Using ES Time and Sales

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Quote from Grob109:

That is so important to have designed in. I like your summer winter trade ratios as well. not only does trade frequency increase, the profits per trade stretch out too.

Someone said something about what is in the cards for the future. I know the trading systems are going to be improved by leaps and bounds too. Multiple duration trading will probably come to the fore soon.
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I’ve worked with the notion that every system has periods of good performance and bad performance, and that finding consistently profitable, net-positive edges is a very hard problem.

So I took a completely different approach... paper trading and monitoring a population of 6 to 50 unique daytrading subsystems, each simple in design, but with somewhat unstable profitability, and all net-negative over the long haul, and find a way to forecast near-term profitability for each subsystem. This seems very robust to market changes, because each subsystem plays certain opportunities, days, or particular patterns. When none of the subsystems achieve a high enough forecast, the top-level system stays neutral. If not enough subsystems are profitable or the system is neutral for too long, I just eliminate the worst subsystems and search for new ones. Yes the search is in hindsight. But done over a population of systems it becomes robust when walking forward.

I agree completely that systems are the way of the future. I think systems and traders today are having to anticipate what other quantitative systems will do in the market. It’s becoming one big quantitative game.
 
I looked at an esignal chart from Oct 8 and can't locate your trades on the chart. IB graphical execution report you posted shows local time. Even after going hour by hour I can't find any time that makes it all fit.

When did these trades take place? I'm having trouble matching them up with anything. Even if you were in Australia and the chart was from the trading day of Oct 7, I still can't make the trades fit.
 
Hi Grob109,

I compared your fills to a one minute chart of ES for 10-8-03 and I could not match your fills at all. What time zone are you trading in?

Thanx,
Backwardation
 
Quote from PuffyGums:

I looked at an esignal chart from Oct 8 and can't locate your trades on the chart. IB graphical execution report you posted shows local time. Even after going hour by hour I can't find any time that makes it all fit.

When did these trades take place? I'm having trouble matching them up with anything. Even if you were in Australia and the chart was from the trading day of Oct 7, I still can't make the trades fit.
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Quote from Grob109:



I'm AZ time.

This is the IB demo, go through it and follow the trades for your time zone.

Look at the ES on 07sep from 15:00 on. We (the guy I was mentoring) looked at that time sequence to check it out too. Use the 1 min bars and the T &S for that period.
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Quote from Backwardation:

Hi Grob109,

I compared your fills to a one minute chart of ES for 10-8-03 and I could not match your fills at all. What time zone are you trading in?

Thanx,
Backwardation
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I have to second that. Can't see those executions during the day.

TM Trader
 
The AZ location is what I was guessing and Oct 7 at the end of day was a close fit, but some of the bars don't match.

For example at 15:08 (central daylight savings time) shows a fill at 103650. Not even close. The :08 bar for Oct 7 had a low of 103775.

Since you said it was a demo, I'm supposing the data was messed up.
 
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