Traders' Roundtable

To my shame and regret, I have only just started playing around with random entries and Monte Carlo analysis.

Such testing may give you more robust answers than running simpler tests for any given system and timeframe.

"its not a surprise to me that Lumber started its fall in May, since it does so from May till October and then rallies from October till May, so if Stan was short Lumber from the beginning of the move and bill just got into it who do you think has more chances of getting out profitably? " ...

I really wonder whether it matters. What does matter rather more than the exact system or parameters used by Stan is his timeframe. That does matter. That is interesting. But look, anyone can come up with a number of different long term systems which would have shorted lumber on the same date. Using...

I might just add that fiddling around with random entries and the new randomseed/random function greatly re-inforces my feelings on trend length. And its also pleasant to put to the test good old Doc Van Parp's theory that given good exits and money management, even random entries can be turned to p...

I far prefer StanCramer's approach. I would imagine, given his positions, that he is trading a mechanical system using very wide stops and aiming to capture very long term trends? He at least will not care if he appears to be doing the opposite to everyone else.

Someone posted a recent Wall Street journal article about Steve Cohen on elitetrader.com - I regret I do not have the appropriate reference to hand. In essence, apart from the usual speculation that SAC makes money on insider dealing, Cohen was saying that the days of high turnover rapid fire profit...

I do not think the competition should be between Pinnacle and CSI. I use CSI and am happy with it: many complain about the software but I have found it both useful and educative to experiment with the many different settings. To change the roll algorithms, to look at rolling on set dates, on OI, on ...

I negotiated one price for electronic trades and a slightly higher price for pit trades. So, yes. But they should have told you this ab initio. My experience is that one needs to negotiate up front a net price per RT with no add ons (and certainly no klingons) - that way you don't end up with nasty ...

"The mental side". I could not agree more that this is enormously difficult. 20 years is but the blink of an eye in a backtest: so is that 40% drawdown, so is that 24 month period between equity highs. When you are living through it, you always have that nagging doubt, however often you ha...

Alerionsailor Much depends on what length of trend you are attempting to follow. You do not mention how many counters are in your portfolio but with only 200 trades in 10 years on a reasonably diversified portfolio, you must be going for very long term trends. If you are shooting for very long term ...

A tiny minority are lucky enough to achieve enlightenment by way of a Damascene conversion or in the sudden flash of understanding so reminiscent of the Zen tradition. Or so legend has it. The majority of us must work long and hard on all aspects of our life and our career beofre we begin to see a m...

In support of my contentions take a look at Salem Abraham's website. He now trades stock indices as part of his portfolio. The disclosure documents of the trend following CTAs are littered with details of portfolio changes, system changes, bet size changes, parameter changes and so on. As I say, rea...

For those who trade as well as backtest, as the years roll by the lesson sinks in that backtesting, while useful (indeed essential) is only ever going to be a blunt instrument. A means of showing you broad, sweeping trends in profitability. A way of letting you make assumptions about how to proceed ...

I was looking through my charts today and, noticing the recent slide in canola, thought I would just point out that my very long term system remains short. The short was taken in the fall of 2004. Elephantine and slow it may be but it does have its advantages. One of which is that because of the rel...

Is there any online service provider where you can view back adjusted charts and apply simple studies?

IE a sort of online CSI.

Yep, take your point. Jeez, quite right about the Hang Seng.

Mike 168 c.f. or Tim noted somewhere how one can avoid making the screen unreadable by inserting graphics which are too large.............dunno whether you saw that? But the charts are making this thread a little difficult to follow. Re roll dates, I do not approach this question from the backtestin...

Stancramer Invaluable advice, really. Thank you. I have set aside today to comb through every avenue I can find (exchange websites, broker websites, holiday calendars etc etc) to TRY to get the best picture I can about such difficulties. I shall no doubt need many such days. I have absolutely no dou...

Turtle 40 It is very, very , very, very simple. I do not trade my own system. None of my time, I repeat NONE of my time has been taken up by trading. My time has been taken up in setting up the ROBOBROKER to trade my system FOR ME. So that I need not place an order, move a stop, even pick my nose or...

No guvnor, not yet. But I am using a hell of a long term moving average with a wide envelope to cut out some of the noise. Not sure what Sluggo is trading. He did make some (as usual) veiled reference to his positions recently on another forum. But ya nevva know, maybe he will post here for you.