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Is historical intraday book data available? I would imagine it to be extremely expensive and would require enormous storage... It would have to be just snapshots of the book on the minutes timescale. I am sure the big players have thought of this and are already collecting.

Good point: you could look at the spread and estimate the slippage based on some percentage of that spread at the time. The problem with this is in back testing you don't really have the book data so it's difficult or impossible to implement.

Commission may be trivial to include, but the consequence is non-trivial and in fact in most cases dominating. Yes, estimating slippage is the key -- as in, run your back test, then run a live forward test, then compare the executions (your theoretical entry exits in your back test versus the...

Yes but "worse fit" "best fit" depends on your metric, aka objective function. If you are saying that in the RMSE sense or L2 norm, then yes weighting will make it worse. However, min RMSE doesn't necessarily imply optimal fit for all purposes such as when you are trying to optimize profit.

I wasn't looking for an explanation. I just wanted to know exactly how much you are using.

Okay here's an attempt from someone who hasn't taken finance 101: when you buy something, anything, you would do some research to make sure you are not overpaying for it, and ideally you would like to find a bargain, i.e., pay less for what you perceive as the value of the thing you are buying...

I think he means weight the importance of the data when using it to train (aka fit) his parameters, i.e., give it more weight in the objective function that he is minimizing to get the best fit of his model on the data.

Actually a 10% success rate is way easier than making it big as an artist, a musician, a professional athlete, an entertainment star, a CEO of a mid-sized to larger company or may be even a medical doctor.

I saw another thread on PF charting and started thinking about implementing automated trading using PF charts, i.e., discretizing prices based on box size, categorizing upswing and downswing based on 3 box reversals, detecting typical patterns and using the charts to set entries and stops -- may...

Well, when you put it that way it does sound like a function. I guess such problems occur when the millers have too much power (e.g., a monopoly). I guess in a non-ideal world, the speculators can step in and create a market that is locked up. Okay may be you guys win.

I do it as a game not a service :D Again, just my opinion, I could be wrong as I have been many times in the past!! Everyone has a calling and a world view. To each his own.

Farmers miners ranchers and CFOs don't need to trade short term. Prices would not fluctuate so wildly and should track fundamentals if it weren't for all those liquidity providers (aka speculators) out there. Markets will adjust to fundamentals in a world consisting only of investors. Investors...

I don't think I'm being a pessimist here, just being logical; not everyone can win in the market. In a small town school, it might be okay to give everyone As and Bs, but when those kids get to college and then later start working in the real world, well reality might just hit them in the face...

while we are at it, let's include touch, taste, and smell. we see the downward spike, we feel a pinch in the arm. Then a foul odor starts filling the room while you get this bitter metallic taste in your mouth.

Okay, may be this is easy -- can someone please explain step by step if everyone started to follow price action rules, how those signals will lose their edge? For example, say there is a double top. Everyone sees it may be 5 minutes after it's formation. Then everyone goes short, but some...

The way I see it is this: if you don't do anything better than your competition, then you will lose money. You have to be doing something better than others. Otherwise, everyone will be making money and that's impossible. That's what I call an edge.

My theory is similar to yours. I believe traders are the most nervous and insecure bunch of people on earth. They are so freaked out about losing money they don't have any idea what to do except to look at what everyone else around them are doing and then act accordingly. It's sort of like, the...

I don't know, my risk management says that potentially being sent to the slammer for a few years is too much risk.

Notice that's why the word "may" is used in the last sentence and the disclaimer in parentheses. I am well aware the converse is not true.