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Here is a picture which aims to simply illustrate the nature of the statistical edge. This is the ordinary picture of the PNL and its 3 components, which by now you should be your friends: PNL (cyan curve) = Gain (green dashed curve) + Loss (red dotted curve) + Unrealized (cyan dotted curve)...

Tuesday (Jan 14). Pretty active day. The application has placed many orders, probably also because I slightly changed the game rules, making the entries a bit more "sensitive" to direction changes. The options on FAS are gone and the app is now free to edge it by superposition alone. It...

Monday was hectic. Just the way I like it :-) A lot of activity, with market strongly pulling back. The activity in bonds and metals has been suggesting to take seriously the mkt move. At a certain point, I took the decision to remove all the FAS options. The decision had the following...

This weekend I have been adding a new feature to help dealing with the "disruptive"<b>split</b> and <b>reverse split</b> (merge). Later I will explain it in more detail, with an example of usage. I hope you have also been having good time with your favorite activities and research. Here is a...

End of the week. Today has been an active day with a good number of orders. The rise of metals has helped hedging the gas related instruments, which have been "loading up". The current situation is summarized in the pictures below. We are currently 19.4K "above the water", 86 days, 5K...

A quick folio update. Today started pretty quiet. Then we had some good moves on energy related instruments. The application has been loading up in gas related instruments. We are still waiting for the metals and indexes. I have been adding a few instruments (layers) to watch and the margins...

If it's ESH4, I received 1834,25 (bid, 10:42 edt).

<b>About frequency</b> Addressing the issue of "frequency" and commissions, let's see briefly some points. The algorithmic engine I have developed overlays BUY and SELL players following "rules" that the fund manager can modify at will. Therefore, all aspects relative to the scalping/hedging...

This is an example of scalping/hedging action (<b>order cloud</b>), as a result of the example "game" called "CT_T". The first picture shows <b>all the orders issued</b> on this layer, while the second picture only the currently open players (all the closed players were closed in profit, of...

Here is a quick folio update. Nothing remarkable happening today, market slipped a bit, we are quietly scalping away some profits with small packets. The <b>statistical drift</b> we have created has pulled up the PNL around 20K (out of 34K of "net gain" we have accumulated) and the margin usage...

<b>More about the SDX</b> Let's end the week with some "theory", so you can think a bit about it, and come out with more ideas. It's now some time since I have proposed the <b>Direction</b> (SDX) and <b>Codirection</b> (SCX) indices (to detect "correlations", beyond linearity), but I still...

Some explanations, with real applications, are in this ET thread ("trading algorithmically ... without stops ... real $$$"), if you are interested: http://www.elitetrader.com/vb/showthread.php?s=&postid=3921833#post3921833

<b>Strategic entry injector</b> For the fund managers who are starting using/testing my app and are relatively new to it, let me provide some everyday use tips. One feature which turns to be pretty useful either when creating a scalping game, or supervising it, is the "strategic entry...

Hi bwolinsky, thank you for your kind comments and suggestions. Note that these are *not* simulations. We are trading <b>real $$$</b> on a <b>real account</b>. All you see here is real. Well, I have <b>97 layers</b> open, and so far I have bothered hedging just 2 instruments! It does...

As promised, let's explain a bit what I did about FAS. We left it "locked" with -400 shares and an "option unit" formed by a combination of CALLs and PUTs to provide some "protection" against the developing "bubble". The intention was to leave it there until either expiration of price falling...

First trading day of the year. Pretty busy. The application started sending out dozens of orders since premarket, and we have started taking the fruits of our investment in oil and metals. FAS is still locked but I added an additional 100 shares short protected with an additional "option...

Last trading day of the year. Here is a quick folio update. Everything is going according to plans. We begin to see some glimpse of the sky, from the "underwater" world :-) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3921098" /> Happy New Year to all, and may it...

Here is a quick folio update. Later I will tell more on the GASX "tale" and how I have coped with the situation. FAS is still "locked" and fine. Placing the "option unit" to defend it against the bubble turned out to be a good move. We are proceeding with a <b>relative drift</b> (RD) of...

Hi AItrader, >One could be related with the absolute exposition and the other with the average fill price? That's right. Let's simplify drastically in such a way that there is a 1-1 correspondence between orders and players. So, for sake of explanation, let's say that, for instance...

<b>Inside a "player"</b> Let's make a little divagation on the "theory" of the "players", providing some basic information useful for a fund manager. So far you have probably got an approximate idea of what a "(virtual) player" is. One way to picture it, intuitively, is to imagine a trader...