For those interested in a excellent discussion of position sizing should check out the chapter 'Money Management' in the book 'Volatility Trading' by Sinclair. The mathematics for maximizing ones bankroll are fairly well defined, but as with VAR, ...

Statistics to Trade By

Yeah, me to, in the IQ messages for bars, the time-stamp is closing time, NT seems to make no effort to modify this. However it does simplify the closing time problem I was talking about before.

Systematic trading

Stupid random question: When you guys look at a time-stamp on a candle stick, do you think 'opening time' or 'closing time'. I'm sure on MT4 they are opening times, yet on NinjaTrader, the timestamps seem to be closing times.

Systematic trading

Interactive Brokers have by far the largest selection of markets, UI is pretty turgid, but there are lots of third party chart/order-entry packages around.

Broker with Most Instruments?

It really depends on what you want to do, for execution engines, as you say, it's not going to make much difference. For large scale numerics, it's going to make a big difference. Right tool for the right job I think is the bottom line.

Systematic trading

Some of you guys might have heard of this guy... url

Systematic trading

Err...I think you're (perhaps deliberately) missing my point, it's not a windows vs. linux thing, what I'm trying to say is you can't take an isolated bench mark and assert one complier is better on that basis, the real world is much more complex. ...

Systematic trading

The situation was that I was using a lot of Eigen C++ code, which ran very slowly on windows and very fast on linux, the post is here url . I think one has to be very careful with published benchmarks, I remember there was a similar article on ...

Systematic trading

Something I have noticed on the whole Linux/Windows thing is that numerical code generated by g++ runs an order of magnitude faster than code generated by VS2008. But you can't beat VS2008 for a development/debug environment, I develop on Windows ...

Systematic trading

I use C++, but it's also the language I use at my day job. I'm now live with IB & IQFeed, so far the IB gateway has worked flawlessly (touch wood), the only trouble I'm having is processing the amount of data I'm getting via IQFeed, which is ...

Systematic trading

Actually now I think about it I can't justify it to myself, I remember reading something where somebody was trying a hedging approach with EUR/USD & GBP/USD and somebody made a argument which seemed valid at the time that this was the same as taking ...

Return Differential Arbitrage

I don't want to set things off on a negative footing, but I've already tried this stuff with forex and it doesn't really work. There are a number of problems... 1. By taking the spread of NZD/USD and EUR/USD all you are really doing is putting ...

Return Differential Arbitrage

There are many ways, Google the term 'Reversion To Mean'.

How To Solve Sideways Trends

Maybe a different line to think on: new guys always want to know things like 'when will the breakout happen' etc. Most markets spend most of their time ranging, maybe a more productive avenue would be 'how do I exploit ranging?'. So instead of ...

How To Solve Sideways Trends

I'd like to know how you came to that conclusion. Nobody can predict anything, anyone who tells you any different is either lying, stupid or delusional (or a linear combination of all three). All you can do is define probabilities based on history, ...

How To Solve Sideways Trends

You're asking such an open ended question, I don't think it's going to be possible to avoid dispensing yet more opinion, I wouldn't live trade anything off such a small sample size.

Backtest results

What are you using to execute your live trades?

Systematic trading

One has to develop a ranking or 'fitness function' for the selection process, this could be something simple like the Sharpe Ratio for instance, this would be a 1-dimensional function, or to put it another way the fitness function is a function of ...

Systematic trading

mikkom, Do you have multiple dimensions to your fitness function? If you do, how do you handle scaling so one dimension does not dominate the others?

Systematic trading

I don't know if I can help that much but I had some profitable forex stuff which I'm now transferring to equities for the very same reason you mention, which is diversification. One of the problems with forex is the limited number of markets which ...

challenges of developing forex trading system vs. equity and other EAs