By this do you mean that 20% of the MCs had a worse drawdown, and 80% were better?
Thanks for sharing! That's one way of doing it, and sometimes it's inevitable. But a problem with reducing position size after losses is that...
You could compare tick charts of the ES at 4pm.
Yes, it's normal if your data provider's historical data is corrected real-time data.
OK, thanks. You could try the following (if you haven't already tried it) ... For both instances ... Tools > Historical Data Manager...
I donât think the article mentions HFT. And I donât think HFT is the reason hedge fund returns are less stellar than they used to be. IMHO...
You mean the data sets in both instances were obtained in the same way? i.e. either both were obtained in real-time using the same real-time data,...
It's an intellectual challenge to try to make "cause and effect" sense of price action and the markets.
If you still have no grounds that might call into question your original analysis, and if the max DDs are still less than historical maxima, and...
How does overall "live" performance to-date compare with the backtest statistics?
IMO, you want to be careful with this sort of thing: 1. If youâre trading systematically on the basis of backtests/optimizations/etc, this sort...
"Tick" is used in various ways in trading, but the definition relevant here is that "tick" refers to a transaction of a security on an exchange....
With all due respect, I think your muddling correlation and cointegration ⦠See...
Thanks. Right, I see what you're saying. The fact that the stop order is already working is not the key determinant; instead it's the timimg of...
Thanks. Yes, I agree that data would be interesting to see. Does this work as an idea? (1) The more actively-traded an instrument, the...
Thanks for this ... Iâve spent some time looking at some past examples of these sorts of situations in the ES, specifically 9/11 (happened...
Thanks for the additionl info. a) So the issue is that the limit order fills in "sim" but does not fill in "live", despite the fact that tick...
Could the differences between "live" and "sim" be associated with unrealistic latency-related assumptions in the "sim" case? I'm not deeply...
Great compiliation of quotes, No Doji. Thanks!
⦠An interesting reminder that on average chasing alpha returns can be less interesting than simple buy-and-hold when a market rises month after...
Separate names with a comma.