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Add a secondary time series (e.g. ticks, or 1-second bars, etc) that's not Renko; your signal is calculated off the Renkos, and your fills off the secondary time-series. Works fine.

Have you looked at striker.com?

In addition to each of the ways described by various contributors above, statistics also comes into trading as follows. A traded market differs from a mechanical system. Describing the latter’s current behavior, or projecting this behavior into the future, is the realm of natural science...

Sorry, is not a full answer to your question, but some related concepts were discussed in the following thread ... http://www.elitetrader.com/vb/showthread.php?s=&threadid=198742

And recognizing a given market behaviour as irrational is not good reason to trade against the market; at best, it's just a good reason to be more cautious and to recognize that the next time might be different ...

Certainly true!

Can the Fed continue indefinitely to pursue a given course of action regardless of other global factors that might work against it? Will the market always view the Fed's action as more important/significant than other globals factors/market forces that might work in an opposite direction...

A strategy typically performs a given way in a specific market because of the typical price action in that market. And typical price action arises because of the activities of the specific participants typically acting in that market. From a theoretical standpoint therefore, if the...

What if US deficit issue becomes a European debt crisis par excellence during that time frame? Could also happen ... http://www.economist.com/printedition/covers/2013-01-03/ap-e-eu-la-me-na-uk US budget deficit continues to grow -> Speculative outflows from US$ debt -> Higher US interest rates...

OK, so "Es la Crónica de una Muerte Anunciada" is a story about [in]fidelity and the consequences thereof. Is that the link with Fidelity Magelland Fund? Or is there more?

http://www.economist.com/news/finance-and-economics/21568741-hedge-funds-have-had-another-lousy-year-cap-disappointing-decade-going

My gut tells me there might be a market for leased strategies aimed at the retail FX crowd. FXCM now connects to NT, and I think their client base might like this sort of thing ... ... but my gut also tells me that dealing with retail offers few economies of scale; a) there's lots of...

Nice work, halcior. May you have fair winds and following seas ... In my experience, the biggest gap between backtesting and live trading can come from overly optimistic fill assumptions in the former case. A few areas where this can arise: - if you're using bar data (rather than tick...

Won't NT's "default" setting on fills (as opposed to "liberal") give you the same behaviour? Aren't stop order fills governed by the "slippage" parameter? i.e. it's in the hands of the tester to determine what behaviour he/she wants ... Yes, that's a good point; IB sim account will be a good...

Thanks, dom993. What makes an IB simulated account work better?

The ES (like SPY, the ETF) is a traded product; it's price is set by whatever price it's traded at. But, as a future contract, it's also used as a tool to hedge stock portfolios (in relation to the S&P 500 index). This hedging activity keeps its price (more or less) in line with its...

As trend2009 states, in real/live trading your limit order is sent to the exchange and joins a queue at each price. If you're placing limit orders right at/near the bid/offer at the top of the book, then you're placing limit orders right where all the action is. i.e. you're in HFT no-man's...

OK. What sort of entry and exit orders are used? market ... limit ...

Backtesting is different from simulated trading... which are you referring to? Do you want to "debug" viz a viz backtesting or sim trading?

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