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By this do you mean that 20% of the MCs had a worse drawdown, and 80% were better?

Thanks for sharing! That's one way of doing it, and sometimes it's inevitable. But a problem with reducing position size after losses is that you give yourself a steeper hill to climb back up again afterwards. But perhaps your chart levels and thresholds have already taken that into account?

You could compare tick charts of the ES at 4pm.

Yes, it's normal if your data provider's historical data is corrected real-time data.

OK, thanks. You could try the following (if you haven't already tried it) ... For both instances ... Tools > Historical Data Manager > Edit > Select the instrument in question > Last > Select the data in question (tick data?) for the day in question .... and delete it...

I don’t think the article mentions HFT. And I don’t think HFT is the reason hedge fund returns are less stellar than they used to be. IMHO it’s a simple matter of a crowded market with very many funds doing - essentially - the same thing. That is to say, a trend is a trend whatever...

You mean the data sets in both instances were obtained in the same way? i.e. either both were obtained in real-time using the same real-time data, or both were obtained after-the-fact by loading (at more or less the same time in both instances) the same historical data into empty charts...?

It's an intellectual challenge to try to make "cause and effect" sense of price action and the markets.

If you still have no grounds that might call into question your original analysis, and if the max DDs are still less than historical maxima, and if your position sizing is such that you can still hang in there if DD gets even worse ... then just keep trading the system and wait for the good...

How does overall "live" performance to-date compare with the backtest statistics?

IMO, you want to be careful with this sort of thing: 1. If you’re trading systematically on the basis of backtests/optimizations/etc, this sort of reasoning introduces a discretionary element (e.g. how will you differentiate between a major and a minor war? A large-scale and a small-scale...

"Tick" is used in various ways in trading, but the definition relevant here is that "tick" refers to a transaction of a security on an exchange. see http://www.briefing.com/investor/learning-center/analysis/the-tick/ A 100 tick chart is a chart where each bar shows the price range (OHLC...

With all due respect, I think your muddling correlation and cointegration … See http://gekkoquant.com/2012/10/21/statistical-arbitrage-correlation-vs-cointegration/

Thanks. Right, I see what you're saying. The fact that the stop order is already working is not the key determinant; instead it's the timimg of when the stop price is triggered, and how that sits relative to the rest of the market orders hitting the market at that time. Yup, I stand...

Thanks. Yes, I agree that data would be interesting to see. Does this work as an idea? (1) The more actively-traded an instrument, the greater the number of market actors trading that instrument. (2) The greater the number of market actors trading an instrument, the broader the...

Thanks for this ... I’ve spent some time looking at some past examples of these sorts of situations in the ES, specifically 9/11 (happened outside RTH) and the “flash crash” (happened during RTH). I’m an automated systematic trader, and always have a working stop exit order in the...

Thanks for the additionl info. a) So the issue is that the limit order fills in "sim" but does not fill in "live", despite the fact that tick data appears to show price moving beyond the limit price? b) What is the source of the tick data you are referring to? Is it the same data recorded...

Could the differences between "live" and "sim" be associated with unrealistic latency-related assumptions in the "sim" case? I'm not deeply familiar with TS, but limit order fills for example are always hard to simulate accurately ... do you assume they fill when price touches the limit...

Great compiliation of quotes, No Doji. Thanks!

… An interesting reminder that on average chasing alpha returns can be less interesting than simple buy-and-hold when a market rises month after month back to back... [A] But when a market is sideways for several months, or falling over the year, on average chasing alpha ought to have its...