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I design (and trade) intraday systematic strategies (for automated trading of US stocks). Each time I start work designing something new, I begin under a sort of guiding assumption that long set-ups may be treated simply as mirror images of short set-ups. Therefore, I design my strategy to...

Yes, sure trades are not taken randomly; there’s usually (always!) a reason (a signal) for taking a trade. But no manager can always know with certainty in advance the precise outcome of every trade; sometimes it will be a winner, sometimes a loser. This is what introduces something akin...

Thanks.

Thanks. Why is the assumption of zero-serial correlation violated in the system case examples you identify (i.e. trend-based systems, Support&Resistance, overbought/oversold levels)?

Yes! Many thanks.

STFP?

As both tomahawk and BSAM indicate above, this question can be answered either in terms of market microstructure, or TA, and probably in other terms as well ... market microstructure What is resistance? It’s a price (or range of prices) which the auction seems unable to rise through...

Very clear article. Many thanks.

I'm interested in what gives an instrument its own specific character from a price action perspective (see http://www.elitetrader.com/vb/showthread.php?s=&threadid=215986 ). In your view, Handle123, what is it that gives ES and Crude Oil these distict characters?

If there is one, my guess is that it would be here: http://etfdb.com/etfdb-category/europe-equities/

Thanks. I believe you are stating that Monte Carlo simulations aren’t useful for timing trades. If I have interpreted this correctly, then I don't have any grounds to disagree with you; as far as I can tell, the “Random Equity Curve Generator” doesn’t provide any insights into...

Makes sense. Thanks for the clarification, and further detail.

The following “random equity curve generator” has been referred to many times on ET: http://www.hquotes.com/tradehard/simulator.html IMHO, it provides various insights for the systematic trader. For example, I would propose the following two: Insight #1 – “It’s folly to...

Best I can recommend is read Chapter 14 ("Bid/Ask Spreads") of "Trading & Exchanges (Market Microstructure for Practitioners)" by Larry Harris. At a very superficial level, understand that what you likely see as bid/offer spread is BBO ("Best Bid and Offer"), i.e. the tightest spread...

Q: How many squares are there in chess? A: Two, plus the spectators

Thanks, I think that's a fair enough point. In the specific case I am dealing with though, I believe I have enough data over enough time to rule this out as the cause.

Thanks, intradaybill. I find it incredibly difficult to trade something that hasn't been successful over the entire period I have been able to backtest it over; without knowing it has "always" been successful (at least as far as I have been able to investigate), I can't develop enough...

Thanks for the response, NoDoji, and thanks too for sharing that you have identified something that works for both. In my case, it's an automated intraday mean reversion strategy (yes, my own, original work!) that works well on SPY (i.e. acceptably decent Sharpe Ratio over several thousand...

Thanks. I'll try QQQQ, GE, IWM, SSO, SDS, etc ... and EFA, EEM? Why would you discount these instruments? Why would their price action be so different to that of SPY? [Apologies, if all I achieve is to expose my ignorance!] In time, I may do so... But I am hoping to direct initial efforts at...

Yes, I think this will be the crux of the matter. Thanks. ... so I clearly don’t understand as well as I should why it works with SPY in the first place! What I have assumed (up to now) is that any widely day-traded instrument (such as SPY or F) will be subject to roughly the same mix...