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hi, I have a question concerning carry interest when the partnership derives its income solely from short term futures transactions. I would presume the limited partners are taxed at the futures rate plus state income tax. How is the carry interest treated for the general partner? At what...

very interesting thread...I've been using TS historical data for backtesting. Does EL have similar bugs to NT when it comes to looking at future data when performing optimizations? I've received a couple of compiler errors when I had similar issues with an index attemping to get out of my...

I think it is more difficult than you realize. You are correct in that the number of parameters tends to be low for a system to be robust. However, even if you happen to know the exact number of parameters, the problem is akin to unlocking a password in which each character has an infinite...

You misunderstand my point, you always have the common scenario, the raw data itself... I'll give you an example, I challenge you to decipher one of my algos. The attached file is an OOS study of ES trading in 2001 with market order entry/exit and $25 total slippage and $4 commissions. Total...

IMHO opinion, it is misguided to worry about someone reverse engineering your algo. The basic problem is that you do not know how many parameters were used in developing the system. For example if you have 1000 trades, it is trivial to replicate all the trades if you use close to 1000...

Hi rttrader, IMHO optimization reports on their own are of little to no value. It is always possible to generate a better glowing report that has no statistical significance. Your algo generates so few trades that it should be straight forward to perform a WFO. This should shed more...

Not sure what the context of your post is...The thread's assumption is that HFT is a profitable endeavour and driving away prop traders. You seem to argue that markets are uncorrelated and algo traders are somehow full of it. Both can't be true. If you need proof that quants can make...

Not sure what the context of your post is...The thread's assumption is that HFT is a profitable endeavour and driving away prop traders. You seem to argue that markets are uncorrelated and algo traders are somehow full of it. Both can't be true. If you need proof that quants can make...

I don't think anyone will be willing to post account statements. Nonetheless, the rapid rise of HFT over the past five years didn't occur in a vaccuum. HFT continues to increase for the simple fact that it is profitable, very profitable. This would not be possible if algorithms couldn't...

I don't think anyone will be willing to post account statements. Nonetheless, the rapid rise of HFT over the past five years didn't occur in a vaccuum. HFT continues to increase for the simple fact that it is profitable, very profitable. This would not be possible if algorithms couldn't...

The definition the WSJ touched upon is pretty broad. There is no mention of the regulation(s) being discussed. Is a FTT one of the scenarios being considered?

In my experience, using any type of soft computing technique is an indication that you don't have insight into the problem you are attempting to solve. Once you gain insight, there are typically computationally more efficient ways of addressing the initial goal than using NN.