Can you elaborate?

Systematic trading

All my dates and times are stored with a timezone, the ATS then converts everything into EST. This is done using the boost date/time classes. Edit: If you want to define a trading session which starts in London and ends in NY you will face the ...

Systematic trading

No, I missed that, I just assumed they were using the standard definition of expectancy. Though I'm not sure what logic is behind the 'Opportunity' measure is since they only seem take winners into account(?). So if you test over 365 calendar days ...

Systematic trading

There are problems with all measures, all represent a trade-off of some description. The most obvious failure of either expectancy or sharpe ratio is the failure to factor in the number of trades. The more something happens the more you would expect ...

Systematic trading

As usual everybody gets bogged down in useless detail... I think everybody misses the point of David's post, people quibble over various points that he makes or they seem take the post as a list of inviolate truths, it's neither. The real lesson to ...

On the topic of BS in trading forums...

This is an interesting subject, there was a big thread on ET on this subject ( url ).

Systematic trading

The stuff I'm running in equities now is pretty much what I ran in fx, so no I don't do anything specific to a particular market or group of markets (yet).

Systematic trading

I think the problem with all of this (and politics and ideology in general) is where do you draw the line? If you enforce a minimum hold time to get rid of HFT, why stop there? Why not extend it out to get rid of day-trading...where does one stop? ...

Systematic trading

As already pointed out, it depends on how you define 'TA', as it is defined in this forum (trend lines, ma's and oscillators), I don't use it. All my trading is based on Statistical/DSP analysis, but that's as far as I want to go on the subject.

Systematic trading

Increasing the frequency of returns stabilizes the probability distribution of your profits, in turn, this allows one to exploit smaller edges due the the increased confidence in having a positive expectation. This is the beauty of automation.

Systematic trading

I keep meaning to have a look at QT Creator, because Coding Blocks is rubbish.

Systematic trading

The Algorithmic Trading & DMA book also has a very accessible chapter on portfolio construction.

Systematic trading

You can do C++ on both Win32 and Linux with very few of differences in the source code (e.g. where to log), certainly (for me) using VS to debug is a lot easier than gdb. If you use boost you should not really have to write any platform specific ...

Systematic trading

Zzzzz....

Is trading a zero sum game?

Hey M_j, How is your FIX engine going? Did you end up connecting to MB?

Systematic trading

I know of wildly successful traders who scale in and out, some have no choice but to enter orders in parts due to the large size they trade (which is getting into the domain of trading algorithms, e.g. url ), but you really have to know what you ...

why is everyone so afraid to average down?

So far, no live failures, so I'd have to say yes... I've never actually tried to run it 24/7 so I don't really know, after the MB fiasco I had to resign myself to the fact that I was going to have to stop and start stuff each day. I did read on ET ...

Systematic trading

When I realized not all randomness is created equal.

AHA moments in your trading career

Yeah, I know, it's also due to the small size I'm trading, baby steps...

Systematic trading

Not a bad day, getting there slowly...

Systematic trading