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I'm trying to learn EL - maybe someday I will have TS to test my ideas, but first I want to know is it possible to write them in EL. My questions are: 1. Can I use "Q_Ask", "Q_Bid", "Q_Last" etc. for strategy backtesting using historical data? 2. Can I use those "Qs" as a Stop order...

I think it's good to summarize all information we have about brokers who offer automated system trading. Who offers the best, cheapest, simplest program? IB with it's FIX protocol, OnlinetradingSelect with PerpEtrader, eFloorTrade with AutoXecutor, PMB or eLocal? DT-waw

Does it work with Tradestation 2000i? Anybody knows? Looks like Tradestation 2000i is one of the best programs for system backtesting & developing. Another big issue is what's the best broker for fully automated system trading. I will start a new thread about it. DT-waw

Earlier on this thread I wrote, that "The market behavior is very complicated, and it's impossible to describe it with few simple parameters. It can only be done by human brain". As you can see reading my last posts, I've changed my mind. It's possible to describe historical prices behavior...

voodoo: "You can optimize a positive expectancy system, you can't 'optimize' a loosing system into a winning one" I give an example. Your trading system produce following results in points in 5 periods: +20, +20, -20, -20, -6 Total: -6 pts. This is negative expectancy system. If your...

jaan is right. Or at least your % return on the account in the long term is the only thing that matters. Not P/L in dollars. I've seen on CNBC in Nov or Dec 1999 an interview with a CEO of some index fund which invested only long in nq100 futures. The fund had amazing returns. But it doesn't...

Hitman: Wrong again, you do not need a 10 point continuation to make money, you are carrying a load of baggage from the breakout day's of 99 and breakdown day's of 00, in this market when I see a 10 point move to one way I would rather go for the other direction. 10 point was just an...

:D :D :D my friend told me to buy ARTG... hmmm... I saw the stock on the buying list somewhere on the internet... hmmm... I will buy it. Yes, I think it's a good decision. Yes, very good. After 2 days. Oooh yeaah! I made 10 cents on ARTG! I'm a good trader! :D Now, I look at the chatroom...

First, I'd like to say that: You can have a good result not because you're good at trading, but because your strategy had worked with some certain market behavior in the past. That market behavior is beyond your control. I give an interesting example. We have a following game. Computer...

With good fully automated trading system "areas where traders struggle" did not apply at all :)

Hitman: Imagine you're in my situation: You have done paper trading tests which were very positive. You want to trade US stocks. You don't have enough money. You're trying to get funds to day trade. You're trying to know everything about the markets, trading, psychology, etc. You're trying...

jaan, system you described is not a specified system. It has no criteria of opening and closing long or short positions. Why there're only long positions? What situation must occur to open a long position? Your "system" doesn't answer to this question. It's a pure gambling. Yes, it is some plan...

jaan - yes, I must clarify something. I will call somebody skilled if s/he, make a positive result on a big number of trades <b> but only, when s/he trades with some method/strategy/system. </b> If somebody trades without a system (random entry and exit) end makes a profit from 5,000 trades...

Sabena: Deep Blue computer is better than a human brain in chess. In chess, there're 10^120 variations per game. [ check: http://www.mssm.org/math/vol2/issue1/blue.htm ] How many up and down stock price moves - by, let's say 20 cents - are in a single day on average? Maybe 300. BTW: it's...

IF market is random > expected P/L of any strategy or system =0 > there're no "skills" > results depend only on luck. Now, I want to know weather market is random or not. IF some system or strategy has a P/L far away from expected 0 > market is probably not random > luck is not the only...

Economy moves in trends. GNP, inflation, unemployment numbers move in clear trends. But financial markets... If majority of money is traded with a direction of economical ( political, financial, etc. ) trends, there will be no ( or not sufficient ) money on other side of a trade, the number of...

Uuuh... so nobody knows how high is the 2nd type of luck. everybody agree that 2nd type of luck exist? We are getting close to say, that it's impossible to verify weather any trader's strategy or trading system results are made by luck or skills!!! Voodoo - thanks for clarification. :)...

Commission costs are completely different story. If your system has: # trades: 20 # of profitable trades: 10 # of unprofitable trades: 10 av profit: $20 av loss: $10 Commission costs per round-trip: $8 then, net P/L is negative. $200-$100-$160 = -$60 System with fewer trades, but...

I give an example. You have 2 systems: 1) # of trades: 10 % of profitable trades: 50% Av profit: 2.33 Av loss: 1.00 Total P/L : 6.65 2) # of trades 100 % of profitable trades: 50% Av profit: 2.33 Av loss: 1.00 Total P/L: 66.5 What's the probability that the first system will...

Privateer: I think that luck and probability come together. If you make 5 trades, impact of luck on your final P/L is greater than with 500 trades. It's difficult to count an impact of luck. But it exsist. Each strategy works on some certain market behaviour. Let's say your strategy made good...