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There is no limit imposed on how many symbols you can backtest. Depending on whether or not your question is "how many symbols can I test AT ONCE?", then there may be performance issues (like any software) ... but this will also be down to hardware as much as to software. And NinjaTrader is...

Having lots of parameters means many degrees of freedom to match trade entries and exits serendipitously with price action. So the performance appears good, but not because the strategy with those parameters has any predictive power or statistical edge; rather it’s because 10^7 parameter sets...

Backtesting of automated strategies is more common with Time & Sales (i.e. "ticks") than with Level II ("full order book"); the historical data is easier to obtain and cheaper. However, in terms of being able to model fills realistically, full order book (all submits, executions, cancels...

Partly, this is a function of the time frame you're trading; if you're a swing trader you might leave your limit order in place for longer than you would if you're a High Frequency rebate trader, etc (because the set-ups are more fleeting in the latter case). Also, your latency/distance to the...

So it's a demo account. What steps are you taking to ensure demo fills are realistic?

What do you mean by "slipped"? a) You deliberately did something you shouldn't? b) You acccidentally did something you shouldn't? I'm guessing (a) as you posted this in Psychology... If so, find a way to disconnect yourself from the monetary "meaning" of the money your trading, so that...

+1 (still good after all these years!)

RN's summary looks great! But what does the following mean? Can you expand on this? Thanks

Thanks for sharing. My 2 cents ... The series price[bar] - price[previous bar] for each asset will show more % variation from bar to bar than price[bar] - price[first bar in series]... Wouldn't this fact alone give you better correlations for the two price[bar] - price[first bar in...

So when would you exit? Only when it goes to your stop?

http://en.wikipedia.org/wiki/Taleb_distribution

Doesn't this assume there really is no stop? If however it's an intraday strategy that does have a time stop (i.e flat by the close), and which only takes a single daily trade say at the open, there might be a positive average trade over time ... but possibly not, and certainly not worth the...

http://www.amazon.com/Future-Babble-Expert-Predictions-Worthless/dp/0525952055 "In 2008, experts predicted gas would hit $20 a gallon; it peaked at $4.10. In 1967, they said the USSR would be the world's fastest-growing economy by 2000; by 2000, the USSR no longer existed. In 1908, it was...

Not a thread title I ever expected to see in "Data Sets and Feeds"! LOL But yes, is interesting... thanks for sharing ... I guess "number of messages" loosely relates to trading dimensions like "liquidity", "presence of HFT players", etc ... No? No surprise that ES (Channel 7) is high...

Another quote... Distributions that would not be expected to obey Benford's law .... Where numbers influenced by human thought: e.g., prices set by psychological thresholds ($1.99)...

A nice quote from your link .... "Macroeconomic data Similarly, the macroeconomic data the Greek government reported to the European Union before entering the Euro Zone was shown to be probably fraudulent using Benford's law, albeit years after the country joined."

Could be any number of things... might be some of the following ... 1) "slippage" - your demo trading may not have accounted realistically for other traders competing for the same prices, many faster than you; therefore your demo traded market orders filled at better prices than your real...

So as to better understand the scope of what's required and to also stay focused on the "end game" in all the above, can you point to some good, real life examples of differential equations applied in quantitative finance... ?

Just touching base a few months down the line... did your research project reach fruition? Are there any results you can share here?

+1