And how are you going to determine optimal returns/time/trades?

Definition of Trader

I think its difficult to separate performance measure completely from strategy. The types of strategies I normally look at, I usually try to optimize average profit per trade vs total trades pr. session. Average profit is important because a ...

Performance Measures

What?? I thought all this was basic Joke aside, my take on it is that the more you are decreasing time frame the more sophisticated your strategies needs to be in order to cover increasing trade cost. Also, think about it, if you got something ...

Systematic trading

Could you elaborate a bit more on what you mean by "basic strategy"? I'm working on a class of strategies which - theoretically at least - could work very well on higher time frames, and which are not based on arb (in the classical sense). However, ...

Systematic trading

There must be more than one way to skin this cat...

Charts on Drugs or works of Art?

If he had done his "homework" he would not formulate it this way if he actually understood what he was talking about. His entire argument is BS and just one problem is that a toss of a perfect coin is normal distributed while the financial markets ...

Strategy of losers

It's not necessarily about moving the markets but also about getting a part of the liquidity that exist on a certain level (which will always be limited). If you trade with a market maker broker they will create a somehow artificial market with ...

Myth Busters the Forex Edition

I skimmed through the thread and unfortunately my eyes fell on this post before I read your other posts. I tried (too) loosely to indicate that in my edit. I should obviously had choosen another "victim" for my little rant. Its a myth because you ...

Myth Busters the Forex Edition

For Heaven's Sake — For Heaven's Sake! This is the mother lode of all myths. It's a scientifically fact that no system can continue exponential growth indefinitely. This "billionaire" argument against the possibility of excessive returns pops ...

Myth Busters the Forex Edition

Even this is a myth and is countered by the existence of riskless arbitrage. (Of cause it depends on ones definition of "risk" as there are several different types of risks involved in trading.) Such a thread would suffer from the same problems as ...

Myth Busters the Forex Edition

It was Breifing.com: url

Systematic trading

I know Reuters is into machine readable news so they might be worth contacting (but they might also be "hugely expensive"). I have an SQL Server database of US reports going approx. from 1998 to beginning of 2008. (I will check up on the exact ...

Systematic trading

I worked for quite a while on a system that traded "lead/lag" relationships/correlations between 2 assets in high frequency. Unfortunately it turned out to be non-tradeable in a realistic setup and generally it was a lot more difficult than I ...

Systematic trading

So what's the other two?

Optimized Risk vs Reward Equation

Good post. The science part I have to partially disagree with. It's more like a mixture of science and dark art.

(binned per thread starter's request) Behind Price-Orderflow

1½ years ago I had a MB live feed and I noticed this happened very often. Do you have any ideas why it happens? This behaviour is far from what I would expect of an ideal ECN.

Systematic trading

The Kreslik guys post are worth reading. The site was doomed when you-know-who took over.

Systematic trading

For those not aware of it, kreslik.com has a few threads on GA and fitness functions: url Also check out url for statistics similar to the hourly range posted here.

Systematic trading

A bit lengthy but nevertheless rather interesting seminar video: url Basically its about using SimuLink for rapid trading model development.

Systematic trading

Normally your (prime)broker is the counter party to your trades. They will offset the position amongst their liquidity providers and only make money by charging fees (to avoid conflicts of interest). In theory everybody can act as liquidity ...

FX market - Taking the other side...