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There's a new post in my current series here: http://www.elitetrader.com/et/index.php?threads/building-a-systematic-trading-system-part-5-accounting.293403/ Please leave any constructive discussion at that thread GAT

If you tell someone you're trading, the first thing they'll usually ask is "Have you made any money?" Most traders I've known are pretty obsessed with that question as well. Knowing the answer to that query isn't as important as you might think, since it's better to be focused on process than...

The point of 'carrying the loser' is that you don't know in future which markets will be the losers, and which will be the winners. For this to be the case three things would have to be true: - there would have to be some reason which explains why A is winning and B is losing (or it is just...

Ha! Yes forgot that one. But one of the nice advantages of being an independent trader is to go on holiday whenever you feel like it..... GAT

Interesting question. But this is a bad idea.... There isn't enough data in the backtest (at most 35 years, but on average about 15 years, and in some cases just 2 years) to prove statistically that instrument A is "probably" better than instrument B. Number of instruments with data, by...

Part two of regular update Risk Expected annual risk more than GBP6400 per year, GBP400 per day code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos 25 EUR -14.9 9531...

Part one of fortnightly update (last July 21st) I'm happy today, and heres why So yesterday, for a few hours, I broke through my HWM and out of drawdown. A drawdown lasting a little less than 4 months is relatively short if you look at the backtest, but it's a different matter when you're...

What's your Sharpe Ratio? What's your annualised volatility target? Most CTA's have a vol target of around 15% - 25%, and a Sharpe Ratio after fees of less than 1.0 (for those with a long consistent history of returns). However this is for outright futures trading, not options. An options...

yes

I can't answer your question because I don't understand what you mean by consistently profitable. Could you define it? I do suspect that I won't meet you r definition of consistent although I do consider myself to be a successful trader.

Do we note the dramatic "character-change" of the market between the hours of 10am sharp and 1pm? No. I can't see a thing. I'm curious as to what you are seeing in this ink blot picture, and whether you could formally define how to spot it when it happens again. GAT

Perhaps. Given a set of complete trading records, and some backtests of the sort of you can do the following: - using a series of bayesian tests, work out which system or blend of systems the guy is most likely to be running - backtest the system or blend of systems This means if you can get...

Surf, shall we all chip in a buck each and buy you some cable ties? GAT

That's brilliant! Actually it's a Linux mint box

missing? I've come across several accounts of traders.. What proportion of your client base is this? If we assume that the average trader loses say 10% a year; with a variance of annual returns of 50% (assuming all traders have the same volatility of returns), then with a large enough sample...

My trading "desk" is in my profile picture. Fully automated so no keyboard required :-) GAT

I concur. I don't know of any institution that would use an off the shelf solution. Even my friend who just started a tiny ($1.2m) fund, built his own stuff (python / java). FWIW I no longer run institutional money, but even with my own money I wrote my own system (pure python). This all relates...

People often get systematic and automated trading mixed up. The latter is a subset of the first. You can't have a system which is fully automated if it relies on discretionary input, no matter how small. But you can have a system which needs a human to make it run, even though there is no...

Does it have to be in C#?

This is interesting. This is definitely similar to stuff I've done in the past. What exactly do you do? A Do you have a 'signal generation' system which then talks, somehow to the java et al (Eg using a bus?) B Or do you reimplement your entire prototype system (signals to execution) in java...