Traders' Roundtable

On a related matter so I thought I would throw this into the mix. - Take a commodity, sep02 expiry, calculate the 10 day ATR. Lets say it is 15. - On 1st Sep 02 the close is 50. - Divide ATR by the close of 50. 15/50=0.3 - Lets say you have a silly rule: if ATR/C<0.35 then buy. - In real time tradin...

Vince,

How long have you been trading for?

damian

A good buddy of mine is currently making a stand alone bit of s/w that outputs my system signals on a daily basis, kind of like the thing you get when you buy a vendor system. He is a Java wizard, so that is the language he is using. We spend one night per week in my 'trading room' on the project, a...

Hi, I am trying out another broker. At my previous broker I can use one code for day and night session stop loss orders, eg, a stop loss in CL will work in Nymex hours and in Access hours. It now appears that I need to work two stop loss orders, one for CL (Nymex day) and one for YC (Access night cr...

Chris, first you said: A: if their were an infinite number of markets and you trend followed them all you would make an infintie amount of money if one used proper money management ....... This suggests that one should trade as many markets as is reasonably possible Then Menelik said: B: I find “b...

I had a watershed (at least for my brain) realisation a few months ago. It suddenly hit me that if you ask lots of people what 'trend following trading' is all about, you get the same answer. Alternatively, open any book on trading and look up trend following, same and more of the same. This is not ...

ooooh, a new quiz.

My "dominant investment characteristics are Technical and Informed and I have a medium propensity for risk"

I didn't think much of how they attempt to gauge risk inclination.

It makes some sense to me.

There will be others here that know far more about how markets open and close than I. Electronic markets will have some interesting features.

One thing could well be true, that is you could enjoy positive slippage, particularly when trying to get a fill on the close.

Dan, I heard once that the contract size changes at a certain price threshold. below a certain price level, the contract size is 80 not 110. I have never found any info on this (perhaps it has been set at 110 for good now a days?). [If what I heard was true, it changes how one does there historical ...

yes, but just because your data file lists $10 as the close, does not mean you were filled at $10. Likewise for the open. This opens up a lot of study into how an individual commodity (or exchange) conducts price discovery during the 'pre' session leading into the open and how they also manage the r...

My pleasure ("do itashimashite" in Japanese). A very clever fellow who is from NZ and likes to post a lot on this forum just let me know that CSI reports corn as trading in 1/8th minimum ticks rather than 1/4, hence the $6.25/tick at 1/8th of a big point. There is a chance that this applie...

Dimesnsions in terms of first powers is beyond my understanding :oops: . None the less, in terms of sharp ratios, I have been calculating the following, i think is very much like an equation I have seen elsewhere here: Sharpe = average of the rolling 12 month returns/St Dev of the rolling 12 month r...

Dan

Dan, in my copy of UA the tick value for corn in wrong. CSI lists $6.25 per tick (there is 4 x 25 point ticks per big figure). I understand the correct value to be $12.50, or $50/big figure.

They may I have updated it in the online document that you refer to, I have not checked.

Return X Return X 0.5 Return ---------------------------------------------------------------------------------- (Avg worst 5 DD + 2 Std. Dev. ) X Std. Dev. of trailing 12 month Return Hi Forum Mgmnt, Just above the Sharpe Ratio, I want a metric on my performance table that says "Faith Ratio&qu...

Nathan wrote: As an introvert, I have found it useful to develop a quasi-extrovert personality that I use in some circumstances. I flip a mental switch and become "Mr. Extrovert" for a few hours.

Yes, me too. I call it beer

Just joking, I liked reading your post.

damian

An interesting matrix. Nice one RedPB.

Frank Zappa was an INTP. It would have been fun trading with Frank.

Jakub, I understood that both Relative Strength and OB/OS are determined by mathematical means. Sometimes it is good to feel exhausted from learning. Easily consumed sound bites are often junk food. :) I think Sabrinian's post was quite a contribution and introduces some integrated methods to determ...

someone who does the research for himself, will probably settle into a groove or a style that leaves its finger prints amongst ones portfolio of systems, no matter how one tries to mix things up I support this comment. When I see a chart I immediately notice the existence or otherwise of one or two...

To understand Ehlers's book, I solicited the help of my digital signal engineer friend and skiing companion. In the first few pages the book said something like "this book is not designed for engineers wanting to understand trading, it is aimed at getting traders to understand some digital sign...

ask for a little free consulting TrendProgression, I know nothing about signal processing. I do not even understand the book I bought about it. However on any other topic I offer unlimited free consultation. That is the main reason why I am here: to ask and to be asked of. [ Of what value my consul...