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On the assumption you're trading US index futures (apologies if this was clarified one way or the other somewhere, and I missed it!), is your 60-min chart on basis of a "24-hr" Globex session, or 6.5 hr cash session? Thanks!

From your screen shot, I'm having trouble understanding what leads you to the above observations. Can you take us through the process of how you get there, perhaps by identifying cell co-ordinates (e.g. “from column F on 6/6/11, we see that …”)?

Thanks!

Thanks. I don't think it's an NT problem in the case of SPY tick data: I believe SPY's daily volume makes it among the most actively traded instruments on any global exchange, and in the recent past I've also had trouble with SPY tick data backtests on another more heavy-duty "simulator" for...

I want to run backtests for an intraday strategy : • single instrument - SPY, i.e. SPDR S&P 500 ETF • single timeframe – 15 second bars By my estimate, each year of SPY tick data equates to about 5 GB of data (well it does if it’s in .txt format). My backtesting software...

Here's a list of providers of historical data: http://tickmaster.webs.com/apps/links/ Here's a link for NinjaTrader: www.ninjatrader.com

... but we already pay commission, spread, ticket fee, etc on trades even if they lose. So why is it a strong argument that it somehow doesn't make sense that a tax should be paid on a losing trade? I think there are lots of reasons why this tax is bad, but the above reason is a poor one IMO.

No, there are no tricks ... it's FREE! Why don't you take a few moments and try it?

Thanks [But your dig at JH was unnecessary and out of place]

Don'tMissTheBus, Thanks for this concrete example. Can you explain what the results demonstrate in your view? For either your original, or restated Case A. Thanks

Quite possibly it's my misunderstanding of the question! What I meant was that if you have a target, or an exit time, then after the target is hit, or the exit time is passed, the rest of time doesn't matter ... because you are out. You can't be ruined after you are out. But if you never...

OK. If you trade a system (or systems) with no target or time of exit ("even if it has an edge")... then yes, you're better off getting out earlier rather than later.

For 0 < t1 < t2, for continuous t P.of.Ruin(t1) < P.of.Ruin(t2) But obviously, “higher risk of ruin” does not mean “certainty of ruin”. Working against “certainty of ruin” is risk management, etc. ------------ And related … ? HFT: lower risk trades > intraday: higher risk...

Thanks for posing the question. Ruin Theory is certainly something we ought to be pretty good at here on ET!! LOL!! How about the following? Strategy's equity at time t, X(t) Strategy's unrealised profit at time t, Y(t) So, X(t) = X(0) + Y(t) [Equation A] Assume that...

Found the following for cleaning bad ticks: http://tickmaster.webs.com Must be an ETer, as has used my screenshot from above!

I don’t wish to discourage, but do you realize your post could be rephrased as follows? “I like to trade stocks that trend nicely and have little retracement in either direction.” = I like easy money. “Basically I want to avoid chop as much as possible and find stocks that don't...

I'm sure there will be others, but look up "multi-timeframe" in NinjaTrader support documentation at www.ninjatrader.com ...

Thanks for checking that!

Ah, just a thought ... If you were to download ticks (as opposed to 1-min bars), and then build 30-sec bars from the ticks ... what do you see then?

Many thanks. So I need to look further into DTN IQFeed!