Traders' Roundtable

levi- what i have tried in the past is placing a collar around the values of the short term atr, based on a multiple of the long term atr. i.e the 20 period atr peaks out at x2 or x0.5 of the 200 period atr. this stops silly fluke trade setups giving you stats that are too awesome, and also limits t...

This question opens up a pandora's box of extra parameter dimensionality to your models. imho don't bother to try and build or optimize a ruleset to better fit your trade selections unless you want to enter a personal hell of event dependencies and system brittleness. the best thing i could think of...

what an excellent thread. I particularly agree with alp's comments. For me I think that there is a danger of trying too hard to pull philosophical ideals out of all this. In the end, it all boils down to a judgement excercise with no fixed constraints, but instead a bunch of evolved guidelines that ...

of far more interest to me than the rule and its discussion...
...is the fact that sluggo got the out of the box turtle system to generate a MAR of over 2 !!!

even with highish leverage/risk i can't get anywhere near that with that system!

lol . statistically distinguishable is a whole subtopic in itself. all depends on how strongly you distinguish and on what basis. A black-hole of a topic if ever there was one.

given the all-round love expressed in this thread for sluggo and the roundtable, should he get his own special category, above that of "roundtable knight"?

AFJGarner too...

from a certain point of view, trailing exits are a form of counter-trend system overlaid onto a slower trend following system. you can dissect and recombine a system into all sorts of component parts that vary in how they add and reduce size in various directions. typically though the total equity c...

I think HZ touched on an important point- i.e. consider the path, not just the final outcome. personally i do not distinguish between the importance of entry and exits in providing edge- they are both just signal filters that should be indicating the expectation of market drift has changed from what...

I have raised this thread from the dead because it is one of the best on this forum{well, up until the "statement 11 paradox" at least :) } my belief is that generalising recent and past history is misleading. there are some competing things at play: ~1. something has deteriorated in perfo...

personally i don't read much into MAR, except if it is High(say above 1.5), then i take it as a warning signal that the test is a "lucky fit". i.e. in an alternate universe the same system would not be so fortunate as to have such a small drawdown relative to it's returns. [i.e.not so fort...

i am uncertain as to what is meant by the above.

woah i feel like i'm getting a little more volatile though....

no , i did mean UNcorrelated.

20 products say, in a portfolio, all negatively "volatility" correlated is somewhat unrealistic. and implies that many are likely to be positively "Volatility" correlated with others...

it would seem fairly obvious that uncorrelated outputs(i.e. equity curves) is the holy grail of portfolio balancing. since LTTF is essentially long delta and gamma, then you could argue that equity curves are a derivative of volatility shifts over certain time horizons. so instead of focussing on re...

ok, for the record, i am a true beliver in following the trend and sticking to my system rules(ie no cherry picking or screwing around based on hunches etc.). I also do not trade off the back of any fundamental info etc. now that is off my chest, here comes the Heresy: systems never take into accoun...

an example of an alternative method: bund switched from a 6pm(gmt) close to a 9pm (gmt) close. there is liquidity in the 6-9pm hours. but, i continue to trade a session end of 6pm. my reasoning is not based on volume(is it a symptom or cause of the following?): the typical(average) movement(absolute...

Would anyone trust a computer to land the airplane they're traveling in? There simply is no way to mechanicaly exactly measure the instantaneous rate of change. I find, takeoff and landing are an important element of risk management, and require human intervention. As complete mechanization is coun...

i used to have a conviction that markets must be/were fractal and scale free...

the truth is much more interesting.

i use cqg for backtesting on intraday data the software has massive portfolio limitations, but, the minute bars data is of good quality(it is clean) going back over 5 years on normal subscription. you can purchase further backdata at exorbitant prices.... I promise TB, that i will purchase TBB the m...

thank you. excellent. ok 1 other question, although different from the topic title: I do not need tick data, but i like to use intraday bars (30min-1hr closes )to control trade risk at point of entry e.g. i don't necessarily have a 0.5atr fixed stop, but if i am offside for say 2 consecutive 1hour c...

i have a technical/portfolio question about TBlox 's portfolio capability: Can TB run a portfolio where different products may have different strategies specified to them(e.g. a CBO on currencies, an MA system on rates, and a Momentum system on metals)), and then give a single total composite output...