[Assuming you have an edge] Yearly net return always depends on how much volatility you are ready to tolerate - there is no answer to your question. Good thread btw, let's concentrate to the flow.

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

The same state as with the price is still there even if you view just the book, you just have more information about the current price. Talking of book, does anyone know if there are any sources that provide longer term book data?

Systematic trading

Probably yes but first I have planned to code some kind of algo to mt4 translator so I can jump right into trading and separate the development framework from execution framework. I took a look at FIX but it was so fragmented [ib fix was very ...

Systematic trading

The name was a bit of a joke (you have to make something up for package names and so on and I don't want to refactor evetrything after few months) but I kind of like it so it's probably there to stay. By the way I mentioned donchian 4 week/1 week ...

Systematic trading

Here is some eyecandy from the tester I'm working with This is one of the first runs where this nice visual profit curve thing is working (this is not monte carlo, the gray lines are algo variations - this is just a test algo, the same one as in ...

Systematic trading

BlackMage, thanks for the link - looks like excellent stuff. My feed is ActivTrades "interbank" account (basically some kind of ecn bridge with commission included in the spread, I'm not 100% sure where they connect to - I have asked them about this ...

Systematic trading

Interesting tick movement Looks like few algos fighting each other

Systematic trading

Stop orders transform to market orders when hit, so cluster of stops will always cause a temporary spike in demand (one stop triggers others and so on) - after that everything depends on liquidity and other things but the demand spike [= bias] is ...

Long term Profits within Negative Expectancy

Totally true and good points. Those graphs were mostly meant to be more of a visual representation [this kind of more extensive order book data is not available anywhere else] of clusters and trader psychology than the whole market, I don't claim ...

Long term Profits within Negative Expectancy

Money management only keeps risk of ruin minimized (which is important of course) but more important is to enter so that your initial stop is not hit before exit and exit the trade at the moment when price is as much positive as possible. There is ...

Long term Profits within Negative Expectancy

These two might be of your interest as well url url At the moment at least I have no plans to open my platform. (I added all these to the first post, I try to keep some kind of a simple link library there) There are also many commercial packages ...

Systematic trading

I wonder - If I do all my trading through my algos without any human intervention as I have done since begin of this year, is my ego still in charge and luck involved? Here is an another link to scientific study related to this thread url I think ...

Long term Profits within Negative Expectancy

You might be a bit behind the recent developments about random walk. Have you ever heard of work done by [profs] Lo & MacKinlay [80's]? url Full text is available here url I also included a 20 year combined backtest curve for eurusd (over 17000 ...

Long term Profits within Negative Expectancy

Testing over long periods of data with multipler markets + the fact that most of my systems (I trade 25 systems simultaneously, at the moment with 6 pairs) are quite simple [and therefore not likely curvefitted]. Somehow I think that's not what ...

Long term Profits within Negative Expectancy

Clusters of stops are a very important (at least for me) inefficiency that can be exploited, I'm not sure about the actual hunts. They are also one of the reasons of the high/low price action and volatility changes daytrading mentioned. I agree with ...

Long term Profits within Negative Expectancy

Neither of the above comments is 100% true. Yes, there are systems here that are profitable but finding them is a very hard work. Also, if all needed would be discipline, there would be no markets because computers can trade systems very easily ...

Best Trading System for a Newbie

Sorry I edited my comment after you quoted it (I do it a lot uh), the real question is, why wouldn't you try to have an edge in exit too if you try to have an edge in entry? IMHO it's impossible to know what your risk to reward ratio will be before ...

Long term Profits within Negative Expectancy

Just out of curiosity, why would you want to use 1:1 risk reward ratio? Why not aim to 1:infinite risk to reward ratio? IMHO systems with 1:1 are almost certain to fail. If you try to have an edge with entry, why not try to have an edge with exit ...

Long term Profits within Negative Expectancy

Even better then

Long term Profits within Negative Expectancy

Thanks a lot for the pointer, seems like a paper worth reading.

Long term Profits within Negative Expectancy