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Example Trading System
- Thread starter sidinuk
- Start date
Quote from tradersaavy:
Anyone else ?
Did you have 10450 or 10451.
I use Esignal. I think sidinuk uses TradeStation.
I use IB and I had a high of 10450 in the opening minute but only 10450 at 2:25.
I think this can happen pretty regularly. I've been filled at prices that never seem to come through the feed a few times.
Sid-
Do you feel comfortable trading a system with a "don't trade on thursday" rule?
I'd revisit it some, unless you can think of a way to substantiate it, as it seems only an excercise in curve fitting could have even come up with it. I'm not dismissing it, but it begs for some further research be done. For instance, maybe there's a report that's been released on a few thursdays in the past which is the REAL culprit? or maybe you randomly filtered out a black swan or 2?
Unless I could come up with a credible theory to support such an odd rule, I wouldn't feel comfortable with trading it.
Do you feel comfortable trading a system with a "don't trade on thursday" rule?
I'd revisit it some, unless you can think of a way to substantiate it, as it seems only an excercise in curve fitting could have even come up with it. I'm not dismissing it, but it begs for some further research be done. For instance, maybe there's a report that's been released on a few thursdays in the past which is the REAL culprit? or maybe you randomly filtered out a black swan or 2?
Unless I could come up with a credible theory to support such an odd rule, I wouldn't feel comfortable with trading it.
Jason I,
In my original article I do say that the Thursday rule is based on quite a small sample size (just 6 months) and may not be that reliable.
I have now revisited the days of the week for all 5 contracts to see if Thursday's stand out over a much larger sample size - January 2003 - September 16, 2005 (32.5 months). It's quite a lot of data so I've put the results on the website:
Trading System - Days of the week filter revisited!.
In my original article I do say that the Thursday rule is based on quite a small sample size (just 6 months) and may not be that reliable.
I have now revisited the days of the week for all 5 contracts to see if Thursday's stand out over a much larger sample size - January 2003 - September 16, 2005 (32.5 months). It's quite a lot of data so I've put the results on the website:
Trading System - Days of the week filter revisited!.
Quote from sidinuk:
Actually, I use the live data feed from Interactive Brokers. It is enormously possible, though, that if a tick was quick then it was missed by their 'snapshot' view but I've never noticed that in the past.
I use esignal for charting and IB for trading. IB misses a lot of ticks each day. It is evident when you run the two side by side.
Trent
Sep 20, 2005. We were already short before the FED announcement which served to accelerate the markets downwards. We closed the day with healthy gains on all contracts and a total profit of $2,802.50. Full Daily Results