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Well, it may be interesting to calculate those stats but I'm not sure knowledge of them could help me improve my program. Wouldn't hedging be something you do if you want to lower risk? My trading was already extremely low risk so that wasn't an issue. If I did want to stay in trading I...

No, I think a trader friend had a leased seat at some point but it never made sense for me I believe. But yeah, our trading group had searched around for the best commission rates based on our style of trading and how much volume we did. (I was the only one that created the automated program though)

I think during my best months I might have been making (pre-commission) $4-$5 per round-trip russell trade. How did you calculate the 1 tick? In the article I state that my program did not use length of time in a trade as an input for any calculations. Also, it made no distinction between...

I wasn't giving up the spread. The key was bidding/offering at just the right times so I could make money. Very much like a market maker.

Good questions.. And you are right, I failed to add some important details. I had a server co-located in Chicago. Trading Russell I believe the latency was around 10-20 ms. (I actually mention modeling this in the article.) The DAX latency was around 60-140ms based on my memory. (Had to cross an...

It's a year of profits with 1000-4000 trades per day. All my trades were with 1-2 contracts position size and I had a 50/50 split of long/short positions. It's clearly not a random walk. The problem here, I believe is that you don't know the types of indicators I was looking at. For example...

Did you even read my article? I understand what you've said about survivorship bias but it has no bearing on what I was doing. I was only backtesting using 4 weeks worth of data. It is pretty rude to say.. "I think you are a noob, no disrespect". As you can see from my P&L chart my...

What do you mean my P&L decay is typical of the results from survivorship bias? How so exactly? btw, I agree with you that if I kept my program running my results would be negative. In fact I KNEW that the results would be negative and that's why I turned it off. When saying survivorship bias...

Okay, you are talking about overfitting. I was very aware of this as I setup my system. It really wasn't much of an issue. (ie my system performed almost as well on new data as it did on training data.) It's pretty easy to check for this by assigning a portion of your training data as validation...

Yes I think ML had everything to do with it. The algo had hundreds of variables and they were all optimized using ML. I certainly didn't have a strategy of "getting out when profitable". My algo did not make any of it's decisions based on the price that a trade was entered.

Hi, I'm the author of the article in question. Would be happy to clear up any fishy-ness. A couple of corrections. I only sold one business. When I got back into trading I had no money. Borrowed 10k from my dad to trade Russell futures manually. Built that up to 30k before I turned on the...