Search found 17 matches

by Robwynge
Thu Mar 22, 2012 12:43 pm
Forum: Futures Markets
Topic: Asian Markets - Brokerage P&Ls, Anyone?
Replies: 3
Views: 2319

Where it gets confusing is that my daily data quotes 165.50 but IB quotes 1.655. So it’s important to check the contract value to make sure you are placing the correct order & to ascertain the correct BPV's I have this issue with RJO as well. It's web trading platform uses no decimals whatsoever....
by Robwynge
Mon Mar 12, 2012 2:09 pm
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6609

I have and indicator that when it reaches a threshold it goes long and then exits when it reverses to another level. Double checked and yes it is entering and exiting how I'm instructing. So then I am confused about why you are confused. :-) If it's doing what you want by following the signals of y...
by Robwynge
Mon Mar 12, 2012 1:37 pm
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 6609

Well, how are you instructing the system to exit trades? And when you look at the trades tab, is the system exiting based on how you expected it to?
by Robwynge
Sat Feb 18, 2012 5:04 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 23629

Amazingly, I can recall having these same discussions/arguments back in ~1994 during a seminar. Eighteen years later, one can only guess at the humongous sums that have been lost chasing stuff like Sharpe ratios or "managers" or "programs." Chuck, so what would be the right thing to chase in making...
by Robwynge
Wed Feb 08, 2012 8:41 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 23629

Re: Musings on (worthless) Past Performance

I used a VERY simple strategy of buying the top 5 CTAs in 2007 as measured by their Sharpe Ratio. I then compared that to my results five years later at the end of 2011 to see how I did. (below).. In a nutshell, it failed miserably. Performance fell apart, the out of sample Sharpe Ratios fell an av...
by Robwynge
Tue Feb 07, 2012 7:45 pm
Forum: Brokers
Topic: RJO?
Replies: 0
Views: 2532

RJO?

I am moving my futures trading to Wisdom Financial and I am trying to decide between RJO and OEC for my FCM (ok, OEC isn't a clearing firm itself). I lean toward RJO given their exclusive focus on futures, their size and (seemingly) well respected reputation in the industry. But I also like OEC's pl...
by Robwynge
Sat Feb 04, 2012 7:52 am
Forum: Futures Markets
Topic: Doing business in the post MFG era
Replies: 13
Views: 5492

I would love to revive this thread and ask, 3 months after the MF Global mess started, what are people doing? Have people found methods of account management that provide an acceptable trade-off between safety and convenience?
by Robwynge
Thu Feb 02, 2012 11:08 am
Forum: Brokers
Topic: Forex brokers
Replies: 5
Views: 3496

Thank you!

If I may ask, if you are happy with Oanda, why are you considering those others? Diversifying brokers post MF Global?
by Robwynge
Thu Feb 02, 2012 10:38 am
Forum: Brokers
Topic: Forex brokers
Replies: 5
Views: 3496

Thinkorswim/TDAmeritrade.

So who is "reputable"?
by Robwynge
Thu Feb 02, 2012 9:37 am
Forum: Brokers
Topic: Forex brokers
Replies: 5
Views: 3496

Forex brokers

I don't trade forex much but recently put on a few trades and I noticed that the amount of positive carry that I was making on positive interest rate pairs seemed far less than the amount of negative interest I was losing when I had on negative interest rate pairs. After some digging, I discovered, ...
by Robwynge
Sun Jan 15, 2012 9:18 pm
Forum: Trend Indicators and Signals
Topic: consistency of entry method AND symbol
Replies: 10
Views: 6714

Saying that this "positive expectation system" has been "killed" by being forced to "skip" trades isn't really a useful analysis of the real-world situation and is a waste of time IMO. Just providing information. People are free to value it as they shall. The paper is attached. Turns out it was the...
by Robwynge
Sun Jan 15, 2012 4:59 pm
Forum: Trend Indicators and Signals
Topic: consistency of entry method AND symbol
Replies: 10
Views: 6714

I read a study once, which I'll link later if I can find it, that said skipping valid trades due to capital limitations (or other reasons) can kill a system with a profitable expectancy because it adds a random element to the system (the ability to take the trade) that degrades your edge. Greyzy giv...
by Robwynge
Sun Jan 15, 2012 4:53 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 17706

I also trade ETF's and ETN's when futures contract sizes are too large. One trick to avoid soaking up a large chunk of capital is to use a "synthetic stock position" with options. To go long, buy a call and sell a put at the same strike price, and to go short, buy a put and sell a call at the same s...
by Robwynge
Thu Dec 01, 2011 8:46 pm
Forum: Trader Psychology
Topic: Serious Question to Forum Traders
Replies: 15
Views: 9351

Perhaps this advice can be applied to the current situation. If you worry that the markets have changed in a way that severely damages your trading method's profitability, perhaps the thing to do is reduce position size. Reduce it to the point that lets you sleep again. For some people, the sleepin...
by Robwynge
Thu Oct 27, 2011 8:04 pm
Forum: Trader Psychology
Topic: Current Market Psychology
Replies: 11
Views: 6149

Re: Current Market Psychology

More stupid than ever ? Today just takes the cake. A 3+% rally based on yet more empty promises without details? Really? I don't buy into conspiracy theories about market manipulation, but I wonder if there are big money banks and funds that have figured out how to catch a large number of market pa...
by Robwynge
Sun Sep 18, 2011 7:55 pm
Forum: Trend Indicators and Signals
Topic: How to determine the TREND?
Replies: 3
Views: 4371

Stepping back a bit, the issue you raise points to an unsolvable trading dilemma, which is that there is simply no 100% sure way to know if the pull back in your uptrend is just a short-term pull back prior to trend resumption, or whether it is the end of the trend (there may be ways to handicap the...
by Robwynge
Sat Aug 20, 2011 6:27 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 17706

Oh Great Socrates (dig your handle!): Me, I'm a bit stubborn. I like the full-sized contracts. Had a long talk with the wifey and we upped our investment to $165K. As we speak that allows us to trade 6 contracts of EuroDollar, 1 contract of Corn, 1 contract of Soybean, and 1 contract of Canadian Do...