Search found 5 matches

by NickR
Mon May 19, 2003 9:35 pm
Forum: Testing and Simulation
Topic: Volatility expansion - test on back-adjusted data
Replies: 3
Views: 3491

For the short dated interest rate contracts roll 2-months prior expiry. All global contracts, except Euroswiss, have enough volume in the back months to move across before volatility drops. You should be trading at least the Sep contract, if not Dec at the moment.
by NickR
Wed Apr 23, 2003 9:10 pm
Forum: Testing and Simulation
Topic: Confirming Robustness
Replies: 10
Views: 6923

Sir G, I'll put a differnt spin on "robustness" which may be shot down in flames. To me robustness is understanding exactly why the system makes money. This, in my view, is easy with trend following. All markets, at some stage, will trend. You simply need a mechanism to capture these trends and a ba...
by NickR
Tue Apr 22, 2003 7:07 pm
Forum: Trend Indicators and Signals
Topic: VERY long term trends.
Replies: 6
Views: 7752

I think this is a very relevant topic and I would like to hear commenst from some more experienced here. I have always been of the belief that being a professional trader one should not limit yourself to just one instrument. I feel too many people just wat to be an "S&P trader" or a "futures trader"...
by NickR
Tue Apr 22, 2003 6:46 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 82970

I have traded a stock system that was actually adapted from my longer term futures system. I traded a maximum of 20 stocks. Anything beyond and yes, you start to replicate the index. There is no risk/adjusted return benefit by trading more than 20 stocks to my knowledge anyway, all you do as increas...
by NickR
Mon Apr 21, 2003 9:24 pm
Forum: Trader Psychology
Topic: Cute from afar, but far from cute.
Replies: 3
Views: 4414

I traded the Singapore Stock Index for the first time several years ago. After doing my numbers I placed the order for 10 contracts and at the time thought it was a lot considering it was a stock index. I was filled by the broker but come late afternoon I seemed to get cold feet and exited the trade...