Recent Content by albertly

  1. IB: Can you create multiple orders at the same time?

    Why not to call IB's support?
    Post by: albertly, Dec 7, 2011 in forum: Order Execution

  2. Method of checking if a trading system "is broken"

    Monte Carlo, of course. If it is good for nuke, it is also good for trade :) :) :)
    Post by: albertly, Oct 26, 2011 in forum: Automated Trading

  3. Method of checking if a trading system "is broken"

    The answer of John Wolberg The key point is [X(i) - X(i-1)]/X[i-1], and not what I did [X(i) - X(i-1)] . Now everything is pretty clear.
    Post by: albertly, Oct 25, 2011 in forum: Automated Trading

  4. Method of checking if a trading system "is broken"

    I've found very interesting method of checking if a trading system "is broken". From the book of John Wolberg "Expert Trading System - Modeling...
    Thread by: albertly, Oct 23, 2011, 4 replies, in forum: Automated Trading

  5. What stage in ATS development

    I am in step 3. However as posted before steps 1 and 2 never end
    Post by: albertly, Sep 30, 2011 in forum: Automated Trading

  6. Cut Loss in Half Using Wider Stops

    Maybe it is not so bad advice. 1. Systems based on chart patterns - need stop loss. 2. Systems based on trend following - may need stop loss...
    Post by: albertly, Sep 29, 2011 in forum: Risk Management

  7. Slippage of MOO/MOC

    The same as IB's data feed. Interesting what was the open price of SPY (AUG 31) on your data feed ?
    Post by: albertly, Sep 4, 2011 in forum: Order Execution

  8. Slippage of MOO/MOC

    I am not arguing with that. When I build strategy I've got one open price. All data feeds gives me so-called "first trade price" as open price....
    Post by: albertly, Sep 4, 2011 in forum: Order Execution

  9. Slippage of MOO/MOC

    The open price was 122.46 - On Yahoo, On Bloomberg, IB's TWS also gives 122.46. Filled price was 122.48. I've got plenty of explanations...
    Post by: albertly, Sep 4, 2011 in forum: Order Execution

  10. Slippage of MOO/MOC

    It would be nice to have statistics about slippage in execution of MOO/MOC orders. I want to start new thread where everybody can publish real...
    Thread by: albertly, Sep 4, 2011, 9 replies, in forum: Order Execution

  11. Optimization of a trading system with avoidance of curve fitting.

    The rule of intradaybill is not curve fitted and there is no place to curve fitting. However in no way it is full trading system. Exit,...
    Post by: albertly, Sep 2, 2011 in forum: Strategy Building

  12. Optimization of a trading system with avoidance of curve fitting.

    But what do you do not to fall into curve fitting trap? You can measure predictive power of optimization with walk forward test. Actually I...
    Post by: albertly, Sep 1, 2011 in forum: Strategy Building

  13. Optimization of a trading system with avoidance of curve fitting.

    short, but wrong. There is no way to use indicators without using parameters. Hard-coded values of parameters can be the same evil as...
    Post by: albertly, Sep 1, 2011 in forum: Strategy Building