Search found 20 matches
- Tue Nov 02, 2010 9:40 am
- Forum: Testing and Simulation
- Topic: Cotton / Blow offs and nasty odours
- Replies: 6
- Views: 4562
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...
- Tue Oct 26, 2010 4:32 pm
- Forum: Trader Psychology
- Topic: I decided to override the system today
- Replies: 13
- Views: 17999
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...
- Thu Oct 07, 2010 4:50 pm
- Forum: Futures Markets
- Topic: Gold Blow Off Top
- Replies: 6
- Views: 4765
- Thu Oct 07, 2010 6:58 am
- Forum: Futures Markets
- Topic: Gold Blow Off Top
- Replies: 6
- Views: 4765
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 trai...
- Tue Aug 24, 2010 12:24 pm
- Forum: Data Providers and other non testing software
- Topic: CSI Eurodollar Error
- Replies: 2
- Views: 3306
- Tue Aug 24, 2010 3:21 am
- Forum: Data Providers and other non testing software
- Topic: CSI Eurodollar Error
- Replies: 2
- Views: 3306
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...
- Wed Aug 04, 2010 2:00 pm
- Forum: Testing and Simulation
- Topic: ETF's
- Replies: 19
- Views: 13532
- Wed Aug 04, 2010 12:21 pm
- Forum: Testing and Simulation
- Topic: ETF's
- Replies: 19
- Views: 13532
- Wed Mar 10, 2010 12:39 pm
- Forum: Data Providers and other non testing software
- Topic: Rolling on OI etc
- Replies: 10
- Views: 9143
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...
- Wed Mar 10, 2010 10:37 am
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 98162
- Mon Jan 11, 2010 4:57 am
- Forum: Testing and Simulation
- Topic: Slippage and Spread
- Replies: 4
- Views: 4049
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 - ...
- Wed Oct 21, 2009 12:24 pm
- Forum: Testing and Simulation
- Topic: Ladies & Gentlemen: Please prepare your responses.
- Replies: 8
- Views: 5424
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...
- Fri Apr 17, 2009 7:42 am
- Forum: Futures Markets
- Topic: London Sugar?
- Replies: 10
- Views: 8450
- Wed Apr 08, 2009 1:57 pm
- Forum: Testing and Simulation
- Topic: Slippage and Spread
- Replies: 4
- Views: 4049
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...
- Thu Apr 02, 2009 11:45 am
- Forum: Trader Psychology
- Topic: Mind set in executing an order successfully?
- Replies: 6
- Views: 10892
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...
- Thu Apr 02, 2009 11:39 am
- Forum: Trader Psychology
- Topic: Dealing with Drawdowns
- Replies: 4
- Views: 8998
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...
- Wed Apr 01, 2009 4:40 pm
- Forum: Trader Psychology
- Topic: Dealing with Drawdowns
- Replies: 4
- Views: 8998
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 her...
- Wed Feb 04, 2009 1:50 pm
- Forum: Brokers
- Topic: Spread Betting Firms
- Replies: 6
- Views: 12433
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...
- Fri Jan 23, 2009 3:43 pm
- Forum: Testing and Simulation
- Topic: Discretion
- Replies: 8
- Views: 5786
- Fri Jan 23, 2009 2:02 pm
- Forum: Testing and Simulation
- Topic: Discretion
- Replies: 8
- Views: 5786
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...