Search found 20 matches

by J D Canning
Tue Nov 02, 2010 9:40 am
Forum: Testing and Simulation
Topic: Cotton / Blow offs and nasty odours
Replies: 6
Views: 2618

I guess this is the fundamental crux of trend following: you just don't know. Who, in the late 1990s, could have possibly foreseen Oil trading above $100? Or Gold at $1,300? The mechanical nature of the beast can sometimes be so counter-intuitive that it leads one to question the very basis of one's...
by J D Canning
Tue Oct 26, 2010 4:32 pm
Forum: Trader Psychology
Topic: I decided to override the system today
Replies: 13
Views: 10801

A chart such as this one, with such an obviously accelerating trend (blow off top?), makes me think once again how intellectually satisfying the chandelier stop is as an exit strategy. To me the idea of tracking the price based on the most recently achieved highs (or lows) seems to sit much better t...
by J D Canning
Thu Oct 07, 2010 4:50 pm
Forum: Futures Markets
Topic: Gold Blow Off Top
Replies: 6
Views: 2751

And how about Crude Oi.....oh....
by J D Canning
Thu Oct 07, 2010 6:58 am
Forum: Futures Markets
Topic: Gold Blow Off Top
Replies: 6
Views: 2751

Gold Blow Off Top

Hope everyone's "enjoying" the blow off top in Gold. There's an inevitability about the imminent correction that leaves one a trifle nervous, but for now, it's one hell of a ride. Would be interested to hear about people's exit strategy on this one. Here's my starter for ten: I have a trailing stop ...
by J D Canning
Tue Aug 24, 2010 12:24 pm
Forum: Data Providers and other non testing software
Topic: CSI Eurodollar Error
Replies: 2
Views: 2034

Done. All sorted. They were actually very helpful.
by J D Canning
Tue Aug 24, 2010 3:21 am
Forum: Data Providers and other non testing software
Topic: CSI Eurodollar Error
Replies: 2
Views: 2034

CSI Eurodollar Error

Anyone else got crazy values for ED on 18 August? 20100817,99.62500000,99.64500000,99.62250000,99.64250000, 1263873, 7843965,201009,99.64250000 20100818,95.93000000,96.02500000,95.93000000,95.91500000, 248, 4667,201009,95.91500000 20100819,99.65250000,99.66000000,99.65000000,99.65500000, 1527734, 78...
by J D Canning
Wed Aug 04, 2010 2:00 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 5607

That's priceless: "hedge funds - also known as trend followers"!!! I love it! Ignorance and stupidity abound. People, in general, are terrified of money and would much rather entrust their excess money to a so-called expert (or, indeed, stockbroker) than actually get off their fat @rse and actually ...
by J D Canning
Wed Aug 04, 2010 12:21 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 5607

Interesting discussion. The level of ignorance amongst, not only the general public, but also so-called investment "professionals" is truly staggering. With regard to lack of understanding of financial instruments, it is worth comparing the two sites run by IG Group in the UK. IG Index offers spread...
by J D Canning
Wed Mar 10, 2010 12:39 pm
Forum: Data Providers and other non testing software
Topic: Rolling on OI etc
Replies: 10
Views: 6071

I have considered trading CFI for some time now, but was put off by the low levels of liquidity in non-December contracts. I have dealt with this issue by choosing a fixed roll date (12 days before month end) and selecting only the December contract for trading in CSI. This gets me where I want to b...
by J D Canning
Wed Mar 10, 2010 10:37 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70462

Just out of interest, does anybody know what on earth happened in Q4 1978??? That's a precipitous decline in account equity... ouch!
by J D Canning
Mon Jan 11, 2010 4:57 am
Forum: Testing and Simulation
Topic: Slippage and Spread
Replies: 4
Views: 2607

I am currently using the Custom Slippage Blox as a proxy for spread. I don't have the Builder version of TB yet, so this is currently based around adding/subtracting a proportion of ATR rather than an absolute value per instrument (which would be my preference). It seems to be working well so far - ...
by J D Canning
Wed Oct 21, 2009 12:24 pm
Forum: Testing and Simulation
Topic: Ladies & Gentlemen: Please prepare your responses.
Replies: 8
Views: 3317

It would be very interesting to hear these academics' views on the historical performance of well known mechanical system traders who we all know and love. Are they just lucky? Consistently and profitably lucky over a period of 20 years and more? Are they the winners in the survivorship bias game? P...
by J D Canning
Fri Apr 17, 2009 7:42 am
Forum: Futures Markets
Topic: London Sugar?
Replies: 10
Views: 5763

I was long and, because of what appears to be a significant gap-like move, ended up suffering a 1.7R loss on this trade.

These things happen from time to time I guess. Worse has happened in backtesting, which is reassuring.
by J D Canning
Wed Apr 08, 2009 1:57 pm
Forum: Testing and Simulation
Topic: Slippage and Spread
Replies: 4
Views: 2607

Slippage and Spread

This topic has been discussed at length on a number of occasions, but what I am bringing up here relates to a very specific method of trading - spreadbetting. Using this method, there is no commission to pay per se, instead there is an increased bid-offer spread. The way I have incorporated this int...
by J D Canning
Thu Apr 02, 2009 11:45 am
Forum: Trader Psychology
Topic: Mind set in executing an order successfully?
Replies: 6
Views: 5601

As I see it, assuming you are trading a 100% mechanical system, there should be no need for trade execution other than placing orders with a broker thereby removing the emotional aspect from the equation. In the ideal world, even order generation would be fully automatic, and one could leave the sys...
by J D Canning
Thu Apr 02, 2009 11:39 am
Forum: Trader Psychology
Topic: Dealing with Drawdowns
Replies: 4
Views: 4885

Thanks for the feedback guys. For the record, thje maximum number of consecutive losing trades has been 7, and 22 of the past 32 trades have been losers. The performance so far is less than the maximum drawdown encountered in backtesting and well within the paramters of the Monte Carlo simulation. I...
by J D Canning
Wed Apr 01, 2009 4:40 pm
Forum: Trader Psychology
Topic: Dealing with Drawdowns
Replies: 4
Views: 4885

Dealing with Drawdowns

I am new to mechanical trend following and am currently experiencing my first major drawdown (30%). I have traded before and have experienced similar sized drawdowns, but have to say that I derive a certain degree of comfort from Trading Blox and the fact that my backtested system has "been here bef...
by J D Canning
Wed Feb 04, 2009 1:50 pm
Forum: Brokers
Topic: Spread Betting Firms
Replies: 6
Views: 8007

IG Index

Is anybody else on this forum using IG Index? I think they are just about the best SB firm - they certainly have the best trading platform that I have come across, especially when it comes to entering stop orders. They also allow bet sizes to be configured down to the penny, unlike other firms I hav...
by J D Canning
Fri Jan 23, 2009 3:43 pm
Forum: Testing and Simulation
Topic: Discretion
Replies: 8
Views: 3468

My systems did indeed go long ED and short CL some time ago, although I trade on a shorter time frame than many, so have had quite a number of trades in these instruments over the past few months. My Crude Oil example was somewhat trite - of course it could go lower - many people were using "can't g...
by J D Canning
Fri Jan 23, 2009 2:02 pm
Forum: Testing and Simulation
Topic: Discretion
Replies: 8
Views: 3468

Discretion

I would like to bring up the topic of allowing for a certain degree of discretion when trading a mechanical trend following strategy. I know that these two approaches should be mutually exclusive, but we are currently seeing some pretty extreme movements across number of markets, some of which I fee...