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what is your commission for trading ES futures? thanks.

Not errors, just fluctuations that I don't care about. I am specifically interested in the SPX. So if you just looked at every bar and it's neighbors, then almost every other minute will be a peak or trough of some kind. Obviously I need to define a timescale of interest. Most of my strategies...

What is your favorite way to detect local minima / maxima on noisy timeseries? For example, if you looked at every single bar that is above it's two neighbors, that would create too many peaks. You could smooth the timeseries using an N-minute centered average or you could also use an N-minute...

By the way, I also know of this package: http://www.knime.org/ I am thinking that may be I can use this to organize my code. This might be a lot of work as I probably need to define a constant interface between data readers, analyzers, and output modules but the beauty of this is once I...

I essentially do this with python but with a little more structure. I have several base classes with re-usable code snippets defined as methods. I derive new classes from there. It is very little overhead compared to independent programs but it is a little more work. I used to do all my analysis...

Yes, this is one of the first things I also noticed when I started looking at the markets. I found this not only applies to price/volume or volume, but to the profits per trade for pretty much any algorithm. This told me that you can try to bet on the high occurrence of a lot of small position...

Thanks kut2k2, you are right, I just replied a post there.

This is so true. But I might add that some, in fact perhaps the majority of the population, lead a peculiar life trajectory that is counter to this philosophy. That is some people (like one of my friends) can survive and sometimes even thrive with the most superstitious and non-scientific world...

Java, mySQL, Python, R

I appreciate this discussion -- it's like a breath of fresh air compared to wasting hours and hours arguing whether statistics and probability theory should be even considered at all when devising strategies. I agree with the problems of IBs tick data. And it's not only their ticks that are...

hi braincell, thanks to your probing questions, I have actually realized something: since I am indeed sampling the data, the frequency content of my signal now contains higher frequencies folded down to within the sampling frequency -- i.e., aliasing. I am not sure if this helps or hurts at...

hi braincell, yes I do understand the minute bar discretization is not a real low-pass filter -- however, the act of using 1 minute discretization is mathematically well defined and well understood; in DSP this is basically a uniform discrete time sampling and the frequency characteristics of...

I am generally of the same opinion -- specific rules that you can come up with usually perform much better than relying on a machine learning algorithm to learn the patterns. Usually humans do a much better job at perceiving relevant patterns but testing is absolutely critical because humans...

Actually I should back up and say, there is a good reason for me to use minute boundaries (bars) for trading as opposed to triggering using the streaming last tick value. The reason is that the minute bars act as a crude low pass filter or smoother that prevents triggers on extremely rapid and...

Thanks! Same to you and everyone on this board!

hi braincell, That is an interesting idea. I haven't ever considered going to that extent because I deliberately make my IB trading algorithm trigger only on minute boundaries -- but there really isn't any good reason for doing it that way other than that I can match it up well with back...

As I said, until you verify each and every trade even for a short period in your forward tests, you really cannot tell what is going on. Sometimes, the back test will miss a signal entirely if you are using some kind of hard threshold in your signalling, just because of a 0.01 price difference...

I worked on a statistical modeling / classification project once in my day job, and I tried out clustering, Bayesian methods, SVMs, logistic regression, neural nets, and SOMs. After two years on the project, giving a few talks at conferences, and writing a patent on the particular application...

By the way the reason I started talking about slippage and commission after you (braincell) mentioned the high number of trades is because slippage and commission make a huge difference especially for algorithms with high number of trades -- I think it's pretty obvious but I never explicitly...

hi ES, thanks for your reply -- I understand that this might be a controversial topic but I was too curious not to ask. I would say this, not to doubt any of the back tested graphs that you refer to, but at least in my case, I have found that the results of back tests (the PL curve) is an...