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There is no point getting low latency data if you're not using it for live trading...! For all these other purposes you describe you don't need low latency: - backtesting, simulation: this is self evident - charting with manual trading - the time taken for a human being to look at the chart...

I'm seeing a spread of 0.005 on another feed which suggests it might be an issue with IB GAT

It can happen, I've seen it occasionally before. Unusual for this length of time though, which suggests it was stale data maybe or something else weird. GAT

That's true of most things though isn't it. Weirdly nobody is willing to pay much for articles of 50 words or less. GAT

Where I used to work the annual turnover was less than 10% That's probably unusual though GAT

Hi I wrote the first article mentioned but not the others (check the byline). I do get paid, not very much, but I can assure you I would personally never write 'uninformed industry gossip'. I can't comment on the other articles. What specifically do you disagree with in the article? GAT

Just to say you have not optimised and sure not many parameters but if the parameters are based on your market experience you have done what I call tacit fitting. Its extremely likely your backtest results are optimistic. GAT

.... you can do it purely out of sample if its mechanical GAT

That's what fitting is... so many ways.... grid search is the simplest. GAT

What you propose is in sample fitting and so bad. Sorry GAT

Yes it matters. A strategy earning 10% with 1% costs is a lot safer than one earning 60% with 51% costs because costs are certain and returns aren't. You MUST know your costs or you can't analyse your returns properly. And we can't help you check to see if your costs are realistic. GAT

How much are your annual costs in your backtest as % of capital per year? What's your annual standard deviation of returns? There is no evidence to backup your intuition. Apart from binary options spot FX is the biggest rip off out there. GAT

Good - now you're thinking cynically. FX... hmmm I've never found a strategy that was profitable in retail FX as the costs are way, way too high. So I'd be even more skeptical. GAT

First you need some accurate SR figures. I'm not sure exactly what you've done, but that doesn't look like a SR 4.0 curve - that's going to be very close to a straight line. And also extremely likely to be overfitted to hell. I'd say the good bits are about SR 2.0 at best, and overall about 1.7...

Do you think *any* of this is statistically significant? GAT

It's everything, so yes it's plausible i'm being flattered by my equity hedge. Don't forget I'm only about 60% TF even in my futures bucket, so other stuff could be helping there. I'll break it down as usual in April. My hunch is that your hunch is wrong :) GAT GAT

I'm down about 4% YTD but up about 2.5% on the tax year that I usually analyse. GAT

Recent poor performance is not statistically significant. GAT

Weird seeing this old thread pop up again. I pay myself a 100% performance fee for returns over the high watermark. This means I don't pay myself anything for months and months. So it's only viable if you have (a) a job, (b) several years of living expenses in cash or (c) other investments...

Yeah, but I started life as an old school options market maker, and I'm pretty dated as well :-) There isn't really a equivalent to one of the many books on trading systems for options, maybe I should write one :-) Failing that I always direct people to my friends home page...