Wrong, consider a stationary Gaussian Random walk, it's generated via random numbers (or as random as a computer can), when it gets more than 2 standard deviations from the mean, what are the chances of the next step being closer to the mean? (hint: ...

Can you tell with naked eyes?

Not true, there are many different kinds of 'random', some more trade-able than others. I'm always surprised how everybody falls into two mutually exclusive camps on this issue. When it is perfectly obvious that neither extreme is completely true, ...

Can you tell with naked eyes?

I'd like to use tick or 1min data, but with the number of markets I'm covering I just don't have the computer power to run the GA in a reasonable amount of time, so I guess it will be a 3:30 close. But thank you for your suggestions.

Systematic trading

Thanks for the reply, this is exactly what I do (e.g. the strategy is unaware of if it is in back-test or live mode), the problem is let's say I want to trade up to 3:45 and I'm using 30m bars. 3:30: We get the bar which opened at 3:00 and closed at ...

Systematic trading

Here is a problem I have been thinking about for a while and I'm not sure I have solved it in any meaningful way, so I thought I'd throw it out there. As you all know equities (as does forex) has trading sessions, for example, the main NASDAQ hours ...

Systematic trading

Err...that's a pretty murky reply, I assume English is not your first language. I'm still not absolutely sure what position you're taking on the subject, but anyway, let us not divert the thread anymore.

The Quantist

Let's say I create a plane where the wings fall off after half an hour, I'm flying the plane properly, but I'm sure as hell crashing a lot!

What is over-trading?

That has to be the stupidest counter example in the history of the Internet. Let's say I create a car where the brakes are automatically applied every 10 meters, I'm driving the car properly, but I'm sure as hell stopping a lot!

What is over-trading?

I didn't want to muddy this thread anymore than it already has been, but I just want to get this straight, you are asserting that not a single dollar has been made via quantitative methods (by anybody)?

The Quantist

(Responding to OP) I think you have answered your own question, if you have a setup, you take it, there is nothing wrong with this. 'Overtrading' is only another symptom of not being able to properly quantify your setup (like 'Revenge Trading').

What is over-trading?

1) For Pairs Trading and other 'Market Neutral' strategies, equities present many more opportunities, for GA based stuff, the jury is still out, I am in the process of forward testing the same approach that was I using on Forex. Certainly equities ...

Systematic trading

Quote (from somebody who trades for a living). "Early on, I was in nasty drawdown period and I was having trouble figuring out what was off. I made the same mistake virtually all traders make, I caved to the vast collection of trading psychology ...

Ingredients of Trading Success

I don't think there is anyway around the 10k minimum, in the larger picture you're going to need a lot more than that to trade forex at IB within tolerable risk limits and reasonable commissions. Once you have the account, you can open a 'paper ...

Systematic trading

I just updated my TWS on my windows machine, I look what the cat dragged in...it's the new IB API gateway.

Systematic trading

Mono (C# for *nix) still has aways to go, I have ported my C# stuff to Mono but it ran like a tranquilized moose. As for C++ vs. Java in terms for speed in combination with TWS, it doesn't really matter as TWS is the bottleneck. The Java API to TWS ...

Systematic trading

Here are a couple of links on the subject url . url . What Acrary is talking about is also known as 'Market Regime' identification, if you Google on that term, there is lot's of stuff about. E.g. url

Systematic trading

It don't think there are any great secrets in the field, I would just fish around on Amazon, any book which gets a few good reviews will probably cover the basics well enough. A quick search will turn up many research papers on the subject, most of ...

Systematic trading

That's pretty cool, it's been a long time since I've seen a BASIC program

A "hardcore" mathematics question

I can't answer for sure, the set up of the random walk is obviously equivalent to the problem you poised, however, whether you can derive the specific result you want (as opposed to the general one in the link) I'm not sure. I would Google around on ...

A "hardcore" mathematics question

It is a Binomial Distribution of some sort, depending on what the OP actually meant. If anybody actually cares to dig though the link I posted, the result which is derived is quite general, more so, the formula has something quite interesting to say ...

A "hardcore" mathematics question