Oh yes, I don't use delayed entry exits. As I mentioned, I use the low of the same bar for short entries and long exits (sell low, which is...
I use one minute data intraday. One thing I don't understand is when you enterLong, are you closing your short and entering long at that point? It...
Or another way to reduce tracking error is to do like my example: don't use two SMAs, but simply use the even more primitive method of a single MA...
I would say this: you haven't really optimized the MAs for this particular scenario. since there is no cost in stuttering in and out of a trade,...
Here is something I did over a year ago in R. It is a simple 30 minute cross on the SPX intraday, i.e., if the 30 minute SMA crosses the price,...
Can you plot the stock price, the MAs and the position of entry and exits?
You seem to be missing the point. I am not arguing that delays are irrelevant or whatever. I am saying that simple cross-overs don't work when you...
Remember (or you can confirm yourself) price timeseries are multi-scale and fractal like. No matter how you zoom in or zoom out, the trajectory...
Surprising but it does. I have hundreds of such test results. Also MACD is widely published. Also take a look at the world championship automated...
I've tested plenty of signals that only work when you neglect commission and slippage. Even MACD or simple MA cross-overs work over a long period...
The problem is you can only do this for 100 stocks at a time unless you get quote boost.
Stats 101: statistical significance. You can set up a hypothesis test, where the null hypothesis H0 is that your proposed trend is random, and H1...
Hey thanks for checking in. Yes I am definitely in a much better position now. I have since shifted my focus to something that is much more likely...
Thanks for your input. So the bottom line is those quotes could be meaningless. But if they are indeed showing me recent trades and their prices,...
DMTB, why do you say it's not possible to do algorithmic trading of bonds? If IB will let me quote bids / asks and if I get executions, then I...
These are standard bond terminology. When you buy a bond, there are usually semi-annual coupon payments. When you approach the coupon date, the...
I was wondering if anyone knew whether the quoted prices at IB for bonds are dirty or clean quotes. I am assuming clean which means that at...
Back to this: if you think a little bit further, this whole thread is completely meaningless. So if the two strategies are uncorrelated, then...
By the way, there is a huge danger in what you propose. If your strategy A is curve-fit (which is very likely true, given your small training...
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