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AB has an IB interface: http://www.amibroker.com/at/

I have reworked the strategy, correcting a bug in the sizing algorithm and somewhat altering the rules. Most importantly, I plotted the trade amounts and did not like what I saw at all. As the maximum amount was 20% of the portfolio value at the moment (position sizes are not adjusted later)...

What do you mean by "only quantitative"? Only technical with no fundamentals?

Many thanks for all opinions. I have not started paper trading yet (had some time-consuming trouble in other fronts). I hope to paper trade from some date in September to the end of this year. Will post results.

@Daniel.a Changed commission to 0.01. The results: Initial capital 100000.00 Ending capital 2754165.87 Annual Return % 21.21% Avg. Profit/Loss % 0.42% Max. system % drawdown -7.31% Sharpe Ratio of trades 2.00 What value do you recommend for the commission?

@RedDuke I appreciate your comment. Please refer to the performance for 2004-2009 in one of my earlier posts and feel free to express your opinion. I just found out that @ works at this forum. Thanks in advance, etc.

@SunTrader Could you advise how to include slippage better? As short as I can understand, the slippage is a function of traded volume. Is the 1% rule not sufficient? My initial capital is fairly low, 100 000 $ (close to reality).

@Daniel.a This is my first strategy that kind of works and for the time being, the only one. However, I fully understand the reason why one should have many of them. I have just not had enough time to create more. A short only strategy following the same train of thought will be the next one...

Thanks for your thoughts. Yes, my data starts in the April 1st 2004. RedDuke, you made a valid point about the bull market. Admittedly, the performance of the recent years is the best. However, for the 5 year period from the April 1st 2004 to the April 1st 2009, during which the SP500 fell from...

I will not disclose the precise entry & exit signals. No, all SP500 constituents are watched. Positions are sized not to exceed 20% of the Portfolio Equity and 1% of the volume of the same hour of the previous day. If multiple signals are received at the same time, the available resources are...

I do believe so. It utilizes RSI in a peculiar way together with additional rules for risk management.

Absolutely. I was rather surprised to find such a high quality thread.

Dear All, I have formulated my first strategy that looks anywhere near promising in backtests. Could you please give your opinion? Software: Amibroker. Frequency: hourly. Data: SP500 stocks 1.04.2004-1.04.2021 (obtained from the FirstRateData, KMI omitted). 761 symbols traded (probably more...

I started with stocks but wanted to experiment with CFDs, too. I am not a particular fan of the CFDs but I would like to understand how they work.

Well, I reckon that if I bought 100 CFDs for USD 10.00 and entered an order to buy 1 with the bid brice USD 666.00, it would be kind of unfair towards the broker to ask the price difference for the remaining 99 CFDs before the real transactions are made. However, since trading on CFDs does not...

I am posting CFD bracket orders by the help of the IB API: buy at certain limit, sell at certain limit, sell after certain time. I sometimes get partially filled sell orders like Filled 157 / Working 128 (that has been "working" like that since Jan-18, I am trying to sell VCEL for 17.98 -...