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Thanks. My guess is you're looking at historical bars/ticks that you've downloaded after the fact? As opposed to real-time bars that you're watching develop as the session progresses?

What's the problem you've identified with eSignal tick data?

+1 Great observation!

Instead, say you ran just 1 OOS test having optimized your system In Sample, and that your OOS test produces 100x as many trades as In Sample. If that 1 and only OOS test produced performance as good as in Sample, that would be a good sign, no?

The better the system performs out-of-sample, and the bigger the out-of-sample test itself is (# trades out-of-sample versus # trades in-sample), the more comfortable you can become that the results are not randon, and that the edge is real. No?

"Survivorship bias"? Were these the only systems you traded for hedge funds? Or do they represent the pick of the crop (i.e. those systems which did well, as opposed to those that didn't ... )?

+1 … based on “Trade Like a Hedge Fund”, unadulterated piffle right from pg 1 IMHO … [In our home the book has been demoted to the stack of crappy books used to raise the top end of one of the kids’ beds if they have a chest cold … as far as “book status” goes in our home...

... or alternatively, just automate, leave at same size, and move on (i.e. to another strategy). Scaling up can kill badly if your biggest drawdown comes when you're at biggest size. Watch all your prior profits evaporate ...

1) Futures and equities have differing tax treatment for US-based traders, which can make futures trading more attractive 2) Futures can offer higher leverage, if that's what you're after...

(a) Make sure you're account is capitalised enough to trade more contracts (and to suffer the bigger drawdowns that come with more contracts) (b) Don't think of it as money, instead just as a number (easier to do with OPM, "Other People's Money", and also easier in a well capitalized account ...)

Please post! Thanks

A market order gets filled against a limit order resting in the book. At the time you submit your order to buy 100 shares at market, let's say the ask is 10.00 (Philippine Pesos). Let's also say there are resting limit orders to sell 1000 shares at this price. If no other market orders...

https://www.google.com/search?sourceid=navclient&hl=es&ie=UTF-8&rlz=1T4ADRA_esES456ES456&q=list+of+relatively+high+volume+ETFs

I don't trade with R, but it's part of my Research&Development (above referred to as "mining" or "exploration" ... I like that!) tool kit. I'm a systematic trader and now use: a database (of ticks or more) + C# or Python (to look for whatever structure I'm interested in) + R...

Thanks for the link!

Good question! Are you trading a CME Group product? I looked in here ( http://www.cmegroup.com/globex/files/GlobexRefGd.pdf ) but pg. 12 doesn't mention "modifying" GTC orders (just "execution", "cancelation" and "expiry") You could try .... = = = = = = = CME GLOBAL COMMAND CENTER...

If you're submitting orders for futures, retail fill is usually sub-second, even at the open. If you're submitting orders for a high volume stock like SPY in the seconds after the open, then retail fills could be of the order of "20 seconds", as you observe. The above are for "live"...

https://www.oxfordtoday.ox.ac.uk/hedge/ ... 40 per cent of hedge funds mislead investors by routinely revising historic performance data... ... self-selection bias, namely the practice of withdrawing poorly performing funds from the voluntary datasets... By returning these ‘dead’ funds...

... except for computer assisted orders (e.g. trailing stops, computer-managed "simulated" stops, etc) managed by your trading software ... as pointed out by NetTecture above ...

Are you confusing "adverse fill" with "losing trade"? After all, in a sense, ANY filled limit order will probably be an "adverse fill" at some point after it's filled (i.e. if price ticks beyond the limit price). But that doesn't mean that price is certain to keep moving in that direction...