Ah, that makes sense, and may your patients live a long and fruitful life. I have been a bit simplistic in the past by looking at raw % DD. I will investigate.

Long term Profits within Negative Expectancy

It would (though I haven't), but that's resting on the assumption that futures volumes are helpful to trade full stop. Rather than going through the middle man in this, are tick volumes helpful to trade spot? The above doesn't prove it of course, ...

Systematic trading

DT, thought 10,000 might make your eyebrows raise... Can I ask, slight diversion, is there anything other than actual losses in your system that'd inform you that it was past its sell by date?

Long term Profits within Negative Expectancy

As a strategy - it enters on high volatility, high volume, exits on low volume. My theory - and it's just that - is that given that big orders tend to be split into smaller parts (icebergs et al), that tick volume could tell something about the ...

Systematic trading

This is COMPLETELY WRONG! Only kidding. This didn't jar at all, and when looking at any kind of system, a binary R:R (1:1) is the first thing I look at. Changing of R:R parameters is then a tweaking exercise rather than the foundation. I wouldn't ...

Long term Profits within Negative Expectancy

tick volume — What are your thoughts on tick volume? I know tick=quotes <> actual trades, and all the downsides, but take a look at this. I've posted this elsewhere. Fairly simple strategy, trading every 30 minutes, 6 months, 4000 trades ish. ...

Systematic trading

Interesting Pipadder, when I get a bit more time I'll do a similar test on my strat and see how that compares.

Systematic trading

Thanks M, obvious now you say it, not so obvious 5 minutes ago! Isn't there a risk of over-leveraging your edge though? If you had a good breakout strat that you backtested, say you found the longer the period of low volatility, the bigger the ...

Systematic trading

Fixed %R? Or weighted? — Mikkom, carrying over from another thread, you've said you found fixed %R the most profitable in your strategies. It makes market sense to me because with a fixed amount per pip you inadvertently tilt your strategy to ...

Systematic trading

No - statistically, an inside bar day is more likely to be followed by a increase in volatility on the following day (don't have stats to hand), on a day TF at least. It would seem a sensible addition to predicting volatility.

Systematic trading

Mikkom, I use volatility-based orders based on historical price range, but it's dawned on me that it could be improved by using inside bar logic as well. Have you ever investigated? PS great article from seekingalpha btw

Systematic trading

Cindy, if it's any consolation, I didn't make any money until I could answer this question with a modicum of certainty. Frankly, I amazed and impressed with anyone who makes consistent money without understanding the market they're in. Your analogy ...

How and Why Does Price Move? Who and What Moves Price?

Solid research there Mikkom. If I could produce data like that in the speed you could... I've had my suspicions about the quality of A0 (if you look at some of the individual contributors, like Barclays, there are gaps all over the place). I suspect ...

strange behaviour on minutes

Phil, you're already streets ahead. I do calculations like this using in-built functions; I only use macros for hooking up to the API. The way you're doing it will doubtlessly be more efficient, and your tech background will serve you well. You ...

Learning Excel Trading Techniques:

You ready Phil? Roll your sleeves up... For analysis, Excel is really your poor man's database (I use it, I'm not knocking it, but you'll come across its limitations pretty quick). Simple excercise for you - export data from Metatrader, import into ...

Learning Excel Trading Techniques:

From a system perspective, theres a few ways of predicting volatility - ATR, GARCH models, option pricing... GARCH models are hideously complicated, and I could never help feeling they are overengineered for a problem that can never have a perfect ...

How to handle, with SL and TP, from 2000 to 2009? Very Different Volatilities

I did... this little beauty gives you % ATR plus it puts up a marker above and below price at 100% of ATR. Not exactly what you want, but pretty close. thanks to the author whoever it was...

% ATR indicator

Jason, conspiracy theories aside, the way you've worded your press release, as Smittens so rightly points out, scares people into moving to the UK branch. This is deliberate, so why do you want to do this? Regulation? FSA safety net? Accounting ...

NFA - "No more Limit or Stop Loss orders"