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I checked. It's still a consistent loser, according to my tests.

I didn't know Bill was a Vietnamese immigrant. Now that I think about it, this explains his preoccupation with crystal balls, magic, and all this market voodoo. :)

This makes sense, as it would constitute a traffic violation. However, I've never heard about any pedestrian being stopped and arrested for not having an ID in the USA. It just doesn't happen.

Yeah, a toaster.

That could be. However, "Atlas Shrugged" was found as the "second most influential book for Americans today" (after The Bible), according to a survey conducted by the Library of Congress.

What shit? Which fan?

Trends are for amateurs, ranges are for professionals.

It's very amusing to observe that so many people are convinced that the chart determines where the market must go, and not the other way around.

There is no need to reinvent the wheel: http://www.collective2.com/

That's a better setup than the one proposed by RoughTrader, but it still produces a $1860 loss over the last 12 months on 221 trades. Here is a 3-day sample:

Well, if you can't discuss details, then I can't do much more for you, and I guess there is nothing left to discuss. I use my own trading/backtesting/optimization platform, so I am not sure if my code will make sense for you, but it's pretty straightforward.

For illustration purposes, here is a typical day on the chart below. Red circles indicate short entries, and green circles indicate long entries. The number inside the circle is the number of contracts (long or short). As can be seen, the first trade is profitable, but the numerous subsequent...

I tested it on the ES data from January 8, 2008 to December 23, 2008. As I expected, it turned out to be a consistent loser. Here is what I got (trading 1 contract with your default period of 20 minutes): Trades: 3166 Percent Profitable: 34% Net Profit: -$32160 Max DD: $44270 Profit...

This looks like you are buying high and selling low all the time. My intuition tells me that this would be a losing system, with a lot of whipsaws, especially in the range-bound markets. However, I'll code it and report my results here.

Here is a start: http://en.wikipedia.org/wiki/Algorithmic_trading Continue here: http://www.elitetrader.com/vb/forumdisplay.php?s=&forumid=48

I think this is very typical U-shaped trading volume distribution with the peaks at the open and the close, and the bottom during the lunch hour.

The bid/ask spread is what's killing it.

Moving to chit-chat as an utterly useless thread...

Kelly's formula does account for the distribution of returns, as it contains terms such as average profit per trade, average loss per trade, and probability of a gain/loss. I suppose if you have some weird distribution, it would be possible to improve Kelly's in a way that it finds a better...

I use this formula: Skill = sqrt(numberOfTrades) * (averageProfitPerTrade / standardDeviationOfAllTrades)