I would if I were you.

An Edge In The Markets

So you're saying the volume attributed to HFT is incorrect?

An Edge In The Markets

HFT trading is all about placing discretionary trades?

An Edge In The Markets

I'm not at all sure why anybody would want to do this given that IBs commissions are not really suitable for the sort of trading that requires this type of speed. I can't, of course, rule out that you haven't negotiated some type of special ...

Colocation at < 1ms to IB

I did consider that, but I feel my subsequent idea of using distributions as PDFs is simpler as this makes no assumptions on the normality of the distributions.

Systematic trading

System guys, feel free to chip in... url

Systematic trading

url

Good resources on Risk Management

This is an impossible question to answer as it obviously depends on the amount of available liquidity at the time & price the order is placed, nobody knows such things in advance.

Parial Order Fill for ECN Market?

Read the introduction to 'Option Trading' by Sinclair, the opinion given in this book has the benefit of been given by somebody who actually trades for a living.

The mental game!

Questions like the above were the rocks on which my GA effort floundered, I tried all sorts of OOS schemes but could not stop the radical over-fitting that was going on in sample. Traditional AI techniques such as test set fitness monitoring just ...

Systematic trading

url See: 'Types of financial arbitrage'

Different kinds of arbitrage?

Yep, very true.

Systematic trading

Read any thread on url It will all sound like gobbledygook, but at least you will get some terms/areas to search on. It will also give you a sense of the gulf in knowledge between here and there.

The Birth of a Quant Trader

Certainly testing a system across various conditions is a good idea on any time-frame, the trick is to know when a certain system is applicable, not to build a system which copes with every feasible condition, simply because you can't.

Systems and "current market conditions"

That blog is indeed fantastic, the guys grasp of many different fields is inspiring.

Systematic trading

Timezones can be important in live trading, for example, if you start trading at the London open and finish at the New York close you will be dealing with differing timezones with daylight savings changes which happen at different times. For ...

Systematic trading

LOL, for all I know they may have sorted their shit out by now, but I wouldn't bet on it. I got the impression wizz bang features took priority over back-end stability, not an unusual story by any standards.

Systematic trading

I would probably start by concentrating on the period you have highlighted. But I would still check out what happens in the other periods. Google 'walk forward testing',it's what you need to do, and it's a pain in the arse in MT4.

Do you not use data that is X years old when backtesting/constructing a system?

If you are going to optimize parameters (like MA length) you need to partition your data so you can optimize on one data set then test these parameters on unseen data. I have never had any success with parameter optimization, with even 2 or 3 ...

Do you not use data that is X years old when backtesting/constructing a system?

It really depends on what you are trying to achieve, if for instance you are looking at a seasonal effect, you probably want to go back as far as possible. If the system is more short term and perhaps volatility dependent then back-testing over ...

Do you not use data that is X years old when backtesting/constructing a system?