I understand what you are saying, but I don't see how you can reach that conclusion given you don't know what will happen in the future, R/R & win rate metrics may change drastically over time so all you can really do is draw a line in the sand. ...

Prove profitability without revealing trade conditions?

I see sample size as being independent of R/R considerations, I use a rolling window of the last 120 trades, with a minimum of 50. I don't have any justification for these numbers I just wanted to automate the process. If you're thinking of using ...

Prove profitability without revealing trade conditions?

If you are serious about trading as a career, a public crash & burn is the last thing you want. I know the excitement which comes with thinking that you have the case cracked, but I would keep cool until you have proven you idea with real money for ...

Prove profitability without revealing trade conditions?

Same old mistakes, why do they insist on creating their own language as opposed to providing an API so the developer can leverage the already available far superior tools for debugging and development? It just makes no sense, especially since they ...

MetaTrader 5 Client Terminal

Those numbers seem bogus, I'm not sure what platform that is but I used the MT4 ATR sample indicator for my ATR algorithm, this way I could compare my calculations for validity.

ATR Calculation - Confused

So 0 hours @ GMT + 1 is the Australian market open.

Systematic trading

Just to clarify, the chart is saying that the daily high most often occurs at hour 0 (gmt + 1), so hour 23 gmt (11 o'clock in the evening London time). Isn't this about Asian session lunchtime?

Systematic trading

Nice, I wish I had the SQL skills to do this sort of thing. One does wonder when viewing graphs like the one above if we are not just finding patterns in randomly generated data (like the frequency histograms one can produce for lottery numbers, for ...

Systematic trading

What are you using to generate these graphs?

Systematic trading

Cheers. Edit: All done now, I was able to simplify my ATR implementation greatly (which was based on the NinjaTrader indicator, but now based on the MT4 implementation).

MT4 indicator function inputs.

Thank you for your reply, would it be possible to point me in the direction of an example? I am familiar somewhat with MQL, but I am unsure of the specifics of 'uploading into an exotic'.

MT4 indicator function inputs.

I don't know how you come by that assertion, I'm seeing <= 1 pip on most of majors and considerably less than fix fixed broker spreads on the crosses. This is something I can see in my trading logs, not an impression I have formed. This is also with ...

Spread Vs. Commission

The only one I looked at was the C++ version of QuickFIX, which I found a little bit convoluted in terms of state management. So basically, once again, I wrote my own FIX stack, I only use a handful of messages so this did not prove too much of a ...

Systematic trading

I initially went with IB as they are the cheapest in terms of commission and the best in terms of range of product. My first attempt at an ATS was via their API, due to the nature of the API I was able to get something basic going pretty quickly, ...

Systematic trading

Go FIX, I remember thinking 'here come the long nights' as well when I realised I had to do it. But once it's done you will be able to switch brokers with a relatively minor amount of work. The IB API order model is really poor, FIX provides a ...

Systematic trading

Completely agree, I could fill pages with my delightful experiences of managing programmers who thought they were above design patterns or that everything would be peachy if we re-wrote an entire product in language 'X'. But this is not the thread ...

Systematic trading

Acrary's idea is a variation of 'White's Reality Check', basically they all revolve around the idea of doing Monte Carlo simulations to determine the probability of given set of trades being the result of random behaviour, it is fairly simple to ...

Systematic trading

No.

Strategy: different results from 5 to 4 digits

I've never heard of the term 'system rot', but I think we are talking about the same thing, systems become more or less profitable over time. Instead of adjusting risk I switch systems on or off, but it all boils down to the same question, which is ...

Systematic trading