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I would argue this is where there is a potential edge -- you are saying that certain strategies can be done by a human trader, but cannot be done by code at least using today's knowledge. If that's the case, I think there is room to profit, because every day new algorithms are born that are able...

I have to admit you might be right on this one. I have always been a contrarian / fader in all aspects of my life.

At least for me, I don't use any standard platforms for back testing. I use R for quick analysis and python for back testing, a custom ATS for simulated and live trading with IB. For data, I have my own database that I built containing some purchased data as well as recent updates from IB. My...

That is a good point: a sensitivity analysis of your PL with small changes to parameters can at least show if you have a curve-fit system. If you can make small changes to each of your parameters and compare the PL on those and if the PL changes drastically then you have most certainly fitted...

I guess a major flaw with this type of polling is it's not anonymous. So I guess I don't expect serious replies. If only we could allow multiple selections in the polls...

I think walk forward only means something if you are optimizing your parameters to a past subset of data and then fixing them for future trades. To me it's almost identical to the out-of-sample testing that you had already done. Of course, a possible wrinkle is that if you believe your...

At the risk of starting a flame war here, I am not sure what you mean by "manage" your exit. Seems to me there is a prediction hidden under the guise of management. You are looking at the price action after entry, and you are somehow making the decision to stay in even if there is a "small"...

Why do you think you have an edge over your competition? Since the poll mechanism doesn't allow one to choose multiple items and I am sure people will not want to just pick one, I will just ask people to reply and say which ones are important for them. 1. you invented / validated a completely...

So may be the distinction of TF with just pure price action is that in TF you never fade, whereas in pure price action trading you are open to following or fading. I suppose TF people argue that fading is a form of prediction and is a big no-no. Of course, the reality is TF is also a form of...

I think this will be the experience for the vast majority of traders in all their lifetimes. Almost all viable methods that worked up to now have likely been found. However, there could be newer edges that arise due to changes in the market -- e.g., in market regulations, international affairs...

can someone please define trend following? thanks!

Just one question: do trend followers not use price action to decide entries and exits?

Oops, yes, duh, had a mind block on that one and obviously I don't use that strategy. I guess we need to redo the poll, or ask people to reply this thread and say TF and we need to add up. Sorry!

Agreed with HFT, you would need to invest large dollars upfront for infrastructure, more than the available capital of your average ETer. However, I believe some professionals/insiders do post on ET, so I was curious. For stat arb, I don't think it's out of the realm of ETers. I think there...

I am debating how to interpret this information once we get more votes. The method with the most votes might be the best to follow as many claim it to be the most profitable for them. On the other hand the contrarian would say avoid those like the plague, and go for the one that one no one is...

I would guess that stat arb is the more general and usually larger scale version of pairs. I believe in stat arb, you are dealing with a basket or porftolio of instruments rather than a simple pair and you are spending significant amounts of time figuring out how to combine those to create...

I would disagree with this statement. Using 1 or 10 minute data does not dictate how often you should trade. I believe you can monitor 1 or 10 minute data, but make trades sparingly according to certain models. In fact I think non-prop traders will likely make more money this way than to scalp...

Can you plot it with dates on the x-axis? I want to see what month and day it was when your PL started to shoot up at around 150 trades or so. I have a similar system that does this and I am at the moment very skeptical of it. I have others that don't show this type of behavior but they actually...

One thing that puzzles me is your PL curve hardly shows any draw-downs even when your sharpe ratio is low, and your win rate is in the low 60s, especially when your average losses are larger than your gains. I would have thought that with those stats, there would be more visible draw downs.

I think it's called a bull market. these can be followed by bear markets or sideways markets. just look at a 5 year daily chart and I think you will see these skewed stats in both types of markets.