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BetterThanDefault guarantees the requested slippage, even when that mean the fill given is beyond the H/L boundary of the bar it is executed on. The rest of it is pure Default. I commented out the original lines (from DefaultFillType), you can easily see the difference.

Thank you abattia for the paper & your comments - much appreciated. Here is the trade distribution for that prototype - I removed from it the largest win (+15235), which was way too far to the right. Not sure what it proves though :) HurricaneUS, I would agree with you 100%, if it wasn't...

I am currently toying with a system prototype which uses the same signal for entry/exits ... that signal tells me "Long / Short / Flat" ... consecutive same-side signals can be used to scale-in (or be ignored, as in the attached summary). No stop whatsoever. P/F isn't the greatest, but...

For the level of knowledge of CL that transpires through your question, I'd say Friday 5:16pm EST to Sunday 5:59pm EST.

Spend $750 & buy CL entire history from TickData, or spend $1300 & buy 30 year-symbol (you only need CL since Jan-2007, before it wasn't trading on Globex 24/7, so that's 6 year.symbol used just there, you can add ES & 6E since July-2003 - before that, timestamps do not include the second, so...

If history has any chances of repeating itself ... ... look at a weekly, similar parabolic upmove in October .. December 2005. Back then, it stopped exactly at the 50% expansion of the "cup". Doing the same now, would reverse around 90.50 ... but in 2005, the level was ~matching with a prior...

Look at a Renko-chart and a Range-chart side by side (using 3-Renko, look at 2-Range). At the extreme of each leg, you'll see on the Range-chart that price did actually exceed the Renko brick. If you backtest using a Renko chart, without directing your order to a 1-sec. timeframe, you are...

Yep, still in the process of doing that ... they charge $20 comm. per contract per round-turn to their customers leasing systems (intraday systems, it is $30 for swing systems & $40 for position systems), and the customers have to pay the system designer the monthly lease on top of that...

Yes, it does matter - please note that for products traded on a single exchange, this is enough to guarantee you a fill (in live trading conditions, ie. you have a working order and price trade through the limit). For products traded on multiple exchanges (stocks, forex), this is no guarantee...

See http://www.elitetrader.com/vb/showthread.php?s=&threadid=244119 ... go to the last few posts to have a pretty current view

hi gmst, thanks for the suggestion, it make sense in some ways ... ... the reason why I want to go higher frequency is to have backtests covering 10K+ trades instead of 1K+ ; I hope this would truly be a barrier against overfitting such strategy.

I trust you on this ... I am nowhere close to being there, I would love someone to point me in the right direction to achieve that goal ... but short of that, I'll keep working at developing new strategies - hopefully someday I can see the light and create one truly multi-instruments /...

I am trading it to the max of my current account size ... it trades a specific reversal price pattern, identifying the pattern from the ambient noise requires to filter that ambient noise, it is working quite well on CL (1100 trades on 6 years), it requires too much filtering on ES which lower...

Hi there, I am reasonably successful with my automated reversal system for CL, but it has a low frequency trading (100 to 250 trades per year) and that goes against the law of large numbers ... ... I want to develop a much higher frequency system, 3 to 10 trades per day - which probably...

I beg to differ :) ... I suggest doing a weekly backup of your C: partition (again, using Macrium Reflect - this can be done automatically, without having to ever think about it), learn how to restore it to a blank HD (possibly the old SSD) ... this way, there is minimal loss when you have to...

- per "unit size" : yes, if the reference system is trading 1 contract, and a customer wish to trade 4 contracts on it, he/she will pay 4*monthly fee - for performance tracking purpose, it is fine to trade your system, just direct the trades to that account. - when you get subscribers, it is...

So I have been discussing a bit with Striker & another brokerage firm ... Striker's business model: - system developer must trade his/her system at their firm, so that they can track historical performance ; $ / round-turn slightly higher to cover the cost of performance tracking (was...

I would use Macrium Reflect to clone your current SSD to the new one, then remove the old one & boot on the new one. Once this is working, plug back the old one, use the bios to boot on the new one (if it doesn't automatically), then wipe out the old one.

I compute the cost of each of my discipline error, and wire money back to my trading account to cover for each discipline error every single time (if the error ended-up in my favor, I send that money to a charity). Do it long enough, you'll soon realize that you'd rather take the risk of...

Thank you for mentioning Attain Capital & Striker ... much appreciated.