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Thank you to the "ET brain trust" members still with me on this one ... To re-cap: I am investigating a systematic strategy (stock swing trades, daily bars). When backtested against individual NASDAQ 100 stocks, the strategy sometimes trades only a low (i.e. single digit) number of times...

Stoxtrader and intradaybill, many thanks. So it would be "curve fitting". Fair enough ... No, the improvement in backtest performance is not earth-shattering ...

Sub punnying Hit the blid and offal

Lumit Udder

To the various thread contributors, thanks for your helpful and insightful suggestions! As a result of the above, I've determined that the NASDAQ 100 stocks less 24 of them (Biotech, 10; Healthcare, 8; Media, 4; and Transportation, 2) would have performed better than trading the strategy...

Read this one 10 minutes ago, and I'm still chuckling .... Thanks!

My favorites: the two Ugly Step Sisters, Fear and Greed ... I guess Goldman Sachs would be poor, little Cinderella

Guys... ... It's Christmas ... ... the Season of Good Cheer ... Please ...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=210892&perpage=6&pagenumber=1 There may be some useful stuff for you in the above link ...

What are your thoughts on the following formula for “allocations”? Capital to be employed for instrument ABC = (average capital available daily for the strategy across all instruments / average # of Nasdaq 100 strategy positions expected to be outstanding on any given day)...

Fund managers hedging an equity portfolio?

Thanks, wasn't aware of that .... "Auto Chase will automatically adjust the price of a limit order as the market moves away from it."

Apologies to the OP for this interruption, but please could psytrade expand on the above comment? Thanks.

I’m working on an automated intraday mean reversion strategy that scalps pennies per share. In relation to the order queue precedence of my target exit order, I am faced with the following challenges... As it’s a mean reversion strategy, price action will have swept through the target...

Many thanks!

Why significant price differences? Thanks.

I ‘m wondering whether there’s a way to save myself unnecessary work... but my maths and statistics aren’t good enough to figure this out for myself! I rely on Sharpe Ratio as a go/no-go metric for further detailed investigation (and eventually trading hopefully!) of any system. If...

Thanks, intradayBill! How would this work? Is it something along the lines of "if instruments A and B trade on same day, and A has ATR = a, and b has ATR = b, then allocate a/a+b of capital to A, and b/a+b of capital to B? [... and aren't you in continental US? In which case what are you...

Great suggestions, thanks.

Thanks!