I'm still reading and participating a bit. I'd forgotten about Hitman and that whole debacle. I've met just about all my trader friends here. My...
musicman, thank you for figuring this out. I definitely have a .txf import problem where the wash-sales are double-counted. I'll check the W flag,...
In the end, all I can trade off are the prices I get when I get them. To estimate latency, you have to get the official tick-stream and compare to...
I've been looking at using R for some analysis, so I'd like to figure this out as well.
Baron - thank you for a great site. I've met the majority of my trading friends here on ET between 2001/2002 and 2008. It was a huge help to me...
I would make the blue text a bit darker; at least on the /vb overview forum page.
Assuming you mean the "true" papertrading account as opposed to the demo account, I can only think of one thing for OPG fills: It's my experience...
FWIW - I have seen a large Java/Swing program run flawlessly on 1.7.25 and stutter on 1.7.40. There is definitely something in 1.7.40 that...
That's great advice. In my early days I used track my pulse and only "allow" myself to trade if my pulse was under 65. That helped getting the...
Both Hamilton and Tsay are excellent books. I'm just not sure they contains much directly applicable information relevant for trading. They are...
in addition the post by drcha above I like to look at it as follows: Statistical measures (calculated) of data, say prices or profits, allows...
I will override my system when the underlying assumptions no longer hold. For instance, if I detect unusually large network latency, when NASDAQ...
Just in case you haven't done so, I recommend that you actually give TWS more memory that it allocates by default. Here is my command line...
Let me give an example: The system has no assumptions built in regarding latency, it trades straight off 1 min bars. If I look at the tick data...
A friend of mine uses TradeStation for his futures trading. I was wondering about data latency, i.e. how much of a delay there is between a trades...
In ran my IB software on Linux prior to Windows 7, but migrated over as Windows 7 is/was a solid 64 bit OS. I'm almost exclusive in Java, so...
A very practical way to "test" if your profit factor of 1.5 can be attributed to skill, would be to run a confidence interval on the trades. Excel...
Excellent plugin, also available for Firefox. A "related" plugin for Firefox that I've come to rely on is "DoNotTrackMe", which appears to be...
One things I've learned over the years, is that it's best to code defensively, when dealing with faults. A disconnect from a quote feed is...
While not specifically regarding Kelly: I think you get the best, i.e. most accurate or "honest", PF and general system test if you test without...
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