Many of them do come back around for smaller losses, but somehow I am not content with this. My experience shows there to be two cases: i)...
This is my current approach, but I'm a small time trader attempting the retail automated route for the first time. So while diversification...
Yes, I mean there's a data snooping bias, but if it's clear as night and day and statistically significant... are we back in the realm of bias, or...
Ok, so say I have a histogram of profits and losses from simulation and real results. I break out each result into two columns and write down...
Not much to share, other than the fact that HFT infrastructure is a kind of luxury. You have information before everyone else, you can use it....
I hate to break it to this thread, but HFT doesn't revolve entirely around flash orders. I'm not sure why this is all over every ET thread about HFT.
Also, 2900 shares traded today. I will start noting these details more regularly.
+$92.75. Things didn't run as smoothly as I would have liked. I'm noticing certain things during execution that I didn't notice during...
Go long volatility then?
I did know this, but that's why I'm posting. The pursuit of edge-improvement. I mean at the tick level, I can see when something is not right by...
The weird thing about this is that sometimes I refresh and I get garbled data, other times I refresh and I get perfectly fine information.
Hard to explain specifics, but my system dynamically moves the stop and calculates an estimated "edge per trade" left in the trade still. It's...
This fixed it. Thank you so much. I was losing my mind, not trusting the computer, doing floating point arithmetic by hand. I have enough...
For mean-reversion traders, how do you guys arrive at your stop loss targets? Some multiple of the deviation from the mean, or just some...
I have 1-min charts going back 6 months, there's plenty of bars. The value error is on the last bar, so I know there's more than enough data....
Yeah, I am able to reproduce this error every time. I'm trying XAverage( Foo( alpha, beta ), period ) and XAverage( Foo_I( alpha, beta ), period...
Has anyone ever seen tradestation's EL package return bogus numbers from builtin functions like, say, the exponential moving average? I'm...
-$105 All system losses. Nothing I could do, the market was just not favorable to me.
-$105 Had two grinders that didn't work in my favor. Did not do anything wrong. I just had bad luck.
The idea is simple. You have a regression function that describes the time series at a given time as a function of its lagged values. If there...
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