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This kind of stuff goes with the territory and happens to the best of us. I use proprietary tools I've developed to evolve and backtest trading systems, and as a result get the occasional "Holy Shit!" vertical equity curve, which I usually find is complete BS due to either unrealistic execution...

Got it. I've been doing more or less the same thing (been at it since 2000). IQFeed goes back to 2007 on stocks, 2005 on futures. PiiTrading goes back to 1999 on futures, 2003 on stocks, so between those two I can patch together 8 to 12 years of intraday data. IQFeed also offers 3mos of...

Depending on the margin requirements of the symbol you're trading, the leverage of futures contracts can range from 10:1 up to over 100:1. Its important to note that while overnight margin requirements are set by the exchanges, intraday margin is at the discretion of each broker. Some brokers...

Hmm..How did you get 10 years of historical 1min quotes? Looks like futures on both esignal and kenetick only go back 2 or 3 years... Does esignal allow you to export historical data to CSV files? I always thought they were sort of a closed system.

Forgot to ask: Who's your intraday historical quote provider? (I use IQFeed along with PiiTrading's historical quote CDROMs, which go back to 2003)

Just an observation, but using longer bar lengths would imply that you are increasing your hold times as well (since your execution granularity is a function of bar duration). Have you tried just increasing your hold time and while sticking to 1min bars? I'd guess you'd see your expectation go...

Interesting stuff - appreciate your candidness. Can you expand your exit executions a bit more? Are you using a target, time stop, or are the NNs triggering your exits as well as entries?

That's a fairly bold statement. My experience has actually been quite different. I've been trading an automated intraday system live for about 2 years now that generates 1000 trades/year with a positive expectation both live and simed. I reconcile my trades every day and my live executions...

Those are some beautiful equity curves. One generally needs lots O' trades to realize such smoothness. Some more stupid questions for you: 1) What does your expectation/trade look like on ES? (Using your stats, I'm getting about $50/trade or about 4 ticks net). 2) Any execution...

Forgot to ask you about your historical data: Are you back testing with 10yrs of intraday tick data, 1min bars, or ? Also, are you trading RTH (9:30AM to 4:00PM EST) or do you include the pre-/post-market periods in your historical backtests?

You could try TF, although its returns will correlate to ES. More volatility though. If you wanted to try some international indices, you could test the thicker ones, ESTX50, K200, and maybe DAX. ESTX50 does similar volume to ES, and K200 does about 500,000 contracts/day. ESTX has about 5x...

Thanks very much for the stats, Frost. So assuming you're not doing stuff like snipping connections during optimization, that's (15 * 7) + 7 = 112 weights per NN, and with 20 nets total that comes to 2240 tunable parameters (this doesn't include the bias of each neuron). That a lot of...

Look forward to checking out your results. Was wondering if you could you share some stats: 1) Ave no of trades/day/symbol 2) Ave hold time 3) Calmar Ratio (Annualized Return / Max Drawdown) 4) In vs out sample returns I'm sure you're already aware of this, but 20 neural nets...

http://www.investopedia.com/university/optionvolatility/volatility2.asp

Props to the little guy swimming in front of the shark's nose - talk about balls, lol The next time someone asks me to describe what I do for a living, I'm showing them this photo.

The video makes some interesting and valid points, but I couldn't help noticing the constant fear mongering, self-referencing statements to papers written by the film's producers (the NIA), and naked plugs for precious metals. It's also a pretty slick production for a YouTube video; There's...

Yeah, TWC's suckage is legendary. They are definitely in a race to the bottom (and they're winning). Makes one wonder if they are owned by B of A (aka the Bank of Abuse) or something, lol.

I had a T-1 connection with Earthlink at my business, but it was slower and more expensive than my TWC connection. Earthlink was also a nightmare to deal with; Their clueless CS is spread across Russia, India, etc, and they made it almost impossible to cancel the account (it took me three...

Thanks for the suggestion. Yeah, I switched over to openDNS a while back, as I noticed TWC was playing games with their DNS, and was generally slower at resolving names. A friend of mine who lives about 20mi away has FIOS and pays quite a bit less for more bandwidth and never has these kind...

Just an update: I contacted TWC and they asked me if I use a Belkin router and I told them no, I have a DLink DGL-4500. Then after leaving me on hold for an extended amount of time while she contacted her tech guy, the cs rep tells me its my router and I need to contact DLink (I'm rolling...