Spline looks interesting from the chart but I have to ask how you decided to compare against an MA(10). Its quite possible that various look-back...
My .02 The challenge isn't in finding a better method to fit prices, its finding a security or transformation of securities that fit a MR process.
I have been monitoring this thread lightly, I was curious if anyone has begun trading pairs on an intraday basis. My testing has shown that this...
Mea Culpa, low-pass is correct. Whats your blog btw?
I'll take a guess that MAESTRO is referring to exponential and weighted moving averages. MA's are used to eliminate 'noise' in a time series and...
RT, Luckily WealthLab offers a function for futures to ensure a trade through. As for TS, there is an ADE indicator that a user developed to...
Yes, 2.40/car was included. My guess I could assume the actual P&L is somewhere in between these two curves. However now I have no resolution on...
RunningBear, I expect your right, it just seemed to me that futures traders would have a general rule of thumb or technique to account for...
1) In my case I am starting with ES and 1 car for bare testing purposes. I thought about scaling strategies to perhaps test on an 'avg' fill...
Another Question: Interactive Brokers simulator replicates your order and place in line in the order book so it makes an effort to simulate...
Taking off a % of profit is still not a clear test, the resolution for drawdowns, etc. would not be available.
Many of the strats are high-frequency which exhibit small avg winner, large losses, and high probability. I also utilize limit orders so...
Question to practitioners of high-frequency trading strategies on futures; how do you model fill probability in your backtest? For example, in...
Please PM me if you have experience programming in C++ and easylanguage.
Apologies if I missed it but do your equity curves include commission/slippage adjustments? This could have the effect of transforming flat...
If there is room available please send me the details. It would be interesting to meet some NYC ET members....
I believe there was a study done on CTAs that attributed a large portion of their returns coming from the T-Bill yield. Not all CTAs obviously but...
Is there a resource for code examples? The following site offers a few tutorials but is incomplete:...
Wayne, Sounds very interesting, looking forward to trying your product.
Well the answer was easier then I had anticipated although the code needs work!: [IMG] In my code I create an array called {pos} that...
Separate names with a comma.