: http://www.elitetrader.com/vb/showthread.php?s=&threadid=208265&perpage=6&pagenumber=6 Actually...

CT LS results (no hedgers) (running from wed) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3065553" />

CT T LS E results (running from wed) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3065471" />

CT T LS results (running from wed) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3065436" /> (image reduced from 1680 to 1000 px width) [If interested in looking at the single trades for each intrument, PM me I will send a complete report.]

Hi friends, I have to give a corrected version of my (random) simulations. In fact, i found an error in the generation process. That was due to the fact that i used the equations generally available on various sources, like for instance...

Thanks auspiv and rew. Very interesting contributions indeed. :-) Well, without arriving to logical paradoxes where 2 losers are turned into a winner, I suspect that in general a "combined" strategy of 2 losing strategy, is not - in general - a "bigger" losing strategy. In fact, even losers...

Right rew, thanks a lot for the interesting insight. It's true that this is build as a <b>memoryless</b> process and that "If you are at a new low the price is just as likely to keep going down as it is to go back up". However, if you look at the set of <b>paths</b> (and we trade entire price...

Hi drm7, thank you for the inspiring input. Yes you are right. Coordinating the two components CT and T (trend system) is actually what motivated the latest efforts and assessments to determine which T games work best with CT. In fact, i felt that past data provided too little information...

My friend, those are not "combinations" of strategies. Perhaps my english is not much refined, but i think i have made clear that each one represent a different class of strategies. Nor they are "losing". You need to watch the performances within each timeframe. The effect of the...

Hi friends, thanks a lot for your support and much interest. I think that exploring also the results obtained with random walk has been useful to clarify some ideas and understand better some features of trading mechanics. On some article on the web i have read some <b>aprioristic denial</b>...

I have completed a first round of experiments with the GBM. This is a first set of strategies with corresponding performance assessment on GBM: Long Short with "Hedging" (T game): <a href="http://www.datatime.eu/public/gbot/GBM/Strategy CT_T_LS_1/Strategy_CT_T_LS_1.htm" target="_blank">...