The question is ambiguous, do you mean... 1) Having a draw down of size 10 during the 30 trials (10 consecutive losses). 2) Having a total of 10 losses during 30 trials. 3) Having his capital go lower than -10 during 30 trails. Regardless of which ...

A "hardcore" mathematics question

GA = Genetic Algorithm.

Systematic trading

Cool, I'll check out kdchart, I didn't build my charts from scratch, I used ZedGraph, the GUI bit is currently written in C# as that was the easiest way to get something running.

Systematic trading

I don't want to to into specifics, but you only need one bar table, Google the term 'database normalization'.

Systematic trading

I store both tick and bar data in Postgres, I only use the tick data to estimate average spread (so I only keep a few days), I have 100 equities going back about a year which amounts to about 2Gig of bar data. Postgres is the business!

Systematic trading

QT Creator does look good doesn't it? I was going to port my GUI but Creator seems to be missing a grid component and I also couldn't find a charting component. I developed my own back-testing software so I could do the GA stuff, my software works ...

Systematic trading

True, the free demo is a useful development tool.

Systematic trading

I would be careful on the MB front, I had the distinct impression that they were either unable or unwilling to fix (no pun intended) the bugs in their FIX gateway, this is all laboriously documented on the Yahoo group. I've now unsubscribed to the ...

Systematic trading

Handbags at dawn!

Stating The Obvious and The Quest For Wisdom

This is typical of the sort of thing I'm finding, here is a spread of SIRI/EMC, I have posted the charts and the spread calculation graphed in excel, the spread is obviously mean reverting. I'm not sure how to integrate this type of thing into my ...

Systematic trading

I'm starting to do some of the pairs work again, as I imagined, there seems to be a lot more stationary pairs to choose from, next problem is to find pairs which have a spread which overcomes transaction costs ($4 + slippage) yet revert before EOD. ...

Systematic trading

What are you going to use for going live if not MT4?

Systematic trading

For equities, 30 days of tick, 1 min equities back to May 2007. url

Systematic trading

I now have a years worth of data for 50 equities and I am currently running the GA algorithm over them, as one would suspect, some seem to optimize well (F,SPY,CTXS) where as other seem hopeless (S,C,AA), forward testing will reveal which ones work. ...

Systematic trading

I got the impression it was like the FIX gateway, but using the API for order entry instead of FIX. As mentioned in the ET thread, the link was removed for some reason.

Systematic trading

It's not the threads per se, it's the posters. If you hang around long enough you start to recognize new waves of opinionated idiots messing up threads, though to be fair, sometimes the threads deserve nothing better.

Threads I Avoid

On the subject of TWS, I don't know if you guys have seen this url . I also noticed this when I was searching the IB website, so it seems there maybe something better coming in the near future. I've got the DTN history hooked up now, if all goes ...

Systematic trading

What actually happens when it runs out?

Systematic trading

Yea? I haven't had that happen yet, I noticed it is resource heavy, but that's Java for you. I use this magical incantation to launch it... #!/bin/bash cd IBJts java -cp ...

Systematic trading

A little update on the progress for those who are interested, I now have my ATS hooked up to both TWS and DTN. I tested the setup with TWS in paper mode last night and all seemed to go well in terms of being able to pump a lot of orders with no ...

Systematic trading