Search found 99 matches

by fab1usa1
Fri Feb 10, 2012 10:21 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6840

When you find this anti-trending system how will you allocate trading capital to it, through a dynamic market-type indicator, or a static 50/50 mix or something similar? As a non-pro trader, but one who uses two trend-following systems courtesy of TB for almost a year, I have come to learn that redu...
by fab1usa1
Tue Jan 17, 2012 8:57 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

re: Conditional Orders at IB, THANKS, rhc, that's brilliant! You talk about high maintainence. I really ought to learn the IB API in order to automate this. One concern I have: my so-called "ETF Signal" suite is running with "Use Broker Positions" set to false. What if IB gets me into a position due...
by fab1usa1
Mon Jan 16, 2012 7:26 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

OK, let me see if I can explain clearly what I have done: I created a new simulation suite named "ETF Signal" using the Donchian system on a portfolio of futures that include: C, CC, CL, CT, GC, HG, HO, KC, NG, QL, RB, SB, and SI. 0.8% risk per trade on $10MM starting equity. No broker positions. I ...
by fab1usa1
Mon Jan 16, 2012 8:29 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

rhc, re: fidelity to underlying futures, how do you backtest such a discretionary system? I suppose it is possible to program Trading Blox to associate an ETF/ETN with the underlying futures, then modify the entry rule to execute when there is agreement. How would you handle an index like RJA, or wo...
by fab1usa1
Sun Jan 15, 2012 8:38 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Thanks. I did decide at the new year to abandon trading futures (for now) and replace them with commodity etfs and etns as per 'rhc'. With so little capital I was compelled to trade a basket of only about a dozen mini and micro markets at a gut-wretching 2% risk-per-trade just to play the game! I gr...
by fab1usa1
Wed Nov 16, 2011 9:43 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Thanks for the clarification.

Interactive Brokers symbol for Soybean Oil is ZL, and Feeder Cattle is GF.
by fab1usa1
Wed Nov 16, 2011 9:21 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Bounty, Interactive Brokers recognizes PA as Paladium, and TY as 10y US Treasury Notes. What is BO and FC?

Moderator's edit: BO = Bean Oil, FC = Feeder Cattle. LINK
by fab1usa1
Mon Nov 14, 2011 6:50 am
Forum: Testing and Simulation
Topic: Testing and automate Trading strategies
Replies: 7
Views: 3014

ycentrino, I deployed my TB and CSI in the Cloud with Amazon Web Services. It costs about $35 per month but I could get it cheaper if I prepay. I intend on writing up a detailed description and setup instructions to share on this forum. Unfortunately all of my energy has been diverted into a Startup.
by fab1usa1
Fri Oct 07, 2011 7:12 am
Forum: Stocks
Topic: US T-bonds
Replies: 6
Views: 4084

fisu, excuse my ignorance but I believe that you are limiting yourself to long-only positions by purchasing bonds. What about the short side? You can get that with bond futures.
by fab1usa1
Thu Oct 06, 2011 10:25 am
Forum: Stocks
Topic: US T-bonds
Replies: 6
Views: 4084

Going forward you may want to consider going long or short a bond futures contract. I am trading 2Y and 5Y notes with IB, symbols ZT and ZF respectively on ECBOT. These are mini contracts. I have not found a mini-sized 30Y but if you have the capital to trade the full-sized contracts then you can pr...
by fab1usa1
Sun Aug 21, 2011 9:13 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

As I said, lack of history puts minis, micros, ETFs and ETNs at a disadvantage. My CSI price history for full-sized futures goes back to 1992 and stocks to 1999. I worry about survivorship bias when going too far back with stocks since my stock system picks from a basket of companies that are curren...
by fab1usa1
Sat Aug 20, 2011 9:33 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Thanks for your reply, Robwynge. A little more information before I proceed: I began this odyssey with a long-only stock system that had a nice CAGR of 20.1% but the DD was unbearable at 35.4% over 33.2 months. I decided that I needed to mix in futures to bring the DD down. The system that I am writ...
by fab1usa1
Fri Aug 19, 2011 11:57 am
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Socrates, After a gut check I recognized how squeamish I was over two decisions I made: (1) running with 2.5% risk per trade, and (2) rounding up the number of contracts in the portfolio manager. Reflecting on our conversation I decided to drop down to 1.5% risk per trade. Of course that necessitate...
by fab1usa1
Thu Aug 18, 2011 4:49 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117787

About 10 years ago I purchased a VHS tape of Mr. Vince presenting his money management techniques in front of a live audience. At its conclusion he invited his audience to contact him via email with any questions. I took him up on his offer. He was very gracious and flattered that someone actually b...
by fab1usa1
Wed Aug 17, 2011 4:30 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Socrates,

We need to hang out together. We are riding the learning curve at the same rate.

The guys and gals on this forum are outstanding!

FAB1
by fab1usa1
Wed Aug 17, 2011 4:16 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Socrates, What is your Risk Per Trade? I searched high-and-low and discovered consensus around: 2/20. That is 2% risk-per-trade and 20% total portfolio risk. I found that I needed 2.5% risk-per-trade in order to be a "player" without welcoming total ruination. (Oh how I hate having so little equity!...
by fab1usa1
Wed Aug 17, 2011 3:47 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Honestly I am new to futures trading so take this for what it is worth...

Even though you would "like" to trade 100 markets you may find that you are never in 100 markets concurrently. That is just my observation.
by fab1usa1
Wed Aug 17, 2011 3:37 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16665

Oh Great Socrates (dig your handle!): Yes, definately backtest with the full-sized contracts since there is comparatively little history in the mini contracts. You will find however that there aren't enough minis out there to give you the diversification that you need. You may want to look into the ...
by fab1usa1
Sun Aug 14, 2011 1:16 pm
Forum: Forex
Topic: Which country has higher potential to raise interest rate?
Replies: 2
Views: 1927

OK, I'll bite. May I assume that inflation is measured consistently for each country (i.e. headline vs core)?

Answer: Country B in both cases.

CASE 1: Not a good idea to raise interest rates with weak GDP growth.
CASE 2: Inflation rate of 2% is rather sweet; why mess with it?
by fab1usa1
Sun Aug 14, 2011 8:50 am
Forum: Testing and Simulation
Topic: Pairs trading of futures
Replies: 2
Views: 1699

PNW, what magnitude of drawdown are your backtests currently showing? What is your objective?