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I like it. It was the sentiment that really got my attention after this rally. For so long we've seen people buying into every break. Now longs work a bit and it's just silent. There's not much scientific in there but I get the impression that people are scared to get long. "It's too...

Instynct, thanks for such an in depth reply. Trading at constant size for me was really a compromise. It was an easy way for me to stay sized up for the really big moves, and that more than made up for the larger losses. If you can do that, while also eating smaller losses, by all means...

Something I think would be interesting is to see how you do trading all-in/all-out for a bit. I only say this because I personally find it extremely difficult to properly size trades in real time, so I do better when I hold my size constant. Too often I end up too small at the best times and...

All that needs to happen now is for these moves to be true step functions. I was short into that and I still had time to cut without eating the whole range. I used to marvel at how quickly the 10 yr could find value after NFP. Now we do almost as well in CL on an unexpected headline. In a...

I think you can submit an order without transmitting it, so you can set up your bracket, then modify the parent order to transmit it. I'm not 100% but that's what I remember. If that doesn't help, post back and I'll dig through some code tomorrow. I don't know about the second q. If you...

A huge amount of the arbs in futures are against similar products, not the 'true' arbs. When gold got bombed a few weeks ago, the bots instantaneously arbed it against silver and copper. Now from a human perspective everything moves at the same time and there's much less advantage to watching...

If you used switch for this, it would look something like the code below. What the code attempts to do is create an array of strings (dayStr) that is set to the textual value you want by looping through the values of the dayInt array and switching on individual values. It doesn't work...

I use return because it's returning a value from a function. You can try to restructure the code so it doesn't use a function if you're looking for ways to learn syntax. Anyway, here it is with the Price.afl Title assignment modified to include the name: function DayOfWeekName() { dayInt...

Try this: function DayOfWeekName() { dayInt = DayOfWeek(); dayStr = WriteIf(dayInt == 0, "Sunday", WriteIf(dayInt == 1, "Monday", WriteIf(dayInt == 2, "Tuesday", WriteIf(dayInt == 3, "Wednesday", WriteIf(dayInt == 4, "Thursday", WriteIf(dayInt == 5, "Friday"...

How about adding in some indicators from the daily charts? Does your 5 minute RSI buy signal work better when the daily RSI is below 30? Why not also try testing some stuff that is external to your market: NYSE vol stats, put/call ratios, vix, etc? One thing I catch myself doing is...

nitro, try moving the begin/commit out of the loop. I get about 2x speedup from your original. SQLiteTransaction transaction = _cnn.BeginTransaction(); for (int i = 0; i < 65000; i++) { mySqlCommand.ExecuteNonQuery(); }...

I totally agree. Brokers might as well use client funds to write teeny puts, keep them off the books, and pay the premium back in lower costs. All the bs out of cme group about how their products allow their customers to better manage risk is a joke at this point. Thanks to the brokers, all...

The problem with IB is that it's a boat in an ocean full of thieves and asshats. The entire industry seems to be based on the principle that if you hire smart enough people, you can defraud the country in clever enough ways that you keep your money and stay out of jail even when you get caught...

http://research.stlouisfed.org/fred2/series/DGS1?cid=115

Here's a blog that talks in a few posts about using markov models. May be good for a few trading-related ideas: http://jonathankinlay.com/index.php/category/market-microstructure/toxic-flow/

I'll give a few reasons why it matters: 1) If I'm looking to make money capturing trends, I need to know that trends exist. Maybe it seems obvious that they do, but it would be nice to verify every now and then. 2) If I'm picking markets to trade as a trend follower, it would be nice to...

How do you deal with the fact that the efficiency ratio gives the same results for step functions as for diagonal lines? I spent some time working with it some time ago but abandoned it as a trend measurement. EDIT: I didn't mean this to challenge your use of it as a trend measurement...

It's not a matter of whether it's necessary or unnecessary, it's a matter of how confident you are that the feature you are exploiting exists in any data other than what you are currently testing against. For example, if I have a development process that starts with a bunch of data and finds a...

Thanks for the input. How about a benchmark for the curve, though? Is there a single or 2 spreads that everyone watches to get a pulse of the market? It's not like I expect to walk into a market where I have ZERO domain knowledge and take over. In fact, it's the opposite. As much as...

What a rabbit hole. Without a background in finance, the interest rate stuff is like a foreign language. (To add to the links for posterity, here's a note on calculating DV01 for calculating spot hedge ratios)...