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- foracy replied May 13, 2011
At one point you check if it works outsample (in your case the final step). I guess what you mean is that you do not use the out of sample period to construct the fitness algo, right?
Systematic trading
- foracy replied May 10, 2011
I send you a private message with exact details. Did you use tick data taking the spread into account?
Systematic trading
- foracy replied May 9, 2011
Mikkom, These results are in-sample but I have been running this system live since begin february (with a small amount) to measure slippage. The results have been within the set parameters but as you can see from the graph it takes a long time ...
Systematic trading
- foracy replied May 8, 2011
Hi the moneymanagement is very conservative (no martingale,just increasing slowly). What makes this result so good is the loss/win distribution (max conc loss =4). I would love to know if other people have similar results. I have made billions of ...
Systematic trading
- foracy replied May 7, 2011
strategyX — I have started to play this baby This graph was produced using tick data over a 3 year period, 492 trades. This is one strategy on EUR/USD and trades are intraday. I am amazed how difficult it is to find systems like this and now I ...
Systematic trading
- foracy replied May 5, 2011
Thanks sals, Very impressive and I am interested to see how you progress. The key problem I see in your approach that it isn't about being able to predict the future price. What is more important is the win/loss distribution and that is not covered ...
Systematic trading
- foracy replied May 3, 2011
Nice could you please provide the strategy rules for this (-:
What is your edge?
- foracy replied May 2, 2011
This would be more than fair. I should see less slippage when I increase size. I am not convinced this is going to happen but I 'll wait and see
Dukascopy
- foracy replied May 2, 2011
I build it myself, quite a task. Depending on your rules I may be able to assist, pm me
Need to cut the learning curve with a very soild simulation
- foracy replied May 1, 2011
Thanks, You are right my wording on the market order is not correct however I did mean the same. (meaning it will match a bid or ask on top) I disagree with catching market orders as I used to get a more balanced slippage when using IB. Even from a ...
Dukascopy
- foracy replied May 1, 2011
Rikers thanks for your response. I haven't got all the numbers at hand here but it doesn't take 500 ms for pricefeed to deliver the data. That will be more like a factor 10 lower. My measurement of lets say 500 ms is measured from order submission ...
Dukascopy
- foracy replied May 1, 2011
I use a VPS with a good connection (south UK). It ranges between 200 and 1000 ms between order submission and order execution(between my order submission and confirmation from duka server). Sometimes it takes over 2 seconds but this is very rare. ...
Dukascopy
- foracy replied May 1, 2011
I use market orders (what i believe to be). I define slippage as the difference between when I trigger the order (using that specific bid or ask as supplied by the tick stream) and the price of execution. This is almost always negative at Duka. When ...
Dukascopy
- foracy replied Apr 29, 2011
Thanks for your answer Dale, Interactive Brokers charges $20/million Dukascopy charges about $18/million with account of 10k and using an introduing agent. (cheaper when you have a large account) I quite like the idea of the brokers they have in the ...
Has anybody had any experience with Delta Stock?
- foracy replied Apr 28, 2011
50$/million for upto 10000 after this 30$/million. Quite expensive api is not java but some windows implementation thingio. that is ashame
Has anybody had any experience with Delta Stock?
- foracy replied Apr 28, 2011
What are the charges for the ecn $/million? Do you know if they have a Java API? Thanks
Has anybody had any experience with Delta Stock?
- foracy replied Apr 27, 2011
ChadFx, I am using the api and measure the open and close slip. It is usually 0-1 pips (mostly <0.5 pip) and almost always negative. As I implement scalping systems these spreads actually do matter quite a lot. The slippage should also be positive ...
Dukascopy
- foracy replied Apr 27, 2011
Unless someone gives specific examples of were things are not ok I wouldn't worry to much. People like to blame their own mistakes on the broker. I have been using them for 4 months now and had not any major problems. I am currently evaluating ...
Dukascopy