Search found 34 matches

by td80
Fri Nov 12, 2010 3:19 pm
Forum: Market Psychology
Topic: Email that I received today
Replies: 10
Views: 8884

I agree with sentiments here that there is no reason to veer off the automated track. However, as I have brought up on these forums before, this does present an interesting talking point for US citizens: How do you trade and clear through non-western banks/clearing firms should we see an actual syst...
by td80
Thu Nov 11, 2010 4:19 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 8622

Dynamic portfolios still have issues guys. I mean what is "best" in terms of instrument or signal at any given time? You are treading into the realm of relative ranking (which I am interested in, and use to effect in equities). You are still trading a small set of instruments, you are just swapping ...
by td80
Wed Nov 10, 2010 1:37 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 8622

I think bobsyd sort of hints at an interesting question. Assuming you have limited capital initially, is it better to diversify multiple systems across a narrower set of instruments, or is better to diversify a broad set of instruments across a system or few? This question has implications on all of...
by td80
Mon Nov 08, 2010 4:27 pm
Forum: Trader Psychology
Topic: I decided to override the system today
Replies: 13
Views: 11465

We're going to have to start calling him the executioner. That is a lot fills to deal with 262 days a year. I'm only doing around 150-200 round trips a year, although I'm certainly not trading nearly the same amount of capital or diverse set of systems (yet). Sluggo this is starting to sound like a ...
by td80
Wed Nov 03, 2010 9:43 pm
Forum: Trader Psychology
Topic: I decided to override the system today
Replies: 13
Views: 11465

Re: I decided to override the system today

Bad Sluggo, Bad!

(Sorry I couldn't resist) :D

sluggo wrote:
... but, I decided, not this time. Having scaled out a few times already, I'm down to one contract of Cotton. And I decided to exit that little booger today (26 Oct), in violation of the rules.

]
by td80
Thu Sep 30, 2010 5:49 pm
Forum: Testing and Simulation
Topic: Measuring your correlation to professional futures traders
Replies: 56
Views: 24788

This has to be one of the hall of fame threads for this board. I'm sorry I can't add more value as I am still soaking it all in, but thank you all for your contributions and especially sluggo for lighting this candle. Oh and by the way it is posts within this thread that make me glad I am not runnin...
by td80
Tue Aug 17, 2010 7:50 pm
Forum: Testing and Simulation
Topic: Any successful Factor-based system for futures?
Replies: 0
Views: 1977

I'm curious if anyone has built a factor-based approach with some success on the futures side of the business. Then say carry the top X liquid instruments and rebalance as needed. Then just do an asset allocation to it as an asset class rather than a long/short technical approach across multiple sys...
by td80
Wed Aug 11, 2010 4:05 pm
Forum: Testing and Simulation
Topic: System Longevity
Replies: 22
Views: 9425

My perspective is absolutely not, that is a 3 (trading logic) parameter system. You must have a down day (#1, an entry filter), and then you have an offset (#2 buy stop at the high), and then you are closing the position under different circumstances than you opened it (#3). A single (trading logic)...
by td80
Tue Aug 10, 2010 2:22 pm
Forum: Testing and Simulation
Topic: System Longevity
Replies: 22
Views: 9425

Hi Altomas, I would first like to say, welcome! Now you are really jumping into the fire here with these sorts of interesting questions. You may find that I am usually in the middle of the fire with a bunch of dry tinder and a decent bit of hot air when it comes to parameter/curve fitting discussion...
by td80
Sun Aug 08, 2010 8:50 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 6012

As long as man is interested in reducing risk, there will be opportunities for the likes of us "unsavory" speculators. Frankly I believe that private speculation is the only honest pursuit in the whole industry exactly because we put our (hopefully) own money on the line every day. We do, in fact, o...
by td80
Fri Aug 06, 2010 1:10 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 6012

In terms of people to look up to etc, I think to idolize man is to idolize a beautifully defective being. Since I'm not particularly inclined to religion, I like to look to the natural world in general for inspiration. At any rate I don't have any empirical data for you regarding stock market perfor...
by td80
Thu Aug 05, 2010 1:54 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 6012

In terms of credit risk, please remember some of the firms that went up in smoke were around since long before CFDs were even invented (think Great Depression and earlier). In terms of GS, well, you know how it is Chris. The biggest scoundrels are loved on Wall Street and the City of London as long ...
by td80
Wed Aug 04, 2010 5:54 pm
Forum: Testing and Simulation
Topic: ETF's
Replies: 19
Views: 6012

Holy cats this thread exploded out of left field. It is almost a black swan event for this forum given number of posts over the given time frame. At any rate I would say one huge driver of spread betting in say, the UK, compared to the U.S. is the tax treatment! I won't start on my tax rant but let ...
by td80
Thu Jul 29, 2010 3:30 pm
Forum: Testing and Simulation
Topic: System blow up
Replies: 4
Views: 2303

Caution does seem to be the best option. This is so true. It is like picking apples from a mutant, super elevated apple tree with a fixed ladder. How far out do you want to lean? Do you want to get out on that rather thin looking branch to get the most apples possible? The problem is as traders we ...
by td80
Wed Jul 28, 2010 7:20 pm
Forum: Testing and Simulation
Topic: System blow up
Replies: 4
Views: 2303

If you mean blow up as in violate my expectations, then yes. Looking back does it still "work", yes (new all time high simulated). What is the culprit? Some Curve fitting which led to unrealistic expectations (and statistics) which then led to big red lights and klaxons when shortly into production ...
by td80
Thu Jul 08, 2010 5:47 pm
Forum: Testing and Simulation
Topic: OCO+GTC
Replies: 7
Views: 3226

kianti wrote:'Where do you get married? PM me for any help or assistance
Thank you for the offer. I would like to extend the same if you ever find yourself headed to California/USA. Donnini Italia is the spot! PM'd you the details.
by td80
Wed Jul 07, 2010 1:07 pm
Forum: Testing and Simulation
Topic: OCO+GTC
Replies: 7
Views: 3226

By OEC I believe Leapfrog means OpenEcry:

http://www.openecry.com/
by td80
Tue Jul 06, 2010 5:42 pm
Forum: Testing and Simulation
Topic: OCO+GTC
Replies: 7
Views: 3226

Hopefully I can be of some help on this topic with some google-fu: http://www.bigmiketrading.com/platforms-indicators/3717-server-side-synthetic-orders-oco-trailing-stops.html It seems Interactive Brokers, TD Ameritrade, and perhaps Strategy Runner will do it as well. On another note in reference to...
by td80
Mon Jun 14, 2010 3:19 pm
Forum: Testing and Simulation
Topic: Frontiers of Peak Sharpe Ratio: data visualization technique
Replies: 1
Views: 3058

Thank you for sharing Mark. This also leads to an interesting rabbit hole regarding markets with limited liquidity (given a trader's capital allocation). It may be interesting to allocate the high slippage strategy to a less liquid portfolio of instruments, the medium slippage to somewhat liquid ins...
by td80
Thu Jun 03, 2010 8:07 pm
Forum: Testing and Simulation
Topic: CURVE FIT OR GENIUS?
Replies: 15
Views: 6648

I don't mean to speak for sluggo but I'm not sure you will see him much more on this thread, he tends to offer (valuable) bits of wisdom and doesn't seem to like to wrestle in the mud too much unless there is some new aspect that is brought to light. I'm afraid I haven't reached that level of zen ye...