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Why did it take so long? This chap managed to insult a few dozen people in his every single post.

JSystemTrader version 6.03 is now available: http://www.myjavaserver.com/~nonlinear/JSystemTrader/JSystemTrader.html Added P&L to the chart, and fixed the reported problems.

If you can make a 25% return every year, consistently and with low drawdowns, you'll be a super star, and people would beg you to take their money and manage it for them. Now, in this thread, you'll see a bunch of people telling you that they (and you) could make 100%, 200%, and in some...

Sometimes people get mystified by the notion of the machine making trading decisons and managing the risk. In reality, it's not much different from multiplying 345 by 789 by hand versus using a calculator do do the same. If you are a discretional trader and use certain indicators and rules for...

Custom made Java-based ATS with the back testing and optimization capabilities. On a Windows XP with a 2Ghz CPU, a typical back test runs at the speed of about 250,000 bars per second.

Tell me about it. This shit happens to me all the time.

I think it even goes beyond slippage. Look at the attachment. I made the ER2 market to be $100 bid, $200 ask. If Frost's bot is running right now against a sim account, I don't know what would happen. I looked at my sim account value, and predictably, it dropped from $80,000 to $7,000. If...

There is a big hole in the IB's algorithm which drives the simulated account. Take a look at the pic below. I stacked two windows so that the comparisson can be made. The top window is my real account, and the bottom window is my simulated account. Notice a huge difference in the ER2 quote...

No, I don't. I would in fact take the system with this profile and trade it, too, just like you did. I am simply pointing out how difficult it is to develop a consistently profitable mechanical trading system whose P&L would beat the market.

That's a good guess, although there is no "queue" in Frost's case, because the bot uses market orders. Or, more precisely, the queue is very short. As we all know, it normally takes less than a second to fill a market order with IB, especially if the order size is 1 contract.

It looks like a simple "buy and hold" over the same period would have returned almost $50,000 per single contract (no compounding). I am not trying to put down your system (it certainly has a better risk profile than a buy-and-hold). Just pointing out how difficult it is to beat the market. It's...

Let's place bets on Frost's bot daily performance. That way, we don't need to bother with our own bots to make money.

Just so that everyone understands what's going on, the entire opening post was taken almost word for word from an article written on July 12, 2002 by somebody named Adam Hamilton: http://www.zealllc.com/2002/spcrash.htm . Unless Michael Scott is Adam Hamilton, we have a case of plagiarism with a...

I was using the 20-year time frame for the sake of argument, which was to demonstrate that a 2-bar move is harder to predict than a longer term move. My trading position is the same as it's been since late last year: a spread between short ZN and long ES. I do trade shorter term, too.

You seem to be implying that it's easier to see two bars ahead than it is to see longer term. I think it's exactly the opposite. It can be predicted with a fair amount of certainty that the market will be higher 20 years from now, but what happens in the next 5 minutes is just noise.

According to my inside information, the bot trades based on 1-minute ER2 bars. However, this may be outdated or even plain wrong. Even the insiders are kept in the dark in regards to the very basic elements of the bot. :) The active participation in this thread, despite the obvious lack of...

I think it is slippage. As I calculated and posted before, if the slippage is only two ticks greater in live trading than what it was assumed to be in Frost's backtest, the entire spectacular backtest equity curve would collapse. From the trading stats that have been posted (less than 0.5...

I didn't have much time to go through your "proof" to find the flaw, but I believe GTS already refuted your theorem before you even came up with it. Here it is again: Price action: 10, 11, 9, 10, 12 (close of the day) Strategy 1 (without stop): enters long at 10, exits at 12. Result: gain...

I just ran a backtest. The data set was 5-minute ES bars from 2002 to 2006. I varied the length of both short term and long term EMAs from 5 to 200 bars, with an increment of 5. That gave me 1600 strategies to test. The slippage was assumed to be 0.125 ES points and the commissions were assumed...

That's true, but at the same time, the market doesn't respect anybody's "tick trading" methods, either. My bot can evaluate the price action and execute literally hundreds of trades per second, but it wouldn't make any money. On the other hand, the same bot trading the end of the 5-minute bars...