One pic from a bit different algo I'm using at the moment, in the past runs I used a risk scaling so that when a new algo was added, risk was split between the algos. No more - now I'm using a stricter selection method and not scaling the risk, ...

Systematic trading

If you really have been able to negotiate no rollover interests, then by all means play old good broker hedged interest game too. Buy plus interest rate pair at a broker that gives you rollover and then hedge with one that you have negotiated the ...

Systematic trading

This particular project? I think the time can be seen from the posts I have made to this thread - however the ground work (what I use and what I don't use) are something I have learned during years of studying the markets. I don't use genetic ...

Systematic trading

If you want, go ahead and describe some of the phenomenons you mention at the above post and I'll promise to dissect them for you (if my data is good enough - I don't have book data for longer periods) so you'll see where the edge lies. When you are ...

Systematic trading

Here is a pic from today - not much difference in what it looks like but very different inside. This version now has a simple correlation filter, basically the curve should get smoother the longer I run this (this one is about 20 minutes old). As I ...

Systematic trading

Usually the one with higher win rate and more trades has a lower dd -> therefore lower risk adjusted return so pipmutts first reply is still all there is. The real problem is that there is really no good way of calculating risk adjusted return (yes ...

Defining who is a better trader...

This is REALLY worth watching url

The video store

You have extra '?' at the end of the line so the link doesn't work.. Anyway, what I find quite funny is that many of these are long only systems and if you look at the stock charts, it's quite clear why those did so well.. I would even claim that ...

Systematic trading

This is not directly related to this method but the book in general. I would claim that book is a bit problematic for precise things because there are many orders that are baits that suddenly disappear when price starts to move towards them - I ...

Systematic trading

Rentec? edit: (please note that I meant Medallion, not the public funds) url

Are the best systems also the systems that fail most spectacularly?

Here is one of the latest pics, now I have a system that stores all found and not working strategies (I decided to call them that, clearer than "algo" which could mean any algorithm) to the database so I don't have to run them all over every time I ...

Systematic trading

It's exactly as gspajon said, you have unknowingly curvefitted your results to certain period. It's very easy to do without noticing. Here is a small hint: The simpler the system is, the harder it is to curve fit. Therefore if you find a simple ...

--Edited--

I simulate the trade opening/sl/tp per 1 min candles - I simulate everything based on candle highs/lows (+spread). I simulate everything as pessimistic as possible, ie. if a candle hits both open (stop orders) and sl the same candle - there are ...

Systematic trading

No big player uses currency ETF's (except maybe for arbitrage and the book is worthless there) - it's much better to look at fx futures.

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

I use bucketshop spreads for all pairs so commission is there and the real world commission will probably be cheaper, I don't add slippage unless the candle explicitly shows slippage (open above stop/below sl for example). I probably should though.

Systematic trading

I don't have any final algos, the framework will generate them forever if I let the computer running, the pics I have posted are just shots from random points of the process. The selection process is actually very simple at the moment, I only look ...

Systematic trading

More curves - I didn't believe this would work, I used just one pair, EURUSD and I still got non-curvefitted results. pre 2005 is in-sample again. There are signs of worse curve after 2005 but not as much as I would have supposed. This just shows ...

Systematic trading

Here is one more pic from today, I added some more algorithmic variations to the mix - this is just 42 algos combined, exponential line (white) uses far too high risk, I'll have to adjust the risk somehow.. (note the crazy high profit and drawdown).

Systematic trading

One comment about metatrader tester that I didn't realize before - you get blind to certain things when you work with something too long. Because the metatrader tester result curve box is so wide and the height is so small, the results look better ...

Systematic trading

That picture also tells quite well why Buffett is held in such a high esteem - in a world where a market has a bias a man with a clear bias is a billionaire (he was born in 1930). Forex is different than stocks though.

Long term Profits within Negative Expectancy