Traders' Roundtable

Just like my mate the Euroyen, ED is just about done as a buy side winner (unless you think 3mth libor will become negative). Z3 hit 99.00, only 100 points to go and then what? In fact, there must be a price 99.00>X<99.99 where long term trend traders will not follow buy orders. For my system, the i...

Forum Mgmnt, this is a great topic. I agree with your 3 propositions. At first I didn't see the cause and effect. Then I thought about your statement : "All of this is predicated on my belief that it is easier to make money when most people are not willing to enter a position". I understan...

gbos, Firstly, thankyou for the file. Regarding forming a matrix of payoff data. Do you refer to the values that can be entered in col C for #trade1-20? This at first seemed obvious to me but the value 'Trades per trial' in D24 caused me to re-think. What I am doing at the moment is assuming I have ...

On R (and E): PeterK - Thankyou for the simple sanity check. Using it I find a result of 0.48 (prob win = 45%, avgwin/avgloss = 2.33). Like you I also do not see these results in real time LT trend following. (After 89 trades, I see avgwin/avgloss = 2.38, prob win = 33% giving E = 0.11). doug- Using...

Here is the equity chart for the test. I thought it looked nice and had some good metrics as well, which is why I was surprised at the Expectancy.

With my recent discovery of automated calculation of R in my testing s/w I have started playing around with the concept a lot more. I calculated the mathematical expectancy of a variant of PGO and got 0.59 The calculation I used is as follows: 1) I calculated R-multiple on each trade being TradeProf...

John: Thanks for your thoughts on my question. I also agree that this would be fooling ones self. For what it is worth: In real trading I try to roll an open trade into the most distant contract that has a reasonable level of V and OI. This changes depending on market and also current events. It is ...

Mark, regarding the apparent contradiction in the second post: What I wrote was wrong. I chopped a whole heap out of the beginning of this post and the remaining first sentence was left doesn't make sense. I was not supposed to have the words "single contract". Sorry for the confusion. My ...

Not much here, just a simple idea that I have used over the years. When I run a test using start equity = X I always look at the performance in the first year. If it was a very good (say the first year makes 100) I run a second test except using start equity = X-100. I then run a third using start e...

I didn't know what to call this thread. Lets say I have a portfolio and one of the markets is Pencils. Using a fixed fractional position sizing method, each individual market tests well on single contract testing. After a single market test using position sizing I observe that Pencils has a modest +...

I have been looking at differences in performance between two files of teh same commodity where each file uses a different set of expiries. For example, File 1: March June Sep Dec File 2: June Dec. It amazes me how much difference it makes and neither of them is 'right'. Is it fooling ones self to u...

My limited imagination and basic approach to designing potential systems seldom allows me to not use a moving average of some sort. I like highs and lows and averages. Throw in volatility and there are a lot of simple potential entry/exit rules. I am sure that there are many other great things out t...

Ted,

I would trade volatility expansions on individual expiries, not any type of chained contracts. However using a chained contract makes testing easier, however I have a solution to the testing data.

cheers
damian

Some of you may be shocked that I don't look at this on a constant basis. Today, after a little under 2 years of real time results, I spent my time comparing historical test output (from the time that I actually started trading) to the results that are real over the same time period. I am amazed at ...

Say you are designing a system that looks for low vol and then a rapid expansion... pretty vanilla stuff. I believe that testing such a system on back-adjusted data does not work. Make a series that rolls on OI. The spot contract will stay in place until OI drops below that of the next contract in t...

hello, lots of questions here. For testing intra-day systems. Do you purchase tick data and then direct your testing software to compress to the level you desire, eg 15 minutes? Or do you buy intraday data that comes pre-compressed at 15 minute bars? Is it a trap top test on 15 minute bars and decid...

Thanks ed, this is exactly how how I understood the situation to be. I mis-read your first post.

cheers
damian

hi eck,

you may be able to define LimitMove as a variable from within the system rules. I will have to check.

damian

hi ed/edward/eck :D => mini yen has less skid than big yen? I didn't think that the mini even traded (well, perhaps a few contracts per day). I may be very wrong, but I also thought that the mini and full yen contract are both traded on globex. Have I overlooked something? I also find that coffer sk...

hello kiwi, eck: XYZ is certainly no where near as complicated as ADX... kiwi explained the diff quit well. Kiwi mentions a 1 day MA. This is not correct and probably a result of my very un-specific posting. All look-backs for all MA's are the same, in this example I used 50 for the sake of needing ...