Traders' Roundtable

Chris, I've attached some code that should read a file if you pass it the path to the file. (NOTE: I changed the code around to simplify it so there is a possibility I made a slight error). There are lots of things that can go wrong when you first start this sort of thing. My first suggestion is not...

I have not traded forex yet myself but intend to do so in the near future. Getting historical data is possible, however, the data appears only to have price information. There is no record of the cost/profit of carry that would be incurred when taking a position due to the interest rate differential...

It's hard to curve fit over 46,000 trades. A system that generates 46,000 trades is probably not curve fit, but the real issue is the number of times that your "Don't trade unless X happens" rule comes into effect. Your particular case strikes me as a pretty robust rule since it likely ha...

Hmmm, I realized that I had not replied to Sir G.'s original question. I'll take a stab at it. First, let me say that I know of examples of successful trader's that don't have each of the characteristics that I would say the "typical" good trader shares. So there are exceptions to each of ...

I'm a strong supporter of not using market specific parameters. There are not enough trades (or more importantly trends) in a single market to develop a meaningful statistical basis for assessing a trading system's merits (unless you use a very short-term system). A single market might get three or ...

VeriTrader does currently support the idea of margin as a good faith deposit as this is needed for futures. We don't currently support the idea of varying pip values between the various pairs. However, we will work with you if you do purchase to implement this to your satisfaction. The internals are...

How do 1, 2 & 3 cause trends? I understand that they make for good smooth trends, but I do not see how they directly cause the trend. In short, they don't. The trends are caused by other things, most often some actual fundamental reason based on supply and demand or bargaining power considerati...

I'm not sure I'd make the claim that they are inversely related, however, I think it is easier to find a high expectation system that has a low win/loss ratio than one with a high/win loss ratio. There certainly are some high win/loss ratio systems that have good expectation, they just tend to be mo...

While I don't have exact numbers available, I would not be surprised if more than 50% of the off-the-floor speculative trading was done with the help of mechanical systems, for which there is no such thing as a psychological consideration. On the part of the traders, perhaps, however I wouldn't dis...

In general, I also like to have some rationale for why I believe a system works. I want the source of the profit to be based on something that doesn't change. Systems that rely on human psychology and emotions tend to hold up very well because humans don't change very much, even when they really wa...

I tend to have a much broader definition of robustness. I consider system robustness to be about how well a system is likely to hold up and deliver results that are similar to historical testing. I've found that the most important aspect of building a robust system is testing using enough historical...

Good question, there are many people who blow out because they don't pay attention to this kind of thing. The Turtle Rules already incorporated safeguards to protect against Black Swan events. The 4 unit limits, unit size, correlated unit maximums and overall directional maximums were all designed t...

I think the idea of not expecting the next few years of stock trading to be as good at the "bubble years" is a valid one. However, I wouldn't exclude it from back-testing. I just might not expect results to be as great as those years might suggest. I generally test stocks using at least 20...

I concur that there is probably more fruit to be gained looking at timing based on the index than through more than rudimentary selection processes. The stock market moves to the beat of the indexes, you end up fighting an uphill battle if you are long something when the index is breaking. We haven'...

A couple of points: 1) Moving Averages are simple ways of determining trend. They work in the same way that breakouts work. An uptrend will always have the price penetrate a long-term MA and a short-term MA go higher than a long-term MA. You can't miss trends with MA crossover or penetration systems...

What to do... what to do... Yes, this is a messy business with no clearly defined right answers to many of the questions we most want to have answered. Some of the problems: We know that the future is not exactly like the past. Yet, we know of no other basis for an objective determination of the rel...

Yep, that was the math we did when we looked at the design. As computers have gotten faster and faster, the spread between the speed of memory and disk access has widened considerably. Disks have more than 5,000 times the capacity but some of the performance characteristics have only improved by 10 ...

Hiramhon, Andras, Using a relational database for storing anything to do with trading would take several orders of magnitude more time than using memory which is what VeriTrader does. We generally store about 24 bytes per daily data bar per market. We read them all into memory and then process each ...

Yes, you've got the right approach. Design first for design's sake, not implementing designs that you know will have bad performance but not over optimizing for performance in the design. Get things running and then figure out what is slow. If you have a good design you can change most anything pret...

I don't have the conventional perspective when it comes to the "Speed versus Elegant Design" debate. Most people think there is a clear tradeoff here. I don't. As a practical matter, speed is usually a matter of a few routines here and there being coded well. Most of the time you find spee...