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hi I have been working hard on some massive changes. In the process i have also added (see picture) a synoptic Excel export of filled orders (just for traders not wiring to SQL server, as the SQL server export was already in place). Having changed the PNL computation engine, i have done a...

I'd suggest to use stone tablet and cuneiform script and a chisel for carving. It's pretty "hard" to reverse engineer and, in case a tyrannosaurus comes by, they can come handy. Tom

<b>New Concepts for the bot</b> <i>A more meaningful decomposition of PNL</i> ============================== Assume we have the following BUY / SELL orders (assume, for simplicity QTY = 1, zero comms and no multiplier, no closing costs). <b> Prices $</b> (ordered by magnitude): SELL...

The new folio is proceeding ok. The old one, instead, is still stuck in the "investment" phase (but scalping) and probably we need to be patient for another week (RB is going to expire). I have rolled over several contracts which have expired (GC, HG, NG). [I have added also a "managed...

Here is the new folio instance (started on thu). [The bottom chart is the newer strat version] [We can overlay up to 10 clients (folio instances) on the same account. This is an IB limit, the bot has no limits] The newer strat has a smaller PNL (this is as expected, as we know from sims...

We are still in dd (investing). The large investment allowed on RB is slowing down the recovery time and we need to be patient. With a real investment we would have probably traded "against the bot", by reversing on a manual clone, anyway we are interested here in exploring the worst and most...

Hi Here the situation now of the last (difficult) run (the dd for RB has approached the maximum seen in simulations.) The bot is patiently working to turn the significant investment into profit (as it is programmed for). So far the newer version has shown a smaller dd (investment), as...

Hi No big news so far for this run. We are still in the "investment" (dd) phase. And we need to be patient at this time. After all, any investment needs time to work and trading, although sometimes does allow quick profits (as we have seen in several trading sessions before), is not much...

To be fair, you should say "there is a good chance that you're attacking ...", as i made a probabilistic statement. You are instead making apodictic statement about me. :-) I am sorry that you seem to feel to be in "either" one of 2 categories, but, if you care to exercise logic, that...

clean it up ;-)) Dont underestimate the effect of dust (especially fan and heatsink) if you keep it on 24/7 for months, ;-) Tom http://www.fonerbooks.com/lap_fan.htm http://www.wikihow.com/Clean-the-Inside-of-a-Computer etc...

A bit OT, but not too much... perhaps i have not seen enough movies... Anyway in all the ones i can remember, such as this mentioned here (Boiler Room), the 2 "wall street" movies and a few others, there seems never be the concept of making money through some real "trading strategy". I mean a...

my point was that most ET posters are a bit more advanced than believing in the signal fable signals migh make some $$$ only to the people who issue them, as they will be right about 50% of the time and, on a statistical basis, they could hope to get some profit (like insurances), if enough...

Yesterday Reuters headline was <b>"Wall Street ends biggest 3-day surge in three months"</b> http://www.reuters.com/article/2011/06/29/us-markets-stocks-idUSTRE75512M20110629...

Right. Most of the things you (the OP) have listed: <i>Neural Network+ Genetic Algorithm + Simulated Annealing value-at-risk calculations ... Detailed charts with numerous indicators.</i> are totally <b>useless</b> for trading and to make $$$. (They can be useful in other fields)...

What's so surprising ? If you never see" trends" in "random" data, data is not "random". In random data given, for any (arbitrarily large) given N, there is always (eventually) a sequence containing more than N of equal consecutive outcomes. Tom

Last week run, continued fine. But i am going to shut it down to focus on the new developments and tests. <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3221760" width="1200" />

Here the situation now of the 2 instances (1.5 days). Above is the previous strategy. Below the new variation (with the 2 additional layers). Looks like the rookie got lucky, so far. The previous strat has a nice realized but mostly (6K) heavily reinvested in RB (short), which i am not...

Well, i am quite pleased to hear that. You are already kind of "overlaying" strategies. Which is already pretty far from the simple plan the dealing desk would like one to stick to: enter a trade, place a tp and a stop. About our example, of course we can modify it introducing...

Not everybody reasons at "single trade" level. Especially the quants who have replaced stops with different means. A strategy is a grand plan that encopassess many trades and manages the risk within a big picture. Again, the point boils down to the fact that using stop at single trade level...

Not a classy reply, and, above all, showing that you don't have even bothered reading the previous posts, while you are pretty fast at getting gratuitously unpolite. (Which to me says already something about your intellectual level.) The questions turns out to be pretty simple: Can you...