DislikedA lot of discussion is go on about the speed of the engine, where is the bottle neck?...Ignored
- #802
- May 4, 2010 2:10am May 4, 2010 2:10am
- Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts
- #804
- May 6, 2010 1:23pm May 6, 2010 1:23pm
- | Joined Feb 2009 | Status: Price Stalker | 1,197 Posts
Economists have forecast 9 out of the last 5 recessions
- #805
- May 6, 2010 3:00pm May 6, 2010 3:00pm
- Joined Feb 2006 | Status: Blah blah blah | 1,410 Posts
I found this video to be worth 8 minutes and 51 seconds (plus a few milliseconds) of my life:
http://www.technologyreview.com/video/?vid=504
The breaking of a wave cannot explain the whole sea.
- #806
- May 6, 2010 4:59pm May 6, 2010 4:59pm
he didn't mention the transaction costs, for a million trades at $1 vs 1 trade at $1 million
then his commisions are included in the spread cost which is a percentage of total position, aggregate for all entries assuming single direction. Seems there's mighty wisdom in these methods (I imagine vaguely related to gridding) regardless of trading frequency.
- #809
- May 7, 2010 1:47am May 7, 2010 1:47am
- Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts
Gentlemen, this thread has spurred me to register (been lurking for a while). So now I've got my ten years of 1m for the majors loaded up on my trusty mySQL server. Wanted to share the results of a simple query with you, does it pass the sniff test - wouldn't be the first time I goofed in SQL:
Average volatility in pips
EURUSD UTC
Average volatility in pips
EURUSD UTC
- #813
- May 17, 2010 1:50pm May 17, 2010 1:50pm
- Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts
- #814
- May 17, 2010 3:55pm May 17, 2010 3:55pm
- Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts
.. In other news, I got lots of 1 min stock + futures data from pi trading today (couple of DVDs), now I'll really see how fast I can tune my testing framework 
My plan is to build a small cluster of generic, cheap computers and run a parallelized system in top of that.
Related question: what kind of bad tick/bad bar checks do you use?
My plan is to build a small cluster of generic, cheap computers and run a parallelized system in top of that.
Related question: what kind of bad tick/bad bar checks do you use?
- #815
- May 17, 2010 5:07pm May 17, 2010 5:07pm
- Joined Feb 2006 | Status: Blah blah blah | 1,410 Posts
The breaking of a wave cannot explain the whole sea.
Related question: what kind of bad tick/bad bar checks do you use?
Given the complexity of a full solution, I've decided to not solve it
I just compare the data with another source for big errors (20 pips+), and ignore smaller errors (by requiring at least 20 pips profit per trade for my systems).I've also looked at OpenCL a bit. I think I know how to write efficient kernels for converting tick data to bar data, and also how to compute simple indicators like EMA and RSI on it. So I could precompute in one pass all the indicators I need for the simulation run, and then run on these precomputed values, instead of building them on the go. Even more, I could start running the strategy even before the indicators are fully computed, with the CPU running the trading system and the GPU building the indicators. However I don't need this kind of speed at the moment.
- #817
- May 17, 2010 5:51pm May 17, 2010 5:51pm
- Joined Feb 2006 | Status: Blah blah blah | 1,410 Posts
The breaking of a wave cannot explain the whole sea.
- #819
- May 20, 2010 1:19am May 20, 2010 1:19am
- Joined Apr 2009 | Status: Live and learn. | 25,162 Posts
"If The Fool persists in his Folly he will become wise." - William Blake
- #820
- Edited 3:36pm May 20, 2010 2:55pm | Edited 3:36pm
- Joined Mar 2008 | Status: Still testing and trading | 1,454 Posts
This is one of my latest runs (fx, not equities) - after some light bulb moments (as silly as it might sound, after about 10 years of trading - with less trading in the middle of the mentioned years - I think I have finally made myself clear what entry and exit actually mean/are and how to get best results from them) I rethought and coded quite a much of the selection/combination algos, changed fitness algo and added some more order management possibilities to the mix.
I have been trying to verify that this is correct for the past 3 days or something because if this is -- well looks like I'm (or my framework is to be exact) onto something.
Pretty pic attached (last 2 years are out-sample, data is to the end of march).
I haven't tested this live yet so I can't verify if this actually works like this in reality - this would require some major changes with my live EA, and I'm actually thinking of moving back to IB or Dukas so it looks like I have some api coding ahead..
Note the MAR of 14.5 I'm still very unsure if these results are real but I have been going through code, data and generated trades for the last 3 nights and I just can't find anything wrong..
Has anyone here done any automated trading with Dukas thought their api? If yes, how is the api working and how are the slippage/fills compared to IB?
I have been trying to verify that this is correct for the past 3 days or something because if this is -- well looks like I'm (or my framework is to be exact) onto something.
Pretty pic attached (last 2 years are out-sample, data is to the end of march).
I haven't tested this live yet so I can't verify if this actually works like this in reality - this would require some major changes with my live EA, and I'm actually thinking of moving back to IB or Dukas so it looks like I have some api coding ahead..
Note the MAR of 14.5
I'm still very unsure if these results are real but I have been going through code, data and generated trades for the last 3 nights and I just can't find anything wrong..Has anyone here done any automated trading with Dukas thought their api? If yes, how is the api working and how are the slippage/fills compared to IB?
