I want to run backtests for an intraday strategy : ⢠single instrument - SPY, i.e. SPDR S&P 500 ETF ⢠single timeframe â 15 second bars...
Iâd like to test my understanding of âbad ticksâ ⦠See the longest candles in yesterdayâs 30-second chart for SPY (all times are EST)...
I have downloaded some Bloomberg intraday price bar data. In relation to the timestamp .... Is it "beginning of bar"? Or "end of bar"?...
Anyone used or using CQG for automated trading? If so, what add-on did you use for order management? What were your experiences, both good and...
... which TT products are required? Is it: 1. X-Trader? 2. X-Trader Pro? 3. TT Fix Adapter? 4. All of the above? 5. None of the above?...
To simulate past strategy performance, Iâd always rather use tick data than bars (actually, Iâd rather reconstruct the whole order book to...
To stress test my risk management, Iâd like to look closely at occasions when the ES went limit up/down. Can anyone respond with some dates...
http://www.caseyresearch.com/editorial.php?page=articles/are-etfs-really-safe&ppref=DLC231ED0411A
âAt best, algorithmic trending strategies tend to be breakeven.â Discuss.
http://www.bbc.co.uk/news/business-12688877
I design (and trade) intraday systematic strategies (for automated trading of US stocks). Each time I start work designing something new, I...
STFP?
The following ârandom equity curve generatorâ has been referred to many times on ET: http://www.hquotes.com/tradehard/simulator.html...
Iâm trying to understand better why a successful intraday strategy on one instrument wonât necessarily work on another. For example, say...
I have an automated intraday strategy that seems to behave well on SPY. I want to look at how it would do on the ES. Before I roll up my...
For only the third time since the Industrial Revolution, the world may be entering a long-term growth cycle that will lift all economies...
âFunctional programming is appropriate for applications that exhibit one or more of the following characteristics: require significant...
... that is the question. I have an automated, intraday, mean-reversion strategy (for US stocks) which works best when the market chops and...
At the most basic level, it is often said that Fear and Greed drive The Market. Now that X% of trading is done by machines, are Fear and Greed...
http://www.mckinseyquarterly.com/Strategy/Strategic_Thinking/Have_you_tested_your_strategy_lately_2711
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