Recent Content by dom993

  1. Real Edge is rarely shared

    I haven't found that mythical Edge making someone profitable all at once, but I have found that profitability can come from adding a lot of little...
    Post by: dom993, Dec 28, 2015 in forum: Trading

  2. Technical Analysis vs Quantitative Analysis vs Machine Learning

    IMHO, 6 months out of sample for 18 months of training is not a validation at all. Your process has to overcome a huge datamining bias, of courses...
    Post by: dom993, Dec 22, 2015 in forum: Strategy Building

  3. Technical Analysis vs Quantitative Analysis vs Machine Learning

    How will you validate anything coming out of this? What timeframe or combination of timeframes are you planning to look at? How much historical...
    Post by: dom993, Dec 21, 2015 in forum: Strategy Building

  4. Backtest with EOD data - how to decide entry/exit point?

    The entry should always be at the open of the next bar ... I suppose your question is for MKT orders ... depending on the instrument, you can use...
    Post by: dom993, Dec 16, 2015 in forum: Strategy Building

  5. Smoothing price data prior to use as input?

    The OHLC of a bar are 4 samples of the transaction data stream. By the time you are sampling, the filtering of high frequencies should have...
    Post by: dom993, Dec 15, 2015 in forum: Technical Analysis

  6. How to tell an ATS will be profitable in the future

    In the backtest category, I forgot to mention, make sure commissions are realistic
    Post by: dom993, Dec 10, 2015 in forum: Automated Trading

  7. How to tell an ATS will be profitable in the future

    It sounds like you have no experience at all with automated trading systems. On the other hand, I am one of NinjaTrader's partners, specialized in...
    Post by: dom993, Dec 10, 2015 in forum: Automated Trading

  8. How to tell an ATS will be profitable in the future

    Also, is the system tradable live? How does it recover from a loss of connectivity, a local crash, etc ... backtest is one thing, live trading has...
    Post by: dom993, Dec 9, 2015 in forum: Automated Trading

  9. How to tell an ATS will be profitable in the future

    I am very skeptic about any backtest with Tradestation when they involve LMT orders (by default, these are deemed filled on a price touch instead...
    Post by: dom993, Dec 9, 2015 in forum: Automated Trading

  10. Useful Statistics for Discretionary Trading?

    An average isn't typical, and it is very misleading. Try plotting the distribution of the metrics you are interested in, and for that be sure to...
    Post by: dom993, Dec 7, 2015 in forum: Strategy Building

  11. Would you trade this system

    1. You should normalize everything to a standard position-size 2. Ignore the backtest & live stdev 3. Using the backtest trades distribution, run...
    Post by: dom993, Dec 6, 2015 in forum: Strategy Building

  12. Would you trade this system

    With all due respect, the OP is telling us his backtest covers 49,000 trades over 40 pairs, and that's all the feedback you can provide? I...
    Post by: dom993, Dec 6, 2015 in forum: Strategy Building

  13. Would you trade this system

    Comparing the averages gives you nothing. Look how far your live average/trade is from the backtest one, not on $ value, but in number of stdev -...
    Post by: dom993, Dec 5, 2015 in forum: Strategy Building

  14. Systematic/Quantitative Trading Testing and Analysis Environment

    Very much in agreement with the above. I use NinjaTrader 7, on which I have developed automated systems which trade 24/5 with very minimal manual...
    Post by: dom993, Dec 5, 2015 in forum: App Development

  15. My struggle - is it Data Quality or something bigger?

    Reason #1 : a lot of published backtest results come from unreliable backtest engines (Tradestation to be specific) ... when a LMT order is deemed...
    Post by: dom993, Nov 30, 2015 in forum: Strategy Building