Traders' Roundtable

I think that would be ideal for me, but whereas I feel I have somewhat of a handle on LTTF systems, I really don't know where to start to think about a day trading system. A project for later in the summer, perhaps.

Damian, by that do you mean you are trading both a LTTF and a 1-minute day trading system? Kind of an extreme time diversification idea?

BTW, thanks for all the comments, everyone.

I'm evaluating a LTTF system that meets all my criteria, its only apparent failing is that recent performance, from late 2003 until now, is pretty poor and in most cases slightly negative. From sniffing around this site, I understand that this period has been tough for many LTTF's, and certainly I h...

Hmmm, I like cynicism as much as the next guy, but my recollection was that most of the Wizards got banged up pretty good before they eventually came across a successful formula.

I signed up with CSI a couple week ago, so far so good. They were very responsive, the software works great, and is is blazing fast. My main interest/concern with data is the effect of different futures back adjusting algorithms. CSI has five or six. My first little experiment with different algorit...

Hubster, I have been thinking that very thing a lot lately. Conventional wisdom seems to be that a good system should work across all time periods and all markets, but I am thinking that all time periods is far more important than all markets. There are things about specific markets, eg. position li...

Here's another question for all you MA gurus. I believe VT's TMA system doesn't pyramid at all. Adhoc poking around at winners suggests adding a pyramiding rule would make a noticeable difference. Does this sound worth pursuing? (I think I am going to pursue it which will probably lead me to coughin...

Wouldn't you just want the return-to-drawdown ratio, aka. MAR, with some sort of minimum CAGR (to weed out the case of excellent MAR's on pathetic CAGR's of, like, 3%). For what its worth, and to no great surprise, testing with VT I have found enormous differences depending what markets (commodities...

Thanks a lot Tim! (and SC, AFJ etc.)

AFJ, may I ask: when you test individual contracts and so on, are you doing so by hand? Or are you using multiple testing products (eg. not just VT?)

StanCramer, my VT-in-a-box didnt include an 'All Liquid' portfolio. Do you have a different version or something? I have fiddled around with a variety of portfolios and although for sure this can have a big impact, I have found that any reasonably-diversified portfolio works OK. Of the four in-a-box...

Its funny you should mention that because that (testing with more data than comes free with VT) is the last thing on my list of stuff to go through. I am actually most concerned about the effects of different backdating algorithms, of which I think UA has a handful. Next week's project. Thanks for t...

I have been fiddling around with the VT TMA system for quite a while now and it seems that no matter how much I mangle the various parameters, the numbers look "Okay". Meaning, it's tough to produce a negative CAGR with this system and the MAR is more often than not decent. On the other ha...

I have noticed this too and I think if your smaller date range was 5 years, open trades is likely to be less relevant. Equity is more likely to be the key factor, especially if you had a particularly 'good year' early in the longer date range. One thing you can do is make sure that (for example) you...

I am interested in the performance of the different flavours of adjusting. I am about to send CSI some cash just so I can get UA for the purpose of creating prices adjusted using different algorithms (I believe they have 3 or 4 of them). AFAIK, the data provided free with VT is adjusted but only on ...

I have been backtesting stocks for a while and would like to start looking at futures. I have been holding off on this because I worry that the testing may look OK but real life is going to be much different because of inaccuracies caused by continuous contract gymnastics, something I am obviously u...