Search results

See ogarbitrage's post (5th poster in the thread) for some papers on effects of HFT ... http://www.elitetrader.com/vb/showthread.php?s=&threadid=217603&highlight=HFT

Thanks! I had seen that "connection guide" on the NT website; but it doesn't name the TT product required, hence my question ... Both the broker and NinjaTrader have now responded that it's the TT Fix Adapter that is required... ... so I guess that's my answer.

... which TT products are required? Is it: 1. X-Trader? 2. X-Trader Pro? 3. TT Fix Adapter? 4. All of the above? 5. None of the above? Thanks.

What other examples of "conservative criteria" do you use? Thanks.

To simulate past strategy performance, I’d always rather use tick data than bars (actually, I’d rather reconstruct the whole order book to simulate order queue position, but it’s not always an option). IMHO bars introduce significant extra uncertainty versus ticks when analyzing...

Yup, sorry. That was me. Well, rather it was one of my kids ... got into my trading office two evenings in a row and was playing with the trading software. That'll teach me to forget to use the screen lock!

In which case, apologies for muddying the waters! I guess it's me that doesn't understand your numbers...

That doesn't look right ... which means my explanation wasn’t clear enough ... From your original numbers it looks like: total margin requirement per contract = 1347€ + 1078€ = 2425€ "max expected peak-to-trough drawdown per contract" is not the same as max losers in a row x...

I'm sure there are lots of possible answers, but one of the calculations I would do is the following: position size = % of account to be allocated to this strategy / (total margin requirement per contract + "max expected peak-to-trough drawdown per contract") "max expected...

http://www.elitetrader.com/vb/showthread.php?s=&threadid=182532

Nice! I like it! So we are like plankton in a whale's foodchain ...

If your trading supports your family and keeps your partner and kids in food, health and education, and also safe with a roof over their heads, then you’re doing something honorable. That’s enough for me.

Hmm... I think you’re right. So, thanks! Let me see if I can redeem myself reformulating one last time: New win rate = (new number of winning trades) / (new number of all trades) New number of winning trades = N x P(A gives signal) x P(B gives signal | A gave signal) x P(A...

... except it's the case the OP was referring to (see OP's clarification)! As the new system won't trade in these cases, they don't contribute to either the count of winning trades, or the count of losing trades. So, correct to omit them ... Over and out (ooops! I wrote that above, as...

Thanks for clarifying. My answer is still 0.6923. Here's the reasoning again (but this time corrected the for typos and omissions in the earlier post!). New win rate = (new number of winning trades) / (new number of all trades) New number of winning trades = (A gives signal and wins)...

Those saying the OP hasn’t provided enough information are right, IMHO! … However, assuming the two strategies are on the same instrument and timeframe, and have same rules for target and stop, and only differ in their entry signal … ... Then, +1 to the above. Or, another route to...

http://www.ninjatrader.com/support/helpGuides/nt7/index.html http://www.ninjatrader.com/Support#Help-Guides

In an Irish Convent, the 98 year old Mother Superior is on her deathbed. She is surrounded by the other nuns, all doing whatever they can to make the Mother Superior’s final voyage as comfortable as possible. They try to give her warm milk to drink. She refuses it, and pushes the cup away...

Did a search for “worst case scenario”, and then quickly scanned thread titles to look for anything I remember as being possibly relevant to your question. But my memory isn’t that good, so apologies if some/all of these are wide of the mark …...

www.mbtrading.com