Thanks for the nod, but I think I'm going to heading down the stock route in the future, many more opportunities in those markets (check out AIG this week).

Systematic trading

I went though a big phase of trying to implement AI type stuff (genetic algorithms, NN, SVM, the list goes on), but all I ever got was curve fits of the most useless type. I just use simple stuff to track the performance of a strategy and if it's ...

Systematic trading

...and that is the thing which puts you in front of the 95% off the bat.

Systematic trading

Close, EricP

Systematic trading

To be more specific, these systems don't really depend on historical tweaking but are based on real time 'arbitrage' ideas. Yep, volatility based systems ain't working so good at the moment, but I'm sure things will pick up after the US summer.

Systematic trading

I have never compared the quotes, but I'm sure they are much the same. IB quotes are not problem free, to get IB quotes you need to run TWS, which is a buggy pile of shit. This is the whole reason I'm not with IB, TWS is atrocious. If you go the FIX ...

Systematic trading

I paper trade systems across many markets in parallel, when they reach a certain measure of profitability they get automatically switched into live trading, I basically wait for the market to come to me. At the moment I'm trading about 3000 separate ...

Systematic trading

There are 2 forms of API integration with MB, FIX/QuoteAPI & ActiveX. I know that the ActiveX object has a history function and this is what they use to implement their Navigator software, however from what I have seen the quality of the data is not ...

Systematic trading

Correct, the orders are done via FIX 4.4, the quotes have their own protocol, but it is a very simple plain text format. Specifications can be downloaded from url Have a look back in this thread, we discussed this very thing As for tutorials, ...

Systematic trading

Nope, one only has an IP connection to their gateways, so one can use any technology one likes, I am C++ on Linux.

Systematic trading

MB is free to develop against, $50 per month live, though this is offset by commission generated. Use FIX then you only have to re-write (completely) once.

Systematic trading

MB commission is slightly higher, but you can trade as little as $1000 though their FIX product, though their demo environment is all over the place at the moment.

Systematic trading

Fair enough, I use volatility stops as well, should of worked that out (duh!)

Systematic trading

I find the trade sizing interesting, you seem to have sudden increases in size during flat periods, what is the reasoning there?

Systematic trading

Demo FIX & Nav. have been non-functional all week...

MB Trading Futures - Introduction

I use a minimum of 50 trades then keep a rolling window of the last 120, I just picked these numbers out of the air as you can see the students test tables don't change to much after about 50.

Systematic trading

I think you have just re-invented profit factor ( url ). If so, 2+ is good, I do this ( url ) because I believe the sample size is important when using measures.

Systematic trading

Stop using facts! This forum is strictly about baseless personal opinion, sheez, when will people learn?

Automatic Trading Systems

I keep the model fairly simple & dynamic, I'd rather have simulated fills than simulated ticks.

How Could a Trading Simulator possibly be accurate?

I don't think this has been discussed here yet (so forgive me if it has), but IMHO assertion 1 is wrong. The selection of order type can make a huge difference to the behavior of a system, especially in the ECN environment. The difference between ...

Important – Why systems are profitable (or not)