190k in an hour¿¿¿ scalping????

Quote from Algo_Design_Kid:

The only problem with using BS's is factoring in potential slippage in a backtest. As you probably know a half tick in slippage incorrectly accounted for either way can turn any system like this upside down.
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Good point. However that's pretty moot if you've got tight spreads and lots of activity...volume above 4 million shares per day for instance.
 
Quote from syswizard:

Good point. However that's pretty moot if you've got tight spreads and lots of activity...volume above 4 million shares per day for instance.
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I don't know. You may be correct. This is where 'backtesting' becomes sketchy, IMO.

I always use 1.5x tick size for slippage when using stops. I have never really backtested intraday equities ( only futures ) but I still use this (1.5x slippage ) for even ES.

What platform do you use for backtesting and how 'deep' is the data?
 
Quote from Algo_Design_Kid:


What platform do you use for backtesting and how 'deep' is the data?
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My previous platform was Tradestation. Now I'll be moving to Multicharts. They're doing some good work over there.
Still, I'm pissed at all of the money for licensing I pissed away at Tradestation.
I'm amazed Bill Cruz is still alive believe it or not. He really PO'd a lot of traders.
 
Quote from Marc to Market:

BTW, this video is from 12/17/2009 when C traded 3,772,638,000. Yes, that's 3.77 billion shares. Those days were really a once in a lifetime opportunity for those who knew how to play the game.
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There is a Ferrari 458 in the background in the video. This car was not around in Dec 2009, nor were there any photos of it.

The video was also uploaded in 6/2011. Are you sure about your dates? :confused:
 
Nice observation. That is indeed a red Ferrari 458 Italia on his desktop. While the car was not available to the general public in December of 2009, there were magazine articles and photos of it circulating around the web at that time...

"The 458 Italia was officially unveiled at the 2009 Frankfurt Motor Show on 15 September 2009."

http://en.wikipedia.org/wiki/Ferrari_458_Italia

But yes, I am sure about my dates. The lower left hand corner of his screen shows the "Trading Monitor" window from Sterling Trader Pro. This always features a tab on the right with the previous date's executions. In this case it reads "12/16/09 Executions." This is how I was able to figure out that the trading in these videos was from 12/17/09. When I then looked up the volume C did on 12/17/09, it made perfect sense since it did an extraordinary and even extremely rare for C's standards 3.77 billion shares that day and in the videos, we see it has already traded 2B shares by 10:45 AM. This was the biggest volume day for C in December.

Quote from GordonTheGekko:

There is a Ferrari 458 in the background in the video. This car was not around in Dec 2009, nor were there any photos of it.

The video was also uploaded in 6/2011. Are you sure about your dates? :confused:
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You simply cannot take an isolated incident and project it mathematically across a forward curve and say "that's how much money I'll make".

Any serious trader knows it does not work that way, especially the way this particular trader is going about it - definitely a double-edged sword.
 
Hmm, then the uploader of this video, could have a lot of other videos like that. maybe the firm suplyed them for educational purposes or something like that.
 
Who said anything about him owning a Ferrari? He just had a picture of one on his Windows desktop.

BTW, 2010 was the first model year for the 458 Italia. So there's no such thing as a 2009 458 Italia. Are you talking about the F430 that it replaced?

Quote from syswizard:

So he bought a 2009 edition of that Ferrari ?
If so, it's a pity:
http://www.edmunds.com/ferrari/458-...58+italia+car+values&mktid=ga60765943&msite=w
The car underwent massive changes in 2010.
Looks like that was one trade that went south on him.
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