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alexandercho, Don't worry about Sushi -- he's an example of a type of poster common on ET called a "Troll" -- one with nothing better to do than to try to rile up those legitimately trying to improve their trading and/or assist others. Trolls are speculated to be failed traders who still...

If you declare a proposition false, then you're declaring its opposite true. Hence, in your proposed framework, all you need to do is rephrase your hypotheses, and suddenly your pessimism is turned to optimism :D

You mean you have already written the code? If so, you might want to consider finding some examples from your broker and inserting it -- most brokers have pretty good example code, and often don't send it to you unless you ask. One caveat: if you haven't actually written the code in a...

I thought about it, and have come to the conclusion that you've got an interesting definition of "lazy", because apparently it includes living in your office round-the-clock so you can invent nonstop (e.g., Edison, amongst others). :D But in all fairness, the number of things you tried...

Actually, does refute Sushi's "fact", which was that 100% of traders lose money overall in the long term. But I forgive you for not wanting to read through all of Sushi's trolling posts (assuming, that is, you are not an alias for Sushi) :D I was not disputing that 90% or 95% or even...

I agree, nitro. Hardware and latency certainly deserve due consideration and expenditure, but obsessing over these alone (as the original blog author seems to imply that many are doing) will not keep one in the game long-term, I think. It's the entire system that counts, and as you say, other...

Your comments might be considered a good warning for "aspiring automated traders" -- most, after all, should quit before they start. But simple/nontechnical ideas are not, in and of themselves, superior to complex/technical ones. Just ask James Simons :D

Thanks for your sharing your experiences, milktruck. Very interesting, yet depressing. I wish everyone considering opening a bucket forex account would read this first.

Turns out I know what that is, and that it has nothing to do with my statement or the fact that it decisively disproves yours.

Just eyeballing the numbers in the lowest level reports (several links down in the S&P site), it seems to me that the active managers may have actually outperformed their respective indices on a 5-year basis, by a small margin, BEFORE fees. But no details of the fees seem to be aggregated in...

dtrader98, I agree with virtually everything in your post; in fact, I think it in itself is quite a good primer for anyone wanting to apply any "computer fitted model" to trading. But it bears only an indirect relationship with the discussion I was having with the earlier poster, whose...

This also is absurd, any way you slice the definition of "active trader". Think about it. Or maybe you just "believe" this because it makes you feel better about losses you yourself incur? If so, may I suggest quitting trading and getting on with your life? Ultimately, trading, even highly...

To be a "universal function generator", you need neurons => infinity which roughly implies examples => 2 ^ infinity == infinity. So the relative suitability of ANN's really depends on how a LESS THAN UNIVERSAL neural net learns the "true function" you're trying to model, versus...

Given: 1. infinite computational power 2. an infinite number of independent observations (data) Yes. But under any realistic assumptions, No. The problem is the rapid (exponential?) expansion in the amount of data required to train, without overfitting, an increasing...

If you think that's hard to believe, get this: a couple of weeks ago, I met a guy who had never heard of TRADING. His occupation was full-time troll and earned-income-credit recipient. Now here's the kicker -- not only had he heard of ET; he's a FREQUENT, multialias poster!

Rabbitone, You post some of the best and most thoughtful posts on automated trading on ET. Please don't get too frustrated/confused by the OP -- that would fulfill his/her objective, as this is a "troll" thread! (Although in this case, you seem to have generated a sympathetic response from...

I think I agree with your sentiment here -- teaching "automated trading", as an academic subject, would be very difficult, as ATS's are systems using disparate components, and the value added often depends upon uniqueness. Some automated traders may use pure math, some may use NN's, etc. but...

Definitely not symptomatic of a booming economy, but on the bright side maybe this will encourage a higher proportion of startups with a business plan that can succeed even if they don't IPO, as was the case in the days of old. After all, the most profitable tech companies today were internally...

In the current environment, the primary purpose of "smart routing" seems to be to "internalize" customer orders. "Internalization" means that brokers can trade against their own customer while avoiding the "hassle" of external competition on an open exchange. The net result is higher spreads...