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Why?

Apologies to those earlier posters who's words I'm just repeating, but ... Your statement ("...should only happen less often than ..." etc) is only correct if price distributions are normal Gaussian distributions. If they are not (and it's accepted wisdom that they are not ... i.e. price...

+1

There is a whole thread of "unsupported" NinjaTrader stuff here ... http://www.ninjatrader.com/support/forum/showthread.php?t=22435&page=9

There are examples of the "writing-a-text-file-from-NT" part on the NT support forum ... http://www.ninjatrader.com/support/forum/showthread.php?t=3475

http://www.ninjatrader.com/Advanced-Charting-Features.php Various pivot indicators are available (in the standard product, or downloadable for free from the support forum).

Ah, OK, that was a point I'd misunderstood. If the 31k trades use all entry and exit mechanisms (so not just entry signals hitting equidistant targets or stops, but also entry signals being reversed by other entry signals, or being flattened by flat signals, etc), then I don't think you can read...

If my understanding is correct, that your "entry" measurement shows the "%-of-entries-that-hit-the-equidistant-target-rather- than-the-equidistant-stop", then yes, I think there is statistically sound basis for being confident of an edge with the entries. 31k+ trades, average trade > 0 ($67...

Sorry, not clear to me what the difference is between how you take these two measurements...

Another thing to bear in mind is that Last Traded Price (LTP) backtesting (despite steps that can be taken to improve the general realism of fill/slippage assumptions) suffers from the drawback that it takes no account of whether the LTP was at the bid or the ask, and therefore the “spread”...

I'm guessing you're 1. testing with NT 2. with a 1-tick/1-second secondary time period 3. with BetterThanDefault fill type 4. with some slippage assumptions I'm guessing you’re doing something like the following calculation... take, as an example, case of a long trade, with assumptions...

My turn to say "I may have misunderstood", but I interpret the above to mean that "target is 1-tick closer to entry than stop is". No? Are you assuming something different on account of other unstated slippage/fill assumptions?

Here is a good jobs board ... occasionally something comes up for China. http://www.wilmott.com/jobsboard/

Many thanks, for chart and link. The posted 1-min chart shows ES dropping 25+ points over approx two minutes after “08:03 CST”, and then trading nearly 30 more mins before the limit down. I wonder if (with the increased prevalence of algos/HFT today) a move like that would be quicker and...

Many thanks.

Apologies to the OP, as this is marginally off topic (but is related to dom993's post above) ... dom993, Can you explain again the workings of your "BetterThanDefault" fill type. You have mentioned it in other threads, and my understanding is that it provides a case somehow in-between the...

I'm coding some custom order management / handling for unattended automated ES trading during Globex hours (by which I mean between specifically 16h30 -> 09h30 EST... so it's "unattended" because I hope to be asleep for much of that time!). My biggest concern is an unwanted fill during an...

What equation/s using standard deviation are you attempting to work with? Perhaps the following is coming at this from the wrong direction relative to what you're trying to achieve, but perhaps think of margin as the equity level below which ruin occurs?

+1

-1 Performance statistics like these are typical of a mean reversion strategy (as opposed to a trend following/momentum strategy). See http://arxiv.org/abs/physics/0508104 It is true that a string of consecutive losers creates a big drawdown that it takes some time to win back; so the...