Not exactly related to systematic trading but worth watching anyway url

Systematic trading

I am definitely not going to argue about this but what would have happened if he would have changed just X-axis or Y-axis, not both X and Y? In metatrader the x/y axis ratio is variable, not fixed - you can change them bu dragging the dates/values ...

Demark trendline angle measurments

I use raw java IO to read/write values directly to the HD, nothing fancy.

Systematic trading

To add to this, what really should be measured is the drop/rising speed of pips per bar of the chart you have - that would be an accurate number.

Demark trendline angle measurments

The angle changes if you stretch the chart, therefore there is no point in calculating angles as what you really are calculating is your candle witdh..

Demark trendline angle measurments

That's basically what I do, I thought storing trades instead of running strategies over and over is quite obvious [?]

Systematic trading

Drawdown calculation — As DD is an important part of my fitness parameter, how I calculate DD affects very much to the algos my framewerk generates. So, what do you consider to be correct way of calculating dd? At the moment I use [pseudocode] ...

Systematic trading

Diversification - you want to have different risk profiles for different kinds of systems. Also about the topic, I find MAR quite a good number.

Statistics to Trade By

Opening time. Using close time sounds odd to me.

Systematic trading

I think the problem with most bucket shops is not the price feed, it's the ability to trade the prices shown.

Systematic trading

I totally agree with this - and to add something, it's much easier (and cheaper if you value your work) to create a clustered environment than trying to squeeze every last drop of speed from one server. And as Craig said, benchmarks are really not ...

Systematic trading

I might as well tell that I don't do that - I let the strategies themselves filter when they want to trade or not. Evolution works

Systematic trading

At the moment still mt4 with "parser" ea. urgh. Want to get out asap.

Systematic trading

I do understand what you are saying, I have been experimenting with different combinations a lot (and I mean a lot, I did have a personal server running GA/GP stuff for stocks in our companys server room 24h some 10 years ago ) - that didn't lead ...

Systematic trading

Sorry I don't quite follow, what do you mean by multiple dimensions? Time? At this point I'm not even sure if it's the fitness function (I use very simple one now, just a simple check that few of the parameters are above treshold) or the portfolio ...

Systematic trading

Yes they are. However as I said in one of the first posts, I use a limited search landscape (limited types of strategies and limited types of filters to those strategies) and I have worked a lot with speed optimization which I consider to be one of ...

Systematic trading

I was refering to market direction neutral methods (pairs trading, some volatility strategies etc). I have been thinking of moving (back) to equities myself too, fx market is a bit too correlated and there are very few instruments. As Craig said ...

Systematic trading

Are your strategies directional or non-directional (or both)? Just interested, have you noticed any major differences in the data between last 2 years and 20 years before that?

Systematic trading

Interesting choice, haven't seen that myself. Just to clarify, I use mysql just as a backup storage and for more complex queries if I need them, I have all my security data cached as simple binary files. Where do you get your data btw? tradestation?

Systematic trading

That's exactly what has changed during the last few years when hft algo trading has raised it's ugly head, some patterns that have worked for decades no longer work as well as they did.

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