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Programming is a craft that takes time to master. The universal rule of "10,000 hours of practice" probably applies. It's true that you can pick a "Learn language ABC in 21 days" and be able to write some "Hello, world" programs after a month. But an automated trading system (if written from...

It's a mathematical construct to fit a model to historical data, and use this model to forecast the future.

Both IB and MT account data, including trades and current positions, can be exported. For example, in IB, you run what they call a "flex query", which creates an xml file, which can be uploaded and parsed to extract the trading history. I think this is what FundSeeder is planning to do.

Yeah, looks like the CME feed is on.

Oh, okay, thanks, 1245. Yeah, next time I should check the CME site.

I typically start my automated system for the week on Sundays, after the market opens, at about 6pm EDT. Today, on Sunday August 24, I started it as usual, but I don't see any market data for any of the CME futures (such as ES, YM, CL, NG, GC, 6E). So, I logged in to TWS, and indeed, there is no...

Your approach makes sense to me. There is something missing, though, which is the consideration of the gains with respect to the trading size. In your calculations, you appear to use the drawdowns along. I think every system has an optimal level of leverage that it can be used with, and I think...

I think there is something more organic than simply using a static allocation (such as $2500 per contract, as in your case). I believe the capital allocation (i.e. position size) should be based on the risk/reward profile of your strategy. To illustrate, consider the results from one of the...

Right. To keep things simple, I didn't want to get into the discussion of position sizing. But the reason I am into this quest of measuring the max drawdown is because it's a measure of risk, which determines the position sizing. So these things are related. I'll post more on this later on.

Thanks, Crispy. I think a lot of people would agree with you, but I believe that assuming the "nuclear worst" leads to suboptimal decisions (and more specifically, to under-allocation of capital to trades).

I know, the term "median maximum drawdown" may sound confusing, so let me explain. Suppose you have a mechanical trading system S which made N trades, with total return R and the maximum drawdown MD. Let's shuffle the trades (i.e. do a Monte-Carlo simulation). The trades are the same, but the...

God doesn't care about the YM and the NQ. He's got bigger things on his mind, such as the ES.

EMA(N) > EMA(M), for N < M, i.e., the shorter term average is greater than the longer term average.

From the dictionary: 1. poofter another word for a homosexual you fucking poofter! 2. poofter Aussie slang for a homosexual, used first in the 60's. Now used all around the world. poofter is the same as "fart knocker"(which also means homosexual) "piss off you rooting poofter" 3. poofter...

Sharpe's ratio is 0.12. That needs to about 20 times higher before I'd consider trading any strategy.

Apparently, not today. If you want to beat the machines, you want to think like a machine.

There aren't many humans left in the ES market. I think it's about 70% machines.

That's what I thought, too. I figured that the nasty GDP report this morning (economy shrinking in the first quarter by 2.9%) would sure cause at least a 2% drop in the ES. Now I think that drop is going to happen either tomorrow or Friday. But today, the market has to squeeze the "rational"...

That doesn't even rhyme.

The "bulls" and the "bears" are the same traders, during the same trading day.