Well, it may be interesting to calculate those stats but I'm not sure knowledge of them could help me improve my program. Wouldn't hedging be...
No, I think a trader friend had a leased seat at some point but it never made sense for me I believe. But yeah, our trading group had searched...
I think during my best months I might have been making (pre-commission) $4-$5 per round-trip russell trade. How did you calculate the 1 tick?...
I wasn't giving up the spread. The key was bidding/offering at just the right times so I could make money. Very much like a market maker.
Good questions.. And you are right, I failed to add some important details. I had a server co-located in Chicago. Trading Russell I believe the...
It's a year of profits with 1000-4000 trades per day. All my trades were with 1-2 contracts position size and I had a 50/50 split of long/short...
Did you even read my article? I understand what you've said about survivorship bias but it has no bearing on what I was doing. I was only...
What do you mean my P&L decay is typical of the results from survivorship bias? How so exactly? btw, I agree with you that if I kept my program...
Okay, you are talking about overfitting. I was very aware of this as I setup my system. It really wasn't much of an issue. (ie my system performed...
Yes I think ML had everything to do with it. The algo had hundreds of variables and they were all optimized using ML. I certainly didn't have...
Hi, I'm the author of the article in question. Would be happy to clear up any fishy-ness. A couple of corrections. I only sold one business. When...
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