Search found 143 matches

by Chuck B
Thu Aug 02, 2012 3:29 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13355

You mean the one saying 1.75 a side? Now that´s a good rate isn´t it! +15 years of clearing with no problems whatsoever is worth mentioning also. Just happy to share that experience. That´s all. Wow, you're not paying $3.50 a turn are you? :shock: I had a 10+year great experience with GNI/Man/MF...
by Chuck B
Thu Aug 02, 2012 1:22 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13355

hmmm, my thoughts? I understand, through the media grapevine and from an article in WSJ, capital investors are looking at Knight. I think Knight is a good, cleanly operated company and look like an attractive option for an equity firm to partner up with. In return for capital, gives us a stake in y...
by Chuck B
Thu Aug 02, 2012 12:40 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13355

Yeah, after yesterday, the last thing I would want is to be involved with a firm owned by Knight. Knight is on the hook, apparently, for their own $450M loss in trading screwups, and add to that the lawsuits that are coming. Get out while the getting is good.
by Chuck B
Fri Jul 27, 2012 8:35 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13355

I just got the latest offer from people trying to buy MFG account claims, and they are now offering 93%. For some reason, I got a check that brings up one account to 80-something%, but I've not received one for the other account. I guess I need to contact them. There's a part of me that expects it's...
by Chuck B
Thu Jun 14, 2012 2:12 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

Look at some of the European markets today! A simple entry on a 3min chart and then a hold to the close with a TF exit. So short stocks long bonds on an intraday basis from the open today? Yeah, not necessarily doing both unless you account for the essentially 1.0 correlation of those positions, bu...
by Chuck B
Mon Jun 11, 2012 3:43 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

Notice how the US fixed income couldn't make new highs on this move down into 3:30 in equities. One easy spread to follow is SPY/TLT for example. Anyway, here is the exit point which violates holding short equity positions still open into the close with trend exit well above and trailing. Flat now a...
by Chuck B
Mon Jun 11, 2012 1:21 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

Look at some of the European markets today! A simple entry on a 3min chart and then a hold to the close with a TF exit. So short stocks long bonds on an intraday basis from the open today? Yeah, not necessarily doing both unless you account for the essentially 1.0 correlation of those positions, bu...
by Chuck B
Mon Jun 11, 2012 12:58 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

A silly question perhaps and much will depend on the nature of your exits but what sort of trade holding period are you talking about? As to last night's set ups in bonds and equities what positions did they lead to and what was the envisaged holding period? Fade the move, fade the status quo "news...
by Chuck B
Mon Jun 11, 2012 8:56 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

Just another idea -- many here have created decent exit rules and position sizing strategies. If a "trend" as defined by your exit (mostly) is going to exist, and you have the ability to enter it at an appropriate time, you have decent odds of capturing the favorable price movement. Take your exit r...
by Chuck B
Sun Jun 10, 2012 10:34 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

I should also mention the other possibility in mind -- the possibility that long term TF works better than it ever has during this continual fake pricing environment. :D What better action for markets to take other than to shake out all the doubters and easy drifters right before a period of perform...
by Chuck B
Sun Jun 10, 2012 8:51 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

Back on topic at hand -- as discussed elsewhere on this board recently (perhaps in the section that is now banned from those of us not owning TB...even if we contributed significantly to the original s/w design), I do think it is a bit of a stretch to even begin to compare the history of market data...
by Chuck B
Sun Jun 10, 2012 8:42 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 20178

I have a large collection of posts both from Chuck Le Beau's old site and from the old Trading Recipes list. I have not looked at either collection for some years. It would be interesting to see how some of the other posts have stood up to the test of time. I remember way back ~1995 when Chuck was ...
by Chuck B
Mon May 07, 2012 9:52 am
Forum: Trader Psychology
Topic: Short-Term vs Long-Term Trading
Replies: 16
Views: 14213

Re: combining timeframes

Interestingly, Cynthia Kase has written about sharpening one's enties and exits by using short-term time frames for these, and longer-term frames for monitoring positions (Kase, Cynthia A. Trading With the Odds 1996 McGraw Hill Chapt 4). She also has some proprietary technical indicators which I ca...
by Chuck B
Sat May 05, 2012 8:35 am
Forum: Trend Indicators and Signals
Topic: Signal or gap slippage
Replies: 3
Views: 2916

Note also that missing getting on board a mother of a trend will severely limit performance also -- much more destabilizing than simply taking a small loss. If a market is going to give you a 30R move, and you've missed that entry by worrying about a small loss so you miss your low-risk entry point,...
by Chuck B
Wed May 02, 2012 8:03 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70680

Yeah, that back adjusted chart looks like it has issues imo. In STIRs your choice of rollover date strongly effects your sensitivity to either near term changes in STIR or longer term expected changes in STIR. You need to use a professional piece of software, perhaps CSI, and create backadjusted dat...
by Chuck B
Wed Apr 25, 2012 5:46 am
Forum: Testing and Simulation
Topic: Stop order execution
Replies: 4
Views: 1646

Upon further interaction with said brokerage (after being told different stories than what was specified on their web site, and finding different definitions of stop order execution on different sections of the web site, and finding different execution for "listed securities" versus OTC), the net of...
by Chuck B
Tue Apr 24, 2012 8:18 pm
Forum: Testing and Simulation
Topic: Stop order execution
Replies: 4
Views: 1646

Stop order execution

Ok, I admit it, I've been trading way too long. 30 years or so in stocks, 22, 23 years in futures. I've not traded (seriously) in stocks for the past 8-9 years or so, only longer term trades, some held for years, some not. I've always used stops, and until today, never came across an issue with a st...
by Chuck B
Wed Mar 14, 2012 10:51 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 5963

My point about having no means to define the risk at entry was in regard to this specific case where the OP is trying to evaluate a system and seeing strange results. No doubt you can come up with many different possibilities to "create" an initial exit to apply to each entry as you point out. My po...
by Chuck B
Wed Mar 14, 2012 8:15 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 5963

If the exit (stop) is undefined when (before) an entry signal is triggered, then you have no means to define the risk on the trade or size the position based on that risk.
by Chuck B
Sat Feb 18, 2012 7:30 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21533

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...