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Hi AItrader, For a list of instruments available for shorting see: https://www.interactivebrokers.com/en/?f=%2Fen%2Ftrading%2FViewShortableStocks.php%3Fcntry%3Dusa%26amp%3Btag%3DUnited%252520States%26amp%3Bib_entity%3Dllc%26amp%3Bln%3D Note that : "Clients who short instruments pay a fee...

Here is an example of <b>order cloud</b>. This is one of the 92 layers currently active, and is in particular my favorite instrument VXX. Note that is meaningless to try to talk in terms of "trades": we, more in general, reason in terms of "order cloud". Note that the second picture below is...

I am going to post some "order clouds" to convey a feeling of what the application is doing. Today we had some serious moves, starting from about 14:00 and the bot almost got "crazy" sending out some hundreds orders (some difficulties to lock some profits were found with some instruments...

Let's see how the folio is evolving. Last folio shot we watched here (http://www.elitetrader.com/vb/showthread.php?s=&threadid=279057&perpage=6&pagenumber=6) we had a net gain (difference between gains and losses) of about 7.5K, about $185 per day. In the meantime I have expanded the...

>where by "trade" it is meant an ordered pair of orders, say (buy/sell) or (sell/buy), and the sequence of wins/losses is normally intended as taken on temporally consecutive non-overlapping trades, >>Seems correct If the above definitions are correct, in order for me to proceed, you need...

Hi tradingjournals. Thank you for your interest. I am checking the terminology. <b>win</b> = profit in a "trade" which "ends up" with a profit <b>loss</b> = loss in a "trade" which is "stopped" with a loss <b>average win</b> = arithmetic average of the "wins" <b>average loss</b> =...

Hi AItrader, sure I am going to make a detailed report probably tomorrow, with all charts and pictures (I can't access right now the machine, probably in maintenance), anyway, as to now, all is going according to plans. We are slowly printing $$$ at decent rate, even if "underwater", as...

Hi AItrader The SDX index is a descriptive tool for realtime analysis of what is going on with the price. Sure, "divergence", as you say, is an appropriate term in this context. Here follows a quick conceptual scheme on how a pair (short-term, "longer"-term) of SDXs can be used to detect...

Hi AItrader, here are the values (<b>resampled</b> series) currently stored in one of the FAS layer we have "locked" (see picture) from which the current SDX (<b>signed direction index</b>) is computed: <table > <tr> <td style = "font-family: Courier New; width: 401px" > <code> SDX...

8 december 2013 - Gateway (did not connect to acct management in recent times nor did I open any other IB program) <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3911291" /> (Not sure why you are so reluctant to correct this client side, as already suggested. It's...

Hi AItrader, About the capital, the investor has started with 201 K. The account owner has switched to "<b>Portfolio Margin</b>" (instead of <b>RegT</b>) and this seems extremely beneficial to margins. See...

Well, every instrument has pretty much his own "personality", and after a while they sort of become like friends, of whom you learn to know the all the strengths and weaknesses. It's therefore probably not much meaningful to generalize, as in fact one of the best performer so far is ERX, which...

Hi elitetradesman Strange, maybe you mispelled it ? Thanks for asking anyway. A link to (free) copy request is <a href="http://www.datatime.eu/public/gbot/default.htm#copyrequest" target="_blank">here</a> (I maintain a private distribution list of people who receive periodic updates). It...

Hi AItrader, thank you for your suggestions and interest. I have just sketched a vertical layout: see picture below. I think that I made it horizontal initially because perhaps it seemed easier to move around (remember you can move and resize it using the mouse). But a "vertical layout"...

That's right. Being "underwater" or above the water :-) is irrelevant to the purpose of the algorithm. That is an aspect of it, and it's correct. However, the reason of the edge of the procedure discussed here (which btw is new, even respect to previous threads) is essentially the fact that...

> states that short term volatility is greater than long term volatility Hi jb514. No that is not the point, as that statement is obviously not true. I think I already explained what is the reason of the long term edge of this algorithmic procedure, but you may have missed some of the...

Well, we are actively watching them. We protected the FAS situation with the CALLs, so they were not let "ride". And these are mostly 3X ETFs. The "alpha", as I have described in the earlier posts, is produced by the past losses "recovered" during the trading process, which are slowly moved...

Hi AItrader, thank you for your kind words. Actually the one who needs to be praised for his courage and vision is our investor :-) Lately I am not posting as frequently as I would like, as the software updates (and some other research) are absorbing a lot of effort and time, but I will...

This weekend have been playing with some new features which improve the usability of the trading application. On the "cosmetic" side, I have added the possibility to zoom in/out the trading monitor so it's possible to have a closer look at the orders. More importantly, I have added a...

Before going into the FAS hedging question, that you at this point have already guessed from the screenshots is based on options, let me make a quick introduction to the concept of protecting with options within the algorithmic system. We have already seen, in the previous post, how to deal with...