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Very cool - I've been a developer for a little over 30years myself (I was a video game programmer in a former life). Some of the real time techniques used in most games actually translate over to trading bots surprisingly well (thank god I don't have to code the stuff in 6502 asm). I...

Sorry, my bad. But very cool - I've made a similar journey (I've been at it for ten years though - I'm a slow learner). Sounds like you already know your stuff, but if you haven't already, check out "Biologically Inspired Algorithms". I came across it about five years ago and it really blew...

Well, I guess the meeting was productive. What happened, exactly? Is Ben out there in his chopper dropping bundles of newly printed hundies over the masses? (sorry, I'm talking to myself again - I'll stop now)

Thanks for the reply and comments gusta. (I'm not sure how good I am today - I'm currently getting spanked. Will someone please remind the Nas100 to remember to mean revert after the Fed meeting?) Anyway, assuming you're just getting started backtesting systems, here's some book...

That's actually a very valid point. The tests definitely assume that exits are 100% decoupled from entries. Plus, the exit strategies tested were purposely selected to be very simple and not based in any way on prior price history, before or after the entry. But I'm not sure this completely...

Thanks for the reply, ucf. I actually have that issue sitting here on my desk and have read the article. Its actually one of their better articles, IMHO. If memory serves, they tested a random entry with various indicator-based algorithmic stops, but found that a ATR-based trailing stop...

Hi, thanks for the reply. To answer your questions: 1) Trading with Zero Edge = Simulated trades in a synthetic time series that is totally random, ie: where there is no possible edge. All trades should therefore have a zero expectation. 2) Trading with a Positive Edge = Simulated trades...

I totally agree. Intuitively, the scaling out exit gives up absolute gains in return for lower drawdowns and therefore smoother equity curves. The test appear to confirm this as the scaling out exit's stddev of trade returns was generally the lowest among all the exit strats tested. But one...

Thanks, am8 - appreciate the comments. It certainly does appear that the best exit strat is simply to hold as long as possible (as long as your edge persists). One of the themes the market seems to constantly resonate over the years I've traded it is that the simplest solutions are...

Thank for the reply and kind comments. Its encouraging to hear others who have made the same journey confirm some of the same conclusions. I have found simple MOC exits seem to work best in my live intraday trading. But I'm still surprised that the humble timestop pretty much spanked all...

First time poster, long time lurker here. I've been able to extract some decent information from this site over the years, and thought it was time for me to finally get off my ass and give something back. So I was reading Buy1Sell2's mammoth "Inferior Behavior" thread the other day, which...