natedredd10

If you pull up a price chart with volume plotted underneath..Do you see patterns or do you see noise, random fluctuations..If you only see random fluctuations its not because you are just unable to see what some dude wrote in a book in 1920 before electronic markets and fragmentation algorithms. If I'm selling something on ebay with a starting price of 100 bucks, it doesn't really matter what the volume of bids is if 2 bots bid it up to 102 bucks in 99 penny increments if someone is willing to bid 105..matters even less then if the bots are willing to bid another 50 times up to 106. 150 bids vs 2 guys making 4 bids could end up at exactly the same price there. Of course, this is more complex in a double auction. 150 lot print doesn't mean much if a fragmentation algo is willing to pay a higher average price over 150 1 lot prints spread out farther in time. All that does is make a volume chart look random.

It doesn't make sense to me from this level. You are ultimately capping your biggest wins doing some kind of arbitrage. You will ultimately have to take on irrational levels of leverage or build a strategy/equity curve/structure/sharpe to leverage OPM to make up for that IMO. A few years ago in the trader mag 30 under 30 there was this guy that would come into the bank, use stat arb models as indicators then take a directional position on one leg, then go back on vacation. Rather unexplored territory at this level(any level?) that would probably be worth it to look into vs some kind of actual stat arb. You probably have almost infinite liquidity no reason to give that up employing strategies that you can shove extra liquidity into when you don't need it.

Any word if there will be a better way to demo TS 9? Of course there is the base clients, but for someone like me who didn't get started until all the "tradestation killers" started rolling out with simple almost full working demo versions with min commitment..the idea of parking a min account to demo software just seems absurd. I'm all ears on TS 9...having started later though from when it was undisputed king its always felt so closed off.

These WAPS don't make sense at all...like i said..latest nonsense to tick down to retail thinking they have found something..Shit, this board is basically built from that BS.. Way easy to turn these algos non discreet..As if that would be some amazing thought. TWAP just as nonsense. Not hard to figure retail guys are fucking fools.

I can't imagine why you would not. Top of the food change prototype ideas there because of speed of getting things done and testing new shit. Here is a R package for Ralph Vince's Leverage Space Portfolio Model... R-Forge: Leverage Space Portfolio Modeler: Project Info functions to explore his 2009 book...Maybe its worth something, maybe its not.. Makes way more sense to me than writing your own functions to explore such an idea. If you want to wait for public C# or C++ code then give it 10-20 years. Anything new and interesting will come out for you to rob in R or matlab first.. Here is a 100 tick boxplot chart of some tick data from 2004 ES...Maybe there is something there, maybe there is not.. Took more time to format the data because of my ignorance than the simple call to a function in matlab to plot the data...

There is no way that even 1% of volume at any moment in time is looking at "Fib levels". Just not reality.

please point me to how its even possible Oanda is making any kind of interbank market. This is such bullshit. The whole concept that an ECN is better than a broker is a half truth...

The problem is there is zero evidence that volume has anything to do with the return distribution of markets. My point though was that there is no reason to highlight "zero" in my last sentence and inform people its something other than the exact mathematical definition no matter how many post were generated if I posted a system I called "zero"... It would be a huge disservice to anyone who had never ran across the concept of zero.

To me traders have an almost moral obligation to destroy this idea when it comes up. Either markets are forward pricing economic activity or they are not. If you believe markets are not pricing forward economic activity then I don't see why you would bother since you can not gamble on a random walk at profit. If you isolate my economic activity today and think the reason I didn't buy an HD projector tv because i flipped a fair coin and gasoline/pizza won out, producing a random walk in my economic behavior then i don't know what to tell you. Its not hard to figure out that Paul Samuelson is a fraud and that the psuedo science of the economics profession has a feedback loop because of self interest that amplifies nonsense like a religion.

One thing I would question is if you can look for the most robust system as opposed to the max profit. I don't see how you get around that the system with the max profit is probably the most fragile unless you expect the markets distribution to stop moving.

The fact a trader can pull the trigger based on nonsense means nothing. Good luck if you think you can trade without knowing the odds, risk and payout... Utterly laughable.. Its hard for me to view trading other than the odds, risk and payout.

Forums - How do you guys store tick data? Threads like that are what keep me searching though...It still strikes me though this decision comes down to KDB is the obvious choice, HDF5 or berkley is next up to fudge a KDB type setup then flat files if you just don't want to bother.... It depends on a philosophy i soppose that you aren't going to out time series a single time series..

Yea because what I posted should be compared to a lunatic who murdered people with bombs... I'm just trying to lead you astray from the very simple to find ATM machine at the end of the rainbow that some person you don't even know is going to magically give you the map for out of the kindness of their heart... As opposed to the fact that mining for gold is a very complicated, capital and intellectually intense business if you don't want to lose money and actually mine ore at a profit.

Would a moving average be better applied to system performance than price time series? The perceptron was "invented" in 1957 by Rosenblatt.. The fact most retail traders are ignorant of even the oldest and most basic machine learning algos should really not be a surprise since stander fair is a MA which although I don't know who thought of the idea first, its hard to see it getting much farther past Gauss in the late 18th century since the algo is so obvious and basic and its ubiquity is exactly because its old and it doesn't crush the performance of a 1984 apple 2e... When you try to use 200 year old algorithms and fail it should come as no surprise... As if no one between 1810 and now thought of it, but thats the heuristic in retail trading.. Crazy is the man who moves on to 50 year old algorithms like the perceptron and then finds out it doesn't work anymore being 50 years old...who would have thought...Better to go back to the 200yo algo says the retail moron since the 50yo algo didn't work...Even though rationally that makes zero sense...as if you can't figure out maybe both are simply outdated being decades and century old analysis techniques...Imagine as if the field of data analysis has actually PROGRESSED in the last 50 years...who would imagine..... Ditmar, i see you taking that fraud ArturiusX to school on 2+2... I would jump in but i don't want you searching on my microstakes poker play there i post and laughing at me with my username... I don't know if you were trying to fish me out there with posting that Max Dama chart I posted here but that was funny how you crushed ArturiusX with it...Latency arb?? what?? hehe. You should up the aggression on that tool. I would love to play you 2/5 no limit 10 years from now in vegas, full ring, seated two off from my right since you have so many years on me. Your boys should think about the poker equity calc software market...its a fucking joke.I had moved from stove to equilab for hand analysis but the moron just reversed his position that equilab was freeware and basically made anyone using equilab crash..Hes moving to commercial but the site is in german, i LOVED it because it would give you a flop equity quiz based off hole cards and a villain range..with this lovely turn/river visualisation..the download site was only in german, i'll buy it still but most won't... Huge gap in a market that if you have what you say you do team wise can crush all on the cheap. PM me if interested in my ideas there, I would advise simply for a lifetime license at this point and maybe negotiate for a few custom mods that aren't commercial.

I somewhat got interested in trading when the movie PI came out and I had got my first office job at a money management firm when i was 21 during the dotcom bubble. I watched Requiem For a Dream when it came out and thought it was the most intense and brutal movie I ever seen... I have no idea why it took me 4 years to see The Fountain until last night. I can't stop thinking about it..Darren Aronofsky is god. Its a tough movie but not in the way a david lynch movie is tough with no real story being told and just abstract for abstract sake... Its non linear and i knew going in it was 3 connected stories taking place in 1500, the present and 2500...That totally helped, without that it would have seemed like complete nonsense. This will detract from the second viewing but I envy anyone now who gets to watch this for the first time.... 3 interconnected story lines. People don't accept death and want to live forever... Death is the road to awe.... Just go get it if you like movies that are a bit weird...its so beautifull. I'm trying to build a home theater, first film for sure on there is going to be The Wrestler that I'm so pissed now I didn't see at the theaters but glad I haven't seen it yet... For traders...his next film is called "The Black Swan"...

In the above post ignore the rollover for "skew"...It would be a good idea to delete these types of things on here for terms that have exact mathematical definitions. Its almost intellectually offense to me that a newbie could read that post and think I'm referring to some bogus concept as (VWAP - PVP)/SD if I didn't post this. Of course it wouldn't make sense to have a rollover for skew that shows If anything the roller for something with an exact mathematical definition should point to wikki like this Skewness - Wikipedia, the free encyclopedia To me in learning to trade there is right, wrong and way worse than wrong..Its good to find "wrong" because its not so far from "right"..Way worse than wrong though leads you down these nonsense paths into a maze that is hard to get out of and even if you do just wastes a lot of time. I'm sure I'm on the extreme end here because if this was my board I would actually block the ability to post the words "fibonacci" and "gann" but thats a bit of a tangent. Educating people that skew = (VWAP - PVP)/SD is an incredible disservice.

First, "edge" is the expected value of a trade. Its really a shame how the term "edge" has taken off in trading as opposed to expected value. Edge in gambling is a very vague term, tends to be used as a yes or no thing for a bettor. He has an edge or he doesn't...Expected value is a more precise idea, I imagine "edge" took off though because you need quite a large sample size of actual trades for an EV calculation to have any meaning. I don't agree with the first statement and the second you are just describing probabilistic thinking. I almost feel like there is some dissonance in your thinking because if you really can not know the odds and payouts available on a trade then it would be purely random as far as your results on pushing a trade when you are right or pulling a trade when you are wrong. Really, you almost saying trading is random with that but i think its because you are using "know" for odds and payouts still in an absolute sense as opposed to a probabilistic sense. You can really only know the odds and payout of a bet in an absolute sense if someone is setting the line/payout and the bet is binary, win or lose. This is a totally different game than the markets because finding value in that kind of betting setup comes from betting against the line being set wrong as opposed to the outcome, which skews the payout wrong. If the house sets the line on a binary bet at -200/+300 but you believe the fav should be -600 and bet on the fav, both you and the house have the same belief on what side is going to win. You just disagree on the probability win rate. On the other hand if your delt AA at a $2/5 no limit holdem table at a casino, while you can't say my expected value using only this single hand is X...you know without question you have an "edge" on this trade and if you have played enough hands you would have some idea of what the EV of the hand is in its most basic sense. Some idea of what the odds and payout will be.

To be fair though, Most funds managing OPM are not optimized for absolute geometric growth of capital leverage wise. The smoothness of the equity curve with a lower drawdown is what is going to attract qualified investors over time vs higher average returns but with much more volatility, easiest way to do that is to user smaller leverage at the expense of returns because you will make up for it with more OPM.

I'm sure part of the issue is that you backtested this on basically a different market regime already. From late feb to may we had a smooth trend in the markets with a descending VIX through the 20s..once volatility not only stopped drying up but got a huge pop in volatility your backtest IMO went out the window because 75% of the data you used has a totally different return distribution than what you can reasonably expect right now. You either need to build regime switching stuff into your strategy or build a strategy that is more robust to changing regimes(which you certainly need to backtest a lot more data than just back to jan, but you also probably don't want to skew things with data from such a rare event as the depths of the financial crisis)

Agustin Silvani: Unlimited Opportunities - Forex - Futures Magazine Just found a book by him too with a google search...a take off on Ed Thorp stuff for FX..if you get my drift..wink wink.

yea actually thats a bad example I guess...If you look at his full track record with the month to month breakdown, the guy is a machine month to month. He is certainly the best of the best. Almost seems like he just had to adjust to bigger size during those spinning his wheel days.

Where do you get these numbers from? People just like to pull numbers out of thin air based on based on what billion dollar hedge funds and warren buffet do.. Part of the problem is the success stories get skimmed off by the CTA world at this level. I'm not sure it would even be legal to come on here and pimp your CTA's return. Here is a guy that had a 150k in 1999, averaged 35% a year and now has 13 million... Autumn Gold Alternative Investment Website Took 2 minutes to find that on autumgold and I had never heard of Agustin Silvani or that fund before. I'm sure you can find someone doing something more impressive on there if you want to.

Its really not that hard to figure out why a trading board that is made up of guys not swinging 50 mil+ are not so interested in pairs/long-short/stat arb strategies... Beyond the idea that correlations between 2 instruments are ludicrously unstable on a short enough time frame to not be looking at obvious sector and index beta, this whole idea was milked in the 90s then become a way to market to rich morons who wanted some money with "quants" during the credit bubble. I guess the retail shysters have finally read some Taleb and figured out after the credit crisis this is good marketing to reference "randomness" and "correlation"... While I totally agree with your stochastic easement of markets as a whole. Personally, I have zero interest in pairs trading(let alone stat arb) because it doubles my capital commitment while cutting off any positive return from tail risk and just being "lucky"..I eat the risk of being massively wrong, but have hedged myself of being massively right. Of course though you are in managed forex accounts, and not currency futures..no surprise at all...

Maybe you are getting hung up on programming your own classes? Or at least on how to override a class? I'm so glad I'm a 1999, dot com, CS dropout...OOP makes sense to build huge programs like windows, linked list pointers make sense to handle computation on machines in 1985 because memory management mattered. Now? Who cares... To me its a real shame CS hasn't evolved to be "the study of writing algorithms for parallel computation" at this point. Hardware has practically brute forced to meaningless the science part of 1999 CS...Academia is obviously not the most efficient market though for such things. Don't waste your time learning to "think" in OOP...its a total waste of time given the scale of the project you will ever work on in the markets. You should really consider learning R or matlab...steal from better programmers/bigger shut ins than you will ever be.. Great quote from the hack the market blog i posted in the other thread on here: "“Good programmers write good programs. Great programmers steal good programs.”" I would change that to "great programmers steal great algorithms"...No one here is geeky enough to "take out" anyone who has wrote a matlab or R function...

Before getting too deep into this, I think you should question a lot of assumptions you are making here first... How can you be so sure the feed was the problem? My thinking on the book has always been polluted by that action market theory guy that runs a trading room with some quote that "the book is just noise until a trade happens"... While obviously the book is far from "noise" if we were all trading at equal time frames and with equal data feed latency, I do think he is correct that from his time frame and data latency, thinking of the book as anything but noise is foolish. Max Dama on Automated Trading: Current Competitive Latency If you look at that visualization, to even start to get a clear picture of the book its going to cost you 10-50k a month for a data feed....even though latency arbs are skimming off the top and distorting things and it seems obvious that zenfire themselves are certainly the slowest of the slow on there, no matter how fast they ship it to you once they get the data... I've started shifting my thinking that this retail obsession over "true tick data", aggregated data?? BOOOOO... Obviously execution speed matters a ton, but since the highest end is operating on microsecond time frames..you might be better off with aggregated data that has some millisecond aggregation built in to keep you out of this fools game of trying to beat guys that are so so far ahead of the curve and just picking off the most obvious rare setups.