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kotika, I read your first post, walk around in the living room and thought it was amazing how many that actually would spend some time on useless comments here on ET., especially people who are not doing fully automated trading. Then I came back to the computer and read your second post that...

Hi JB3, I have been re-thinking my fully automated trading project the last month and your comment is pushing me in the direction I will change. So for a start I will do larger time frames 60 minutes for the signals and daily frames for the overall market condition. Secondly I will go back...

Corelio, My explanation wasn't that clear so I will give it a go here with different words. I am not just taken the parameters that fit best on the combined three data set, but the parameters that fit bests on the individual data set 1,2 and 3. So basically you need to sort the parameters...

Rabbitone, I like your top-down approach and will try to adapt it. From previous working experience I have done many top-down approaches on data modeling which always seems to make the final models easier to understand and use. I need to read your post again a couple of times because you give...

NY0BScalper, When I do discretionary trading I pretty much break even and my style is just as you describe it - many trades small profits. Yesterday I was trading APOL. I found my entry shorted it with a limit order and right after the trade went in my direction. I moved my stop to the break...

Rabbitone, I think you are familiar with the expression 'curse of dimensionality' from all your testing. Curse of dimensinality is the fact that when increasing the numbers of parameters in your model you must exponential increase the data needed to optimise the parameters in order to reduce...

Thanks Rabbitone for your comments. Regarding the sector/etf model your are right it is basically a scanner with some entry logic. The reason I want to try it out is because it is easy to code and you can go long and short with hundreds of symbols at the same time. However the gap trading as you...

Yes I am planning on being an statistical outlier

thanks, I have just ordered the book from amazon.

LOL, I knew this one was coming.

thanks I will start reading it right away.

By fulltime I mean fulltime developing strategies not fulltime day trading. Living off my savings.

regarding trade management it is not initial position size it is more trade management strategies I think I should optimise. Scaling in/out, multiple targets, stops vs no stops or stop and reverse. I use several perfomance measures but most important I am always looking at the slope of the...

Actually I think I will give this a go. One of my challanges was also the normalisation of the two time series, or when to have the initial spread. Eg. working on intraday spreads I guess you should align the series within the first 30 minutes or so??? or adjust for the gap (this is what I did).

I have also considered those options. However, if I cannot get the other systems to work I don't think I can get a fully automated newstrader or eventtrader to work...

From my savings I started out in marts 2008 fulltime trying to build fully automated systems. So far 10 months working on fully automated systems and I still have not found a stable solution. Living in Copenhagen, that’s in Denmark (which is why my English a mess), the US market is open from...

Yes, just as NinjaTrader does with the CalculateOnBarClose() method which can be set to false/true depending if you run your strategy on tick data or bar data. I avoided to have everything in one file. Instead I created event files to match different strategies. So for the tick event I might...

Somewhere on ET you can find these two links which got me started: http://www.matlabtrader.com/ http://www.exchangeapi.com/ProductOverview.htm I register the events I am using as follows: ibtws.registerevent({'errMsg' 'event_errMsg'; ...