Traders' Roundtable

A reply to a few questions from the perspective of someone who runs one unusual system on intraday data: - From my discretionary observations: Many people use 5/15/30/60 minute periods; some discretionary traders try to frontrun these periods or use fib numbers instead. - I used the longest time per...

mmmm ... but our friend does have a valid enigma. :) To move the market 10% at 900 pts you have to move it 90pts which for a fixed number of shares outstanding in the underlying stocks should imply 2x the money flow required at 450pts. I'm not sure why this relationship holds --- does anyone feel th...

Sad but true

When looking at simulations you need to allow extra slip+com for rollovers. I've found an extra 70 per roll to work. Alternatively assume that you get an average 1 roll per position on a medium term system and use 140 with tradestation etc.

I think that one of the most important things a systems trader can do (if he or she can afford it) is to trade muliple systems that have low degrees of correlation to one another. I have actually done extensive work in this area, not only on my own systems, but also on some of the other systems tra...

For long term multicommodity trading my experience is that the classic $70 slippage and commission isnt too far off as long as you pay under $30 round trip to your broker. I spent a year evaluating every single trade (70% stops, 30% market orders, a few limit) and found that the unders and overs bal...

An example would be buying into a fall .... say by buying call options as the market falls when you think it will return. Then you sell them when it bounces back. Because the fall/bounce is steeper than a rise/bounce down you get a higher rate of return.

I think you asked for an explanation of ADX / DMI /D+ / D- Also I think that Damian is playing with an idea and expects a serious attack/suggestions for mods. Apologies if otherwise :cry: Playing with ideas here really. You can find a good explanation of this (and all the other indicators I tried) a...

You say that your short profitability is higher than long. Is that because the test is during a period while the bias (== long term trend) is downwards? If not, what is your theory? In my experience testing commodities it varies but I noticed no consistency except that it was alway easier to "t...

Neal,

What is a div01 spread ratio please?

I have used ratio's developed to give the best trends on recent and long term data. So you adjust the spread and measure your trend/system results for each new ratio until you get a "not to curve fitted" result.

John

Lizard, Someone else said that trends can be classified as good bad or ugly. Good trends were those that broke out fairly cleanly and then retraced very little. Ugly trends have lots of 60-110% retracements in them. Bad is somewhere in the middle. A good trender like JY will make money on most trend...

Good questions. I'm not actually trading gold this way at present as my money and mind is tied up elsewhere ... this was part of something I did a year or so back. What I meant by X day tops and swing pivots (sorry about loose language) was (from memory) if you have 5-10 days lower than the current ...

I cant speak for my own tests on this area. I did talk to a system developer of well regarded long term systems about it after observation and cursory testing suggested that for many futures markets bottoming behaviour was different to topping. He had run the tests and could improve performance --- ...

NR7s etc are something I've looked at in the past although I'm not using it now.

No offence taken :lol: You may be right about the proportions. I don't know any other short term traders - most of my friends stopped trading a couple of years back :) Having looked at a lot of bulletin boards while awaiting my next boring short term trade I've seen alot of posts by people who seem ...

TradingCoach, Thats an interesting point of view but seems to me to be too limiting. Your first point, that short term traders lack the capital to trade long term, is likely true of some or even many. Certainly it is easier to trade for a living when one doesnt have to wait thru 9 month drawdowns fo...

I am assuming that your system is clear and easy to follow. To understand why you take the signals I'd suggest Mark Douglas as a must read; follow his principles from the Disciplined Trader. If it relates to deeper issues then maybe Van Tharp's course (I havent done it) to try to sort it out. You ma...

It looks awfully like statistical evidence that William O'Neils CANSLIM strategy will work.

CANSLIM (oversimplified) buys stocks that were very strong and have had a cup and handle retracement of some months (retrace, try to breakout, retrace less and then ... ) and then breakout.

John

djb, Are you happy with the range of services available from them - I've never figured out the difference between cfds which ausy d43 offers and spreadbets on the same stocks? Do you get the same bet on the european and US indexes that they offer in the UK? These are serious questions if you know th...

I read the book when it first came out and can't remember all the details but he has a big thing about using "proportional back adjusting". His reasoning being (along the lines) that if you adjust additively then the proportion of events like the 1987 stock market crash are wrong. So he pr...

My opinion is that Mark is more often right than most. 8) I would add one thing. Choose a point with considerably less pain than you think you can stand because most people find that this is the point where they do something very wrong and terminate their trading career. Its hard to think straight w...