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I agree with your logic and to be honest its better to be a little paranoid about our trading, than to be sorry later on. No one could have expected FlashCrash but it happened - so a lot of things can happen in the marketplace. Few years back, flash orders were not commonplace knowledge. I was...

Thanks a lot. Iceberg orders are hidden from everyone,even HFT trading firm, doesn't matter if you are colo or not and if you are paying a lot more to gain access to best data or not, if you have access to flash orders or not. So, why do you say that posting your stops even as iceberg...

d08 - good trading. Couple questions 1. why do you say NASDAQ is best market in world for stock trading? 2. what do you mean by "it was just open season for me by the HFT folk". Sorry couldn't follow you here at all. Thanks

Interesting test you propose. My question is - if a system works on price series P[t], why should it work on 1/P[t] ? What is the logic behind your assertion ? Can you prove it mathematically/logically/rationally/conceptually ? Thanks a lot.

anyone with all ticks datafeed want to post a screenshot of T&S they saw at this time ? I have never seen such a huge tick before.

I know IB datafeed is snapshot, even then it was huge. not sure if anyone noticed this. Time is Chicago time.

braincell, Maybe you are successful with this approach of testing billions of strategy ideas and then going out of sample and selecting the best 50 etc etc. Personally, I do not like the idea of throwing 1 billion bombs on Afghanistan, carpet bombing it hoping one will take out Laden. I...

DT-waw, this is a very insightful post. Thanks so much! In my experience every market has a distinct personality - shaped by the traders who trade it pre-dominantly - so its only reasonable to believe that individual sync of the strategy with the market makes more sense. I have always used...

stopped for 2 pts

short 1351, stop 1353

Hi, I assume you would have shorted at the break of 1352 today or am I missing something ?

Actually this is a good suggestion to try on all DJ30 stocks and see the overall performance. The scientific way to test it would be to construct portfolio of 20/30/40 stocks randomly choosen from S&P500 stocks and see out of 100 such portfolios constructed, how many perform well. If you can...

My first post on this awesome thread!!!! and this first post is not related to CL only :) Sorry for breaking the rule folks. I plan to do a summary this weekend. I encourage everyone to contribute to the following thread before the weekend, so that we can get a good number of stats from...

Happy to see that you benefited from this exercise. Personally, more analysis I do of my trading performance, better is my future trading performance - and I can't underline this fact enough. I am hopeful that others will also chip in with their stats.

Thanks for the pointers. I am always looking for good ideas!

Tomahawk, what all stats do you collect? By any chance, You open about sharing the template ? Trying to learn from you :)

I would also like to know the rationale or logic behind this phenomena . Anyone here? Basically even if on testing this does show that there is a 80 or maybe even 90% chance of this happening, I want to have atleast some idea of the underlying reason that causes this behavior. Surely this is...

It would be nice if you can clearly articulate why ES is a bad market to trade. I have been consistently profitable in FX and consistently lost money in ES. but haven't really been able to pinpoint the reasons why. Secondly, I strongly disagree that your system should work the same on...

Hi, I just managed to get 7 responses, and then I lost interest. I tried to advertise the thread, but didn't get many responses. I would do a summary and post it here in a day or two.

I firmly side with GoC as far as utility of trading books is concerned especially of the sort like Drobny, Market Wizards etc. Do you know that Market Wizards has interview with SAC founder and DEShaw - these guys didn't get lucky by putting size on a few trades. I won't get into that...