The biggest question is: self-adaptive to what? I could very easily set the framework to generate models that have worked very well for the past 2 weeks ,[and in longer periods in the past] every day - this is the ultimate in "adaptivity" imho. The ...

Systematic trading

I would even go so far that I would claim that 2009 has been the hardest year for any FX strategy. I have been pondering a lot of moving again back to some futures and stock trading (not moving away from FX but distributing the risk) but if I do ...

Systematic trading

Mostly larger although I now have some smaller time "components". edit: This is one of the reasons I would like to hear how other strategies have worked, especially those straetgies that have been in use or can be backtested before 2009/8.

Systematic trading

Good question. Yes they do but I can never know if they work only because of raw curve-fitting (one year period is just too short to know) which is a very probable reason. That said, I have made same test for multiple other years and for other ...

Systematic trading

Thanks a lot for the pointer. I can understand some crazy moves on some currencies but this seems that something has changed on whole market. It might be that funds are employing different models or are too scared to invest in currencies or high ...

Systematic trading

I have been doing a lot of testing and it seems market movements on this year have been quite different (on multiple pairs) than they have been in past 10 years. Has anyone other noticed this? If you do a long time simulation do you get similar ...

Systematic trading

Cuda or that SciComp app? Cuda is available for free at nvidia (so you probably meant that scicomp app - never heard of it before so no idea) url

Optimized Trend Trading

I thought you were asking about cuda in general. Yes, I have written a lots of distributed computing code, no I haven't done it with cuda so I can't answer any specific questions about the compiler from the experience. What information specifically ...

Optimized Trend Trading

Google cuda. You should understand distributed computing pretty well before considering using cuda. url edit: Btw, if you are into cuda stuff, this might be of interest - ...

Optimized Trend Trading

I know very well how hedge is done - No futures contracts are needed, hedging can be done easily with spot as well. What I'm curious is anyone actually doing this in their own account to protect their balance (because of the leverage issue in both ...

Systematic trading

I have a small question. Assuming you are trading an account based in different currency than your own (I live in europe and plan to open an account in usd), do you hedge your balance to make sure crashes in deposit currency don't affect your ...

Systematic trading

I actually don't plan to use mt4 anymore, it's going to be much easier to just send the trades via FIX or some other api. Maintaining 2 versions, one for development and one for actual trading is just too unreliable. I'm, going to "hedge" in a sense ...

Systematic trading

Thanks, now I found it too. Looks like I'm moving to MBT.

Systematic trading

This may seem a silly question but is there any ECN broker (or any broker that doesn't take the counterside of the trade) that allows trading in micro lots (0.01 lots)? My current strategy set consists of such a large amount of strategies that I ...

Systematic trading

No idea (and this is wrong thread anyway) - I would suggest asking this in programming forum. This might sound odd but language actually does not matter in the long run - if you know how to code, you can do it in any language as long as you ...

Systematic trading

I do understand that he's not talking abut optimizing based on market conditions but if you find 3 points that are optimal for the variables you mentioned, you can easily derive the way market moves or derive a way market does not move from those 3 ...

Optimized Risk vs Reward Equation

My question here is that if there would be "optimal" (I would be assume that this would mean high enought deviation from random) value for the variables defined here for random entry, wouldn't it prove that the market moves in certain kind of way ...

Optimized Risk vs Reward Equation

I'm pretty happy for this too, at the moment I'm adding some more order management elemements to the framework and the results are quite encouraging. 2009 did not look like this before the additions so on the whipsaw periods, more complicated order ...

Systematic trading

First and last year (the not gray background) edit: I think I found the bug, very complex one that had to do with faster execution/caching that allowed algos to evolve a kind of look forward bias. Looks like the results are not like the curve I ...

Systematic trading

I might have found something really important today. I have been looking for bug from my framework for the past something like 6 hours and found nothing - I still can't believe that this is real - too good results usually aren't. All I can say that ...

Systematic trading