Search found 109 matches
- Fri Nov 18, 2005 11:00 am
- Forum: Money Management
- Topic: CAPITAL REQUIREMENT
- Replies: 10
- Views: 13459
To augment Sluggo's suggestion a bit, here is a twist that I use. Notice that using exponential betsizing it isn't to long before (given a profitable system), even with a small amount of starting equity, you are trading much larger sums. This is great when we want to make as much money as possible. ...
- Wed Jul 20, 2005 11:58 am
- Forum: Testing and Simulation
- Topic: Adjusted Prices
- Replies: 11
- Views: 7889
- Tue Jul 19, 2005 12:37 pm
- Forum: Testing and Simulation
- Topic: Adjusted Prices
- Replies: 11
- Views: 7889
I see Damian made some of my points for me as I wrote my last message. To be clear, Momentum / ATR presents no problem for backadjusted data, if momentum is defined as price minus price some bars back (i.e. a price change described in points). Momentum / Price or Price / ATR or other such comparison...
- Tue Jul 19, 2005 12:33 pm
- Forum: Testing and Simulation
- Topic: Adjusted Prices
- Replies: 11
- Views: 7889
Backadjusted data retains the integrity of price changes from one bar to the next, not the absolute price levels. You cannot use backadjusted data to accurately calculate price percentage changes. However, this type of data does not distort indicators like highest high, lowest low breakout channels,...
- Tue Mar 15, 2005 12:47 pm
- Forum: Testing and Simulation
- Topic: contango/backwardation
- Replies: 16
- Views: 15916
- Mon Mar 14, 2005 9:34 pm
- Forum: Testing and Simulation
- Topic: contango/backwardation
- Replies: 16
- Views: 15916
- Sun Mar 13, 2005 11:11 am
- Forum: Testing and Simulation
- Topic: contango/backwardation
- Replies: 16
- Views: 15916
Hi Wonkabar, I study rolling fairly extensively, but I don't understand your comments about making or losing value on the roll depending on the spread relationship of the old and new contract months. I don't believe that for my trading systems I make or lose money on a roll (ignoring the effect of p...
- Thu Jan 06, 2005 12:02 pm
- Forum: Testing Software
- Topic: remote access to your main pc
- Replies: 2
- Views: 5636
- Thu Dec 16, 2004 10:28 pm
- Forum: Futures Markets
- Topic: spread btwn cash and far out month 07
- Replies: 2
- Views: 4016
You are correct, conventional wisdom is that a highly backwardated market is more bullish than a contango market (if the market is normal, and not inverted all the time). Crude oil is one that tends to be inverted alot. Larger degrees of inversion can indicate high demand in the near month or spot m...
- Thu Nov 18, 2004 10:27 am
- Forum: Trend Indicators and Signals
- Topic: stalking the first big trend when starting out
- Replies: 11
- Views: 15831
I agree with GR and the others that Leonardo's post about stalking the cotton trade (and the controled risk plunging technique in general) is a great one. I also agree with Leonardo that it is a wonderful time to be starting out as a trader or money manager. I notice that a lot of the LTTF systems t...
- Mon Nov 08, 2004 10:39 am
- Forum: Testing and Simulation
- Topic: Data set up for backtesting
- Replies: 9
- Views: 11214
Hi TC, my views on the rolling methods you mention are that I like to test them all and see how I feel about the results. If a trader wants to pay the narrowest spreads and incur the least slippage while rolling, he might look for the point where liquidity shifts from one contract to another (i.e. t...
- Mon Nov 01, 2004 6:48 pm
- Forum: Testing and Simulation
- Topic: Data set up for backtesting
- Replies: 9
- Views: 11214
If you have backadjusting software like CSI's Unfair Advantage, you can put contracts together in a variety of different ways in order to come up with something to your liking. Looking at charts with volume and open interest plotted on them while you change rolling parameters can be enlightening. On...
- Tue Oct 26, 2004 12:45 pm
- Forum: Futures Markets
- Topic: A swan strikes
- Replies: 15
- Views: 15269
Right on, GR. I know the drill. I end up taking this issue into TTP at the next opportunity, and I don't change my strategy a bit. Sometimes a loss is just a loss. I deterimine that my trading strategy does not benefit from changing the system based on this event, and I trade through to today withou...
- Fri Oct 22, 2004 12:30 pm
- Forum: Money Management
- Topic: Question about money management
- Replies: 18
- Views: 16103
Hello Bunter, I will try to clearly outline the two betsizing strategies (commonly called % risk and % volatility) that you are asking about. First, % risk - To size positions using this method you need the following inputs: 1. a fixed percentage of trading capital that makes up the numerator of the...
- Mon Oct 11, 2004 10:39 am
- Forum: Testing and Simulation
- Topic: Simulation w/ Fees
- Replies: 3
- Views: 5066
I also account for fees in my testing. I am glad c.f. plans to put this functionality in VT. Though a given fee structure tends to affect similar strategies in predictable ways, it is nice to be able to see the difference fees make, especially when marketing a new trading program. If people see that...
- Wed Sep 29, 2004 11:38 am
- Forum: Futures Markets
- Topic: does anyone have
- Replies: 5
- Views: 6009
Tradingcoach, In general, CTAs are money managers. Some of the more reputable systems vendors register as CTAs as well. A CTA is very different from a broker, though like the rest of the financial services world, the lines between the roles of sales, execution services, and trading advice is often b...
- Tue Sep 28, 2004 11:24 pm
- Forum: Futures Markets
- Topic: does anyone have
- Replies: 5
- Views: 6009
Call the CME and ask them to send you a copy of their booklet, How to Become a CTA. It is a great little book that they will send you for free.
Also look at http://www.iasg.com and other tracking / alternative investment allocator websites for more info.
Best,
Jake
Also look at http://www.iasg.com and other tracking / alternative investment allocator websites for more info.
Best,
Jake
- Tue Sep 28, 2004 8:27 pm
- Forum: Money Management
- Topic: VaR
- Replies: 21
- Views: 23263
- Tue Sep 28, 2004 4:16 pm
- Forum: Money Management
- Topic: VaR
- Replies: 21
- Views: 23263
- Mon Sep 20, 2004 4:37 pm
- Forum: Data Providers and other non testing software
- Topic: CSI DATA
- Replies: 2
- Views: 4809
Trendyguy, #1. You can plot indicators (custom and standard) on charts in CSI. I think the charting is clunky, and I don't use it for in depth technical studies. I use CSI primarily for EOD price data, not charting. #2. Yes, you can set it to roll on the X day of any given month (Expiration month, m...