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A great systematic trading should return 15-20% annualized and has a Sharpe Ratio of 2 and above.

Good Question. Trade Execution is exclusively through IB TWS but I'm not sure about the alternative data source.

Look at ButtonTrader made exclusively for IB. It's an amazing order management tool. http://www.buttontrader.com/swf/ButtonTrader_Videos.html

Verizon Wireless Broadband is quite robust in NYC. With a USB modem on a laptop, you get ~1.5Mb/256k download/upload speed.

http://www.youtube.com/watch?v=lZc0fLZ4EQM http://www.youtube.com/watch?v=-KpqOePUXn4

Alex, is there a problem with TWS's high-frequency data quality or its order entry and management? What broker, data provider, and order management front end would you recommend for scalping ES for 1-2 points when trading over 100 round trips a day?

You don't need directory location. Do these steps to transfer bookmarks! From "Bookmarks" menu option choose "Organize Bookmarks". Once in bookmark organization window use "File" menu option "Export" to dump your bookmarks into an .html file. Similarly you can use the "Import" option to load...

Stay away from C++ if you have other choices. Although powerful, C++ has a steep learning curve and takes many months of good programming practices to master. You'd be better off using Java or something similar.

If you activate electronically too many times (possibly due to PC/OS crashes), you'd reach a maximum number of activations after which you cannot activate anymore. In this case, choose the phone activation through the 1800#. This resets electronic activation process. Another suggestion is to...

I've integrated 4 short sound clips (<1s) into my setup. Three are for the neutral, uptrend, and downtrend regimes. The 4th alerts a significant change in the trend, the market is in, which can be used an exit signal. Once in a trend, the sound alert continues to beep with each confirming price...

Thanks. I do consider higher time frames and totally agree with you. I've also found, painfully I must add, that the damage of being "tagged" in a dip goes beyond missing out the potential continuation. It's the risk of overtrading which is far more detrimental, as you mentioned.

Agree, you may have some spy processes using firefox to broadcast information. I'd suggest downloading a trial version of Zone Alarm Internet Security Suite and check for spywares on your PC. BTW, I downgraded my firefox back to 2.0 after trying 3.0.

All feedbacks are appreciated. It's great to see various suggestions although this makes the answer rather subjective. It seems there are multiple factors in managing the trade through retracements: - identifying the "value" depending on the time frame and the current regime controlling the...

Thanks guys. Based on your suggestions, exiting a winning trade immediately after a swing high is not a good practice and one should take the retracement pain and watch if the order flow resumes after profit takers are done.

I am looking for some suggestions on how to deal with retracements in a trend following setup? Lets assume you're long the market which is trending up in your favor until it reaches a swing high. What do you do next? You could do one of followings (among others): a) take profit immediately...

order ticket --->

It does not make sense to me. A typical sell order ticket has a (mkt or stop) order to sell the market + two child orders connected through an OCA group (One Cancels All). To cover your short, you have a stop limit order to take profit OR a stop loss order to cover your short with a loss. Once...

This is odd but similar cases happened to me with IB market orders by getting filled 3 ticks outside of the bid-ask range to my disadvantage!? I just let it go at that time. I've heard they do some market making as well but I am not going to speculate further. For your case, you may still...

I'd suggest MATLAB connected to your data source provider through their API particularly if you consider making your analysis more sophisticated. This requires more work upfront but gives you flexibility once things are up and running. Alternative solution would be Excel API + a third party...

Profit, although your higher returns has brought your Sharpe Ratio lower (due to the increased volatility in your PnL histogram), if you wait longer and continue to realize the same level of returns, you will see that the higher expected annual return pulls your Sharpe Ratio back up or even...