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Manual backtest, or automated backtest? What is length of a typical trade (microseconds, seconds, minutes, hours, days, etc)? "... trades an index ..." - did you backtest on index data, or future/ETF data? What timeframe of data did you use (tick, bars, end of day)? Included commisions...

I would suggest you focus on adressing the above. IMO, you need a system or method. [But perhaps I have interpreted wrongly what you wrote above? I hope so...]

TRADING TRUTH #1: Even with a great strategy, the outcome of any single trade is uncertain (“anything can happen”). TRADING TRUTH #2: Losses cannot be fully eliminated (“losses are the ‘costs’ of the trading ‘business’”). TRADING TRUTH #3, #4, #5 …. Etc: [I know, I...

The "market" at any time is the best bid and offer (BBO). Limit orders resting at current BBO are "at the current market". Limit orders resting at levels other than BBO are "away from the current market". As long as your data feed provides other than just BBO, you can see these resting...

I believe NASDAQ does not allow subpenny orders (can anyone here confirm or refute this?); so route your trades only to NASDAQ.

A system traders' viewpoint ... http://www.elitetrader.com/vb/showthread.php?s=&postid=3488552&highlight=observation#post3488552

Whereas historical stock/future ticks represent a time, price and volume at which a trade was transacted, I understand FX ticks are different; they represent a time, and two quotes, the best bid and best ask across some sample of quotes at a time immediately after one or other of the two quotes...

+1 nice!

http://www.spreadprofessor.wildapricot.org/

Daily/weekly/monthly bars, or intraday bars/ticks?

First, you probably need to clarify which country your company is registered in? And over how many years the losses are accumulated? And how much each year, for each of the last few years?

Thanks. I don’t see any inconsistency between the two statements, yours that “asset prices are not random for long periods of time”, and the authors’ that “asset prices are very close to being pure random walks”. The authors’ point (as I understand it) is that since asset...

So is the following a correct understanding of some of the implications of the above paper? Following occurrence of a valid mean reverting trade entry signal, the most likely eventual direction of price action is back in the desired mean reverting direction, even if just by a small amount...

Are you expecting to pay the developer? Or would you be expecting the developer to accept a share of any upside? What platform do you want code developed for? Or are you agnostic about platform at this stage? In which case, which broker are you using (which will determine which...

LMHO!

I would understand this as follows: For the good, “non curve-fit” system, good performance results from uncovering some underlying truth relating to market microstructure. The performance of a curve-fit system on the other hand only appears good because of a serendipitous synchronization...

"An Italian singer wrote this song with gibberish to sound like English. If you've ever wondered what other people think Americans sound like, this is it." http://youtu.be/Ov_UksYViOc

Had an interesting conversation today with a trader (successful swing trader, with many years under his belt, currently at a bond futures prop trader). He recounted to me what his first boss had told him ‘many years ago’, which he still considers to be true … “Trading is all about...

From memory, eSignal doesn't filter tick data; the tick data you get (either in real-time, or also if you download historical tick data) is the datastream they compile in realtime from their various sources, i.e. it includes "bad ticks" (which are often trades reported late, and so out of...