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Thanks but could you please give an example about how to use shortest path first search here? Thank you!

Thanks a lot IntradayBill... could you please elaborate on this "Since then the number of heteroclinic orbits available to systems has been reduced dramatically due to the introduction of ETF instruments."? Thank you!

Lets say you are optimizing three parameters, by grid searching, you obtain: SharpeRatios as a function of parameters p1, p2, p3, where p1 takes value on a set of n1 values, p2 takes value on a set of n2 values, and p3 takes value on a set of n3 values. Therefore, you obtain the...

I believe we are talking about different things. All I need is to send the time series data/signals from Matlab to TS/MC and display them on TS/MC's chart window.

Hi all, I only have MultiCharts trial version so it looks like I cannot post this to TradeStation forum or MultiCharts forum. (Btw, anybody knows if it is possible to post to MultiCharts forum being a trial user?) Any other forums that are active about Easy Language or Power Language...

Hi all, If the strategy reads "sell 1 contract next day at open", and so the backtest is based on "open prices"... And of course when you implement this, you would like to sell at exactly the open price, is it possible? How off will it be if you automatically submit a sell...

In pairs trading, you have to choose a window size for doing the regression. In fact, this is probably the only parameter that's needed. But the performance of pairs trading is very sensitive to this parameter, and in fact, the PNL can vary from very negative to very positive, depending on...

Looks very good! Thank you!

Hi Murray, Could you elaborate on how the rolls can affect profits by even 25%? Thanks a lot!

Hi all, Could you please recommend some good magazines/newsletters for trading systems and strategies? I have heard about the futures magazine but not sure about the quality of the magazine, from the perspective of trading system and strategy design. Could you please recommend more...

Let's you are short and the price series is trending down, except a few upgoing spikes. If the spike is sufficiently large, your trailing stop will be triggered and you will exit the short trade, but the "short" signal is still there and continues to be effective... My question is: what's...

I knew I cannot... but maybe some smart people out there know how to do that?

Interesting to see so many people dislike NN for trading... Is that because people who are making money using NN don't speak out?

Lets say you are exploring some algo trading strategies, and lets take VWAP for the time-being. To put VWAP into test in real trading environment is expensive, because VWAP is only meaningful when you have a reasonably large number of contracts to trade. Therefore we cannot use 1 contract or...

Is there a way to capture the market impact and do backtest realistically?

hmm, I thought I had missed this event but now it turns out that I hadn't. Please make it happen asap. Thanks!

Well, ideally speaking, based on non-arbitrage theory, I should be able to backtest on mathematical/synthetic spreads, and trade either the real spreads or the mathematical/synthetic spreads. But in reality, I don't know how realistic is this, especially when the bid-ask on individual legs...

Is CSI Unfair Advantage the best one? Thanks a lot!

Hi all, I am looking for historical OHLC data for futures spreads that are actually traded on exchange. Surprisingly Bloomberg only stores 2yrs of data(except a few cases, such as Euro$ spreads, etc.). Reuters also store a limited amount. So where can I find data? I just couldn't...

I just couldn't find enough data... Even within the very limited amount of data, there are lots of missing values... So I completely got dissappointed by the lack of data... And I am thinking of alternative routes... How about just construct the mathematical/synthetical spreads...