Traders' Roundtable

Worden's TC2000 has a pretty extensive set of industry groups that use the Media General industry group classifications. It's a pretty good system and fairly cheap for monthly updates. The interface is kind of ugly (I hate black backgrounds) but it is pretty functional. They also have a free CD rom ...

I'm looking into what is required to add the ability to upload images to our server. I might have this in place by the end of the weekend. No promises, but I am working on it. I'd love to see those graphs. If this works, you must be using a different concept than I tested. I'm very happy to find out...

Gerry,

Have you found that this works (i.e. improves risk-adjusted returns) in your testing? Interesting.

Using what kinds of entries?

I'd like us to come up with a standard benchmark set of test data which we could use for the purposes of making comparisons between different systems/approaches. This data will also be used for the Trading System Contest. Does anyone have any suggestions for what data would be a good choice (source,...

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Yes, the optimal parameters have changed over the years in some fairly significant ways. This is fairly simple with a single market system but how would one adjust the parameters of a multi-market system and not have the results distorted by one or two markets or one volatile event that shakes all m...

I often do this sort of thing on a discretionary basis. We have various shorter term systems that sometimes generate trades that turn into longer-term system entries. I sometimes keep the trade on and ignore the exit criteria for the shorter-term system for a trade that makes the transition into the...

Anything in technical analysis that works is based on basic human psychology, whether the speculator's response to hope, greed, and fear, crowd psychology, or the behavior of the people doing hedging. The problem has been that there have been so many snake oil salesman selling technical analysis as ...

The problem with rebalancing is that it is in-effect changing the system itself. Taking equal risks across each market and balancing based on volatility is a way of ensuring two things: Equal Initial Risk - The risks across each market will be the same in terms of money Equal Stops - The probability...

Is this not in effect pyramiding since when one loses, one only loses 1% initial risk per trade, but when one hits a winner one has twice the position size on? I don't think this is pyramiding at all. I view pyramiding as scaling into a position. Adding some contracts and then adding more when it g...

Robert, thanks for posting this.

I think that Behavioral Finance is starting to make technical analysis respectable, though, we can't call it "technical analysis" anymore.

Ted, I've just boned up a bit on resampling to see if I was missing something. While I agree that at some level, the purpose of my proposed simulation and resampling overlap, I don't agree that what I was proposing was covered by resampling, especially as it relates to extending the tails of the dis...

Having spent the last two years doing research on just this issue. I've found some interesting things: Stocks Trend - at any point in time, there are many good looking stocks trending. Stocks are More Volatile - a single stock moves more than a future (sorry I don't have quantified comparisons, I'm ...

Chuck is right. Most people can't do anywhere near as well as the tests show. The other thing is the effect of size. Trading $1 billion will take you out of most of the futures except in a token way. I like to trade systems that have great results because next year might be the bad year. If you are ...

:? I've always thought that Monte Carlo Simulations were useful but not really very realistic. Here's my reasoning: It seems to me that Monte Carlo simulations require independent events rather than events that are order dependent in order to be reflective of reality. In trading, it is not a consequ...

I'll try and answer some of the previous posts. TK , I'll try and get some of the other turtles, or perhaps Rich or Bill, to participate but I can't promise anything. Their pretty busy and many of them are pretty private and like to keep a low profile. I talked to or emailed any of the other turtles...

Dave, You mentioned: If I day trade, then my horizon is the single day trading session. In this time I may have breakouts, sideways markets, periods of greater or lesser liquidity, and all of the things that someone trading on, say, a longer-term perspective would have, it's just compressed into a m...

Hmmm, by robustness I assume you mean probability of continued effectiveness and consistency of results under the most varied markets and circumstances. We never optimize individual markets. We only optimize over the entire period of our complete data set using a single set of parameters. We might d...

Kiwi, Yes, you are correct :wink: , and I don't mind at all someone clarifying my language or intentions. Even if you are wrong and I intended something else you still might come up with a new insight. That's the benefit of group discussion. I've seen some of my/our best work come from my re-interpr...

Sir G., Volatility is the best way to compute skid that I know of. We compute skids at g.c., as does VeriTrader™, using a percentage of the price movement between the desired entry point and the maximum daily excursion of the market in question for the day of entry. As we get a better and better set...