Traders' Roundtable

Assuming you want to back test using actual contract data you still need to work out how to calculate your indicators. Or rather on what data series you will calculate your indicators. And that can lead to some very different and distorted results if you concatenate contracts without adjusting for ...

Angelo, I don't want to seem rude but it appears to me that you did not actually go through the process of the test that sluggo outlined. Did you actually run the test or did you just make the assumption that you knew the answer without actually performing the steps of the test as sluggo outlined? ...

However, my experience with very longterm trendfollowing (approx 0.4 round trip trades per year, in each market) on a 50 market portfolio, mirrors Tim Arnold's remarks. I test what I trade and trade what I test. I use CSI Unfair Advantage to generate my backadjusted continuous contracts and I run m...

But I do recall Sluggo mentioning somewhere software that can test individual contracts - in such a way of course that the false profits and losses of "gaps" are eliminated. I missed this one. May I ask if this software is proprietary or commercially available? ..............................

As many systematic trend followers migrate to very long term trend following systems, do the problems inherent in backadjusted data become more manifest and problematic? Thus, for example, if a trader is using a moving average system based on 300+ days, or a channel breakout system predicated on a ...

hmmm.... I had also just come across something on the web calling it "minimal acceptable return" (MAR). http://www.sortino.com/htm/Upside%20Potential.htm. Maybe we can get a consensus from some others? Thanks for your reply. Jim, I feel you don't really trust the answer. That's your choic...

I just dont know what "MAR" stands for! MAR stands for "managed account report", that is one of the oldest magazines (www.marhedge.com) about hedge funds and CTA's. A lot of years ago, they started to use this ratio when reviewing performance of money managers in their magazine,...

Hi Christian, the long answer: you can find it at p. 108 of the Trading_Blox UserGuide.pdf, freely downloadable in the "support area". The short answer (from p. 108): " Trading Blox allows you to set the number of days to use when creating an Average True Range Indicator, and we use t...

Hi PTCM, I've been using Metaserver RT 2.0 Pro DDE (but with an Italian data source, I've never used IB data) to feed TS2000i in real time and have no problems with it. But to compare apples with apples, be aware that esignal has backfill functions, while Metaserver has not. Maybe you could check if...

Hello everybody, About the margin amount, yes, that's a problem: just compare today's crude oil margin with those of 10 years ago. But the solution is pretty simple ( even if it requires some programming effort): as some other testing softwares, just allow the user to input margins both in absolute ...

Christian's helpful table above may help to answer a question which always tends to puzzle those newer to this game. Which goes something as follows: how come when my tests show that you can turn $50,000 into $10zillion in 20 years, the records of all the CTAs I have looked at suck? I hadn't a defi...

I appreciate your post. I guess I am wondering where to start. If both can provide what I need I would choose the cheaper one. I am most concerned with testing what I already have created as opposed to creating new stuff. I don't see why I would spend 25k if the trading blocks meets my needs for 3k...