Sparrow

This is because you only have to pay a margin on futures to buy a contract unless you take delivery. But price changes take full effect on your account not only the money you had to pay for buying the contracts. e.g. E-mini S&P: $12.5 per tick * 50 contracts = $750 per tick It just takes 10 S&P points to lose 30k, that's less than 1% at the moment.

You get your live and/or historical market data from a datafeed. It's possible that your brokerage firm and market data provider aren't one and the same. This might be out of necessity: crappy or no charting platform by broker with no external feed or a choice: more reliable data from a different source

It distribution doesn't have to be normal for starndard deviations to apply, you're right that markets have fat tails, but not all the time:

Hi Frank, good post, however very short term trading isn't everyone's favorite, good execution plays a far greater role in such strategies. Some other problems are: - commissions and spread have more influence if you're able to break even or not - scalability You'll want to have a larger position size on short term trades than on a longer term, because you won't be able to make a lot of money otherwise, which isn't a problem because your stops will be tighter. A pension fund can't make enough money by employing such a strategy imo, markets are simply not liquid enough within a short period of time. If the fund could employ the strategy across a lot of different markets it might work though, although I doubt it. For a retail trader what you described can be a good method to make money if it fits your trading style and you've got the execution skills if trading discretionary.

Here is a example

You need to set a value for the bands, it won't display anything with the default values.

Here is another version, pdawg posted it at http://www.NinjaTrader-support.com/vb. Exported from 6.5.10. BBS.zip

I suppose most of you have seen this already, Dr. Brett wrote a post about it today.

It's for TradeStation, not MT4, bad luck.

In 99% of all cases yes.

Thanks for the modification max-td. pajusa, there is a chance that it might not work, but some 6.5 indicators have no problems with 6.0. Just use File->Utilities->Import NinjaScript, I don't think the xml matters.

You've got a point there, it's possible to make all the wrong decisions and still make money while picking up some bad habits. However more often than not it will show in your statistics and I don't have to think hard to identify what went wrong that day. For a precise analysis video & journals are better, but if you just want quick results or find the days which you'd like to look at more thoroughly, stats are pretty suitable. It depends how much effort you want to put into it.

My day was like this(profit in pips): last week's worst day, didn't stick to my system, revenge trading: numbers don't lie

Playing with these numbers is one of my favorite games . Here is the script converted to exe. works like this: example: start capital is 10000, lot size 1000, average daily profit per lot is 5 which means we have a 0.5% edge, the script stops after we'd be gained 5000 lots, we'd like to start taking 2000 out of our account on a monthly basis after 180 days. additionally we're paying 10% tax, and tax calculation starts from trading day 0. result would be this: which means, the account wouldn't survive. It's purely hypothetical but kinda fun capital_progression_exe.zip

Interesting Darth, however it's questionable if storing the data in a database is necessary at all. If you intend to generate statistical studies with secondary tools from the data it should be in a format that is widely used. The only thing you'd need to worry about is bringing it into the right format (5min/monthly/etc.) In case you want to write your own studies, a database makes sense, otherwise text files are more efficient which you might choose to compress or not. It could also be better to just purchase the data and save yourself all the hassle.

To clear up one point before the question arises, I merely mark the trade confirmations and copy them into a text file, I don't use the available excel file itself. Also the way how pips in the summary are calculated is this: I weight pips by volume traded, so if one trade is twice the size it will be counted as twice as many pips, but in the list it appears as the normal pips amount. For the net pips calculation the gross pips are divided by gross profit, commissions is now multiplied by the number and subtracted from the gross pips figure. Hope I haven't confused anyone. I am pretty sure the script works well enough to get good results, but I've only tested it with my trading style.

I've converted it to an exe, however it is still a console utility mbt_fx_parser_exe.zip

Hi guys, this is a script for assessing performance with MBT Trading FX. It's written in Perl so most of you won't find it useful. How it works is this: download the trade confirmations online and save them in a text file. Afterwards use the file as an input for the parser: short/long: detailed report or short summary: summary line at the end of the report tab sep: tabulator seperated or simple space e.g.: and the result would be something like this, although my trading is seldomly as good as this(short version). Hope someone can find some use for it. One other note, trades should be balanced and I have found it quite useful and accurate for assessing my results. Cheers mbt_fx_parser.zip

MySQL, or PostgreSQL would be an option for storing such data. Maybe also SQL Server Express or Compact but no idea if they have got space constraints or are really suitable for the job. I'd go with MySQL because it's more optimized for speed and the stuff you'd like to do is fairly simple. I suppose the tables could grow quite large but with today's hdds, it shouldn't be a problem. If you get the data into some kind of csv format, you'd be able to load the data like this into a MySQL db. I think it would be tedious work if you cannot automate the export/import. Probably there's a way to this but none of the limited amount of trading software I know allows command line export of data.

Tested my system tweak today, I was upbeat and felt very smug before the start of the session. The session starts I put on my trades and the market pulls one crazy ivan after another busting all my positions. Thanks for that mr. market, trading is such a humbling experience. Despite all of this I stuck to my system and started cheering on the market to hit my stops on, I know it doesn't matter what I think but oddly it doesn't make me feel bad when my position is suck. Almost lost the trade by 1 tick but finally my profit target was hit. At least Mr. Santana & Everlast kept me in a good mood . Ended the day with a loss, but still believe the system is sound, just misinterpreted market conditions. One other dumb thing happened to me too: the mbt navigator is kinda clumsy when it comes to execution, so I sometimes put in a stop order when I'd wanted it to be a limit order and vice versa. I end up exiting when I wanted to add to my position and doubling size instead of taking profits, don't you just love it:doh:. The only thing that helps is double checking.

Darth, you could easily code that with NT, performance would get slightly worse because of having to use real time indicators. Either use market analyzer or 1 tick charts. I'm doing a variation of this to export 1min price/volume data for a volume based price/volume histogram. But have been to lazy to code the histogram so far . Edit: I complicated things a bit, NT can export tick data just fine, but I think it will only do some if it's already in the DB.

I'd say the range is still pretty good for trading just not for trend following. Time to take a break for traders who capitalized on last weeks drop-retrace-drop action. Could just be a minor pause before conditions change again.

That's not happening in the NHL anymore, fights are broken up very quickly and usually it's just the goons going against each other anyway. Enforcers aren't that useful, and major brawls very rare. I find hockey fights rather boring, but don't mind a brawl now and then.

The NHL has toned down the violence level over the years to the like or dislike of some fans. Sometimes ugly things happen but overall it's not that bad considering the length of an NHL season with over 80 games + up to 28 games in the post season. Also there are quite a few players who are in their mid 30s and even some in their 40s who still compete at a professional level, that's why I think it's not as bad as it seems. European rinks are bigger, so games here are not as tough as in america.

Ouch, that looks awful. I'm sure the avs aren't too happy about losing a player like Smyth.