Search results

This spread has reached something of a maximum today at >20c If you watched the expiry of N7 you would notice that KC was discounted to GX all the way to a few days before FND at which point as the specs got out and the physical reality showed up KWN7 went to a 14c premium to WN7 and eventually...

buy this bar on close if you use [intrabarorderpersist = true] then every tick is considered a close price.

You need to use tick chart and calc MA on different timeframe using ADE. Check out TS forum, it is too involved for me to explain here.

Sorry , but sounds like a load of waffle to me. An average is calculated over a set of fixed historical points. You need to decide which points these are. If you want whipsaw city then make it every tick but one thing you need to ensure is that you use the same calc method you see as...

The MA is calculated not on a tick by tick basis but on close of bar basis. When MA's are close together they may cross several times intrabar so if you set code to buy/sell at every cross you may well end up buying/selling several times in a bar. Best bet for you is to shorten your timeframe.

This is not the case. Just use following syntaxc in EL if {condition} then buy {x} contracts next bar on Open; this will work even without intrabarpersist. The main commands you will require are if {condition} then buy {x} contracts this bar on close; if {condition} then buy {x}...

I have run fully automated strategies for a number of years. I use tradestation to do this. Currently TS8 The development and testing has to be rigorous and you need to be sure you are not kidding yurself by over optimising your parameters. One very clear fact is that the simple systems are...

You can buy/sell intrabar using stop orders or using the inbuilt [intrabarorderpersist = true] function.

I thought Jones book was good but it is also not giving full picture as he is without doubt on a fixed ratio mission. A lot of people who have tried various option over the years will still choose fixed fraction as they are not prepared for the risk a small delta will give them in the early...

IMO, when it comes to intraday it is best to base your money management on fixed fraction. Fixed ratio exposes your account to higher risk in the initial stages than it does when it has grown but if you are continuously drawing on your account then you will not compound it sufficiently anyway so...

I think then this is the US rates

looks like these should be exchange fees yes. Not sure this is what RTS pay, I think they may charge that to clients.

If you are subscribed to the European scheme it is as follows 1-25k 44c/side (88c/rt) 25-75k 39c 75-150k 34c 150-250k 29c 250k+ 24c If you are in US I think you get charged a lot more. Reason for te reduction here is that they need to compete with LIFFE and Eurex to tempt locals into...

Alliance will be $0.14 over exchange to begin I believe. 1-25k would be $1.02 per round turn all in 25k-75k $0.92/rt 75k-150k $0.82 150k-250k $0.72 250k+ $0.62 I say this but Alliance clear through Fortis and when I last traded CME through them they had to clear through the Chicago...

I am not sweeping away the idea of backtesting. I use that extensively. It is more the posting of results on the board that just seems pointless and naive, that is what I was ranting about. I have used backtesting methodologies to develop systems for many years. I think discussion of...

When Refco Pro was easyscreen they did have a dll that allowed spreadsheet to be linked to the platform and this allowed auto execution. Think it was DDE rather than RTD but before it was widely available somebody had a screw up with it and ended up taking easyscreen to court and winning. Think...

So 50/50 doesn't look so 50/50 anymore does it. Anything over €54/rt on Eurex is a premium as this is rate openly available to self funded traders. For Liffe anything over 70p/rt is same. Even at those rates there is profit margin in it for the business and the clearer. Saying that, as...

The split means little if you do not have a cost structure. What are they charging you for desk and transaction.

I think percent is an important measure if you want to attract capital and market yourself but if you trade for yourself the first concern for me is always covering my monthly office and living costs and that is always a clear dollar amount. I like to look at % as they always look far more...

re-reading your original post see Ryans book and my WWW are useless as you are intraday scalping. It is best to keep your clip sizes the same. Actually over time as you are no doubt aware size tends to increase anyway as confidence grows. The type of progress I have seen with funded guys who...