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In trading, the "house" is the global market place for capital ("the capital markets") via which money is ultimately directed efficiently towards funding good ideas and businesses, and starving the bad ones of capital resources. Traders oil the wheels of this great machine of human progress, by...

The actual rate you'll get will be determined by the difference between your entry and exit prices. To be certain of getting the 90 day t-bill rate, you'll need to hold for the 90 days. Holding for less will mean you can't be certain of the rate; it may be more, or may be less ... this will...

Many thanks!

I'm struggling to find accurate information about how the above events panned out, so please excuse any errors in the following ... As far as I can tell, all three of the above potential "circuit breaker" events occurred during NYSE Extended Trading Hours, rather than during Regular TH (as...

FYI- According to the following (see top of RH column on page 3), there was no ES limit down (here called "price limit" or "circuit breaker") during the "flash crash" ... http://www.cmegroup.com/files/May-6-2010-Incident.pdf

Many thanks for the responses.

To stress test my risk management, I’d like to look closely at occasions when the ES went limit up/down. Can anyone respond with some dates and times when this occurred, or ideally point me towards a full list of such events? Thanks.

Here are some previous threads that may add to your thinking, too. http://www.elitetrader.com/vb/showthread.php?s=&threadid=204564&perpage=6&pagenumber=1 http://www.elitetrader.com/vb/showthread.php?s=&threadid=204548 http://www.elitetrader.com/vb/showthread.php?s=&threadid=204507...

http://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889

There may be some useful stuff for you in this thread ... http://www.elitetrader.com/vb/showthread.php?s=&threadid=184307&highlight=Trend+Chop

I am based in Europe, and haven't noticed this problem. In fact I am currently (since 04h00 EST to now 07h07 EST) downloading a week's worth of tick data for multiple US stock symbols, and don't notice any slowness; seems fine. Perhaps some other aspect of your set up is the cause? e.g...

Yes, fair point.

http://traders-library.com/download/Bernie%20Schaeffer%20-%20The%20Options%20Handbook.%20How%20to%20Supercharge%20Your%20Option%20Trading.pdf See table at top of page 13

. At 75% win rate, you have something like 2% - 9% chance of seeing a run of 5 - 6 consecutive losers in a 100-trade period... risking 5% per trade puts you 25% - 30% down after 5 - 6 consecutive losers. On the other hand, if you are wrong about the 75% win rate and it is actually more...

Read Chapter 14 ("Bid/Ask Spreads") of "Trading & Exchanges" by Larry Harris. The essence is that (in theory at least) the spread will be set to include an "adverse selection component". "...It allows dealers to recoup from uninformed traders what they lose to informed traders ..."

Nice stats! Assuming a) the stats continue to be representative of the strategy's performance, b) the stats mean you are using a fixed target and stop, c) that your 75% winners were distributed more or less evenly throughout your sample (i.e. and so were not bunched all at the beginning)...

http://www.olsen.ch/fileadmin/Publications/Archive//hedgefuture.pdf

http://www.olsen.ch/fileadmin/Publications/Archive//hedgefuture.pdf

http://www.kaspersky.com/kaspersky_anti-virus

Probably a good idea also to post here if you haven't already: http://www.ninjatrader.com/support/forum/