Two things I forgot to add: I have done a statistical simulation of limit order fills. In terms of stopping and filling, the fill distribution...
It's completely unattended, and I don't do anything except reoptimize every weekend for each instrument I trade. The system's objective...
10 parameters???!!!! Of course it's not going to work! All you are doing is performing an exercise in surface optimization. With that number of...
There's nothing "hedge" about it. It's marketed as a managed futures fund, and the founders use a trend-following indicator to follow trends in a...
1) how many parameters did your system use? 2) did you walk-forward optimize? or just optimize on a static window and examine the results? rt
Nice, downward trend the whole session. System only took one short position with 3 contracts. Monday, 04/20/2009 Security: ESM9 Session PNL:...
What I don't get is that people are crying over paltry amounts. $140k for the guy, several tens of K for the fat lady. It hurts to lose money,...
I have a policy of reducing size to one-half normal on options expiration days. Experience has told me these days can be choppy. Friday,...
Thursday, 04/16/2009 Security: ESM9 Session PNL: $610.60 USD To-Date PNL: $6,605.84 USD Account Balance: $91,982.98 USD
Wednesday, 04/15/2009 Security: ESM9 Session PNL: $1,206.44 USD To-Date PNL: $5,995.24 USD Account Balance: $91,372.38 USD
I have created a thread to demonstrate this very thing. I created a small account ($75,000 USD), and started trading with 1 contract to...
The account balance has exceeded $90,000.00 USD (just barely), so it is time to increase position size from 2 to 3 contracts. Tuesday,...
the functions HighD, LowD, and CloseD are helpful for what you are trying to do. They reference daily HLC values from within an intraday chart...
Not much happening in the markets these days, let's see if we can get a little volatility soon. Monday, 04/13/2009 Security: ESM9 Session...
The in and out of sample lengths are based on weeks. So I will pick a certain number of weeks for in-sample optimization, and a certain number of...
I have never had a need for a genetic optimizer. The premise behind genetic optimization is to find optimal parameter values when a brute force...
I use TS with NT, using macros to send orders and commands to IB TWS. As far as I can see, TS's live data feed is unfiltered so the price action...
Another slow, grinding day during earnings season. Thursday, 04/09/2009 Security: ESM9 Session PNL: ($338.40) USD To-Date PNL: $4,082.90 USD...
There are nuances to automated order execution. Tradestation markets their product as an all-in-one software tool. Backtest, optimize, and...
Wednesday, 04/08/2009 Security: ESM9 Session PNL: $1,064.50 USD To-Date PNL: $4,421.30 USD Account Balance: $89,798.44
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