If you are saying that a average trader can consistently make 10,000% in 5 years, you can't be serious. The amount of return has nothing to do with what a trader believes, It's all about how well you can exploit inefficiencies. Aggressiveness ...

Realistic ROI and Account Size

Those are quite high figures, 4% per month is 60% in year (or over 1000% in 5 years) 8% in month is over 150% per year (or over 10,000% in 5 years) If one can hit those targets consistently there is no need to work ever again.

Realistic ROI and Account Size

Now this is interesting url

Systematic trading

I never turn my strategies on/off, however strategies themselves might have some rules that tell when they should trade. I think it must be strategys decision to choose when to trade, not some external systems - basically every one of the external ...

Systematic trading

Here is some food for thought, not directly relevant but shows the power of different combinations. (source: url ) There are some studies about this in real market situations. (I'm not using any derivation of this in my algos [as far as I know]). ...

Systematic trading

I don't think anyone is going to post their working "secrets" to public forum unless they have exploited them to death. Personally I think many people on this thread have given away very important pieces of information and after that it's up to the ...

Systematic trading

Was it evidence-based technical analysis? Okay now I understand what you mean.

Systematic trading

I have developed my own approach mostly by trial and error during the last X years so sorry, I don't have any papers regarding my approach. Most papers I have seen regarding portfolio optimization (to be honest, haven't read that many) tend to ...

Systematic trading

Tom Demark has written some good stuff, not saying there is anything relevant there (or that there is not) but he has written a lot related to above. btw, what are quant versions of indicators?

Systematic trading

That goes directly to correlation. If you have multiple correlated systems that don't close within really short period then this is indeed the case. But this is not the kind of trading the paper was talking about.

Systematic trading

Not really. Just do the trades high freq enough.

Systematic trading

This might be of interest to some of people here.. url

Systematic trading

25 events in a second is not that much in any language and if one really needs a lot of processing power, in the end cluster is your only option and therefore language doesn't matter that much (architecture in both hardware and software does). I'm ...

Systematic trading

There are lots of resources about portfolio construction, one starting point could be to read about modern/post-modern portfolio theory and continue from there.

Systematic trading

Depends on if you want to trade equities or plain FX/futures etc, IB minimum trade size (for FX/ idealpro) is 20k units but to daytrade stocks you have to have $25k in your account. Yes they do give out quotes (and about a year of history data) ...

Systematic trading

So TWS gateway software has been working well for you? Does it require daily restarts?

Systematic trading

Thanks, so I'll probably use IB then. Only thing I was really interested with duka was that they are currently offering trades of very small size (min of 1000 units) meaning I could run more systems in parallel with small risk sizes.

Systematic trading

I'm totally aware of this, however the trades are not as tight as they might seem to be - as I mentioned some time ago, I for example consider sl to be hit if same candle that the trade is opened with touches it and I still trade daily stuff even ...

Systematic trading

This is one of my latest runs (fx, not equities) - after some light bulb moments (as silly as it might sound, after about 10 years of trading - with less trading in the middle of the mentioned years - I think I have finally made myself clear what ...

Systematic trading

.. In other news, I got lots of 1 min stock + futures data from pi trading today (couple of DVDs), now I'll really see how fast I can tune my testing framework My plan is to build a small cluster of generic, cheap computers and run a parallelized ...

Systematic trading