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For any traders out there with more than 500+ trades have you looked at the R Squared values for your equity curves? I combine various systems in the portfolio with Rsquare of between 0.95 and 0.982 and now have an equity curve R2 of 0.9872 since 2004 with 3922 trades. Anyone else done that...

There is a survey at the beginning of this thread guys... would be of great help if you could give your opinions. Regards and good trading

Good idea. Algo Money managers included I hope. Regards

Agree with RedDuke - NT is a very good platform for the money

To ensure that your system is not benefiting from a set of market conditions that will fade away... just make sure your testing period (in sample) is long enough. Mine starts in 1999... and covers a lot of changing market conditions. Regards and good trading

Totally agree with d08 - diversification of even OK edges will yield better results than a single very strong edge. From my experience the reduction of drawdowns really helps in calming the soul and eventually really benefiting from compounding effects. Good trading to all

Managing money for others suits traders that wont affect their own profitability by the impact of the larger size. Running many systems gets around this, but I know that the extra admin of being a CTA / Fund does put off alot of talented traders. Collective2 is a good place to learn about...

NT will allow you to run strategies will very little maintenance. You can easily keep an eye on things and do the necessary maintenance/test management. I spend around 10 minutes a month on maintenance of variables and the rest is research.

Totally agree with i960.... also do not forget that fabulous miscarriage of justice.... Mr Corzine.

Now that is opening a whole can of worms, and you are likely to precipitate a number of Rick Santelli style rants with a question like that :). Its simple.... because the dark pool operators and the HFT/MM machinery are "cousins". They have a common interest. Mr retail/institutional trader is...

That is correct. Selectively of course.

I use NinjaTrader and IB, cheapest and IMHO best package

It sounds like this is something you need to automate. Makes life ALOT easier. Regards

I specialize in the open in Futures and stocks... futures are much easier to pin to exact open because they have a premarket and are traded on one location. For my US stocks for example I just use the NYSE feed... the bid/ask starts off wide once the Market makers have marked the stock for the...

Read and digest the posts in this forum. You will gain alot of ideas. "Tenet Nosce" = know yourself. Believe me, trading reveals a great deal about your character. Rule #1 - trade with the odds on your side. If you dont know the odds... dont trade it. That is a very good place to start. Good...

I agree with RoughTrader on this, in that you can either employ different strategies or the same strategy (tweaked) across many different markets. Even combining two strategies can really smooth the equity curve. I use five core systems - and am in the process of farming them out to single...

I use NinjaTrader and IB because NinjaTrader in C# gives alot of flexibility. If you consider using NT for your migration get in touch. Regards

It is a good question. I spend about 10 minutes a month on updating specific pieces of code so for me a full time job would certainly be possible. I think that for all those in the early development stage it would be hard to both work full time and produce a quality automated trading system...

Morning James Lu - yes sounds like you have been curve fitting. I have an idea for you. Run the optimized strategy and another strategy that has a much lower level of optimization and compare the performance of the two. Living something is much more powerful than just reading about it. The...

Do you have enough observations? Have you graphed the historical drawdown phases? Did you conduct any optimizations? Be careful of Postdictive errors (backtesting using the known result to execute before the event). I built my original tests on 2000+ observations. Regards