Traders' Roundtable

I'm afraid that 9/11 wasnt favourable to TFs. Those systems/markets on the wrong side got stopped out very unfavourably. Those on the right side got a sharp positive equity shift. But just like the recent war, things shifted back quickly and the positive equity shift disappeared quickly to leave the...

Damian, I think that you are falling into a trap that I did once on the Omega group in response to something that Chuck Lebeau posted. You are confusing the results of one run with the results of all possible runs for your portfolio that includes JY. In some possible sequences the loss will occur ea...

I'd suggest that it is fooling oneself if one would not have worked out ahead of time that this was the correct way to roll a contract. If you now work out that ED is likely to have more volatility in December than in the intervening months then a rule where you roll when the OI on december reaches ...

Just in case I wasnt absolutely clear in the final answer. I divide capital roughly in 3. I trade two of the systems by determining bet size as though it was one pool of capital. I used the combined historical results to determine a satisfactory return and corresponding expected drawdown. When I ana...

It depends. The conservative approach is to set up each independently. The more profitable approach is to take them all together and work out maxDD etc on the full portfolio. If you do this and watch the equity on system 1 say then instead of a maxDD of 30% you might have 40% while the total for all...

Jimmy this is just one persons opinion. I am not a better trader than c.f. or many of the money managers --- the biggest thing that seperates me or any other successful sole trader from a money manager is that we can take the drawdowns. So in return for 3x the return I can take 4x the drawdown. As y...

Agreed

Time to recalculate would be after every trade or every stop adjustment if it is easy and not too time consuming. I have a system where I recalculate every 30 minutes but thats because the trade decision making process generates an equity calculation. If I was having to do it manually I might recalc...

Kianti, I've seen that claim before: At the end of the day, trend-following is just replicating a diversified portfolio of call options. Its not quite right. The big difference is that with the options you can never lose more than wht you paid for them whereas with the futures you can lose every cen...

Moving averages (as an entry and exit trigger rather than an indicator of trend direction) were the first indicator I abandoned in my search thru Metastocks enormous library. The reason was simple - they give back so much at the beginning and end of the trend. Thinking about that I looked at the old...

Yes, I have Josh's curiosity about the number of failures you would take between 3 minutes and daily. This is not because I believe the approach is flawed but because I think that if shes looking for 3 minute setups she may get whipsawwed a lot. On the overall technique it seems sound. When trading ...

Rai, I confused you slightly by not giving an example. The hybrid is less conservative than the Closed Trade because as you move your stop up your risk declines and you have more money to bet with (with the CT approach you don't get more money even though you moved your stop up) but I'll give you an...

Generally speaking your bet size is determined by your equity at the beginning of each new trade (dynamic). Depending on their systems different traders will use: - the open trade equity (total equity reported by your broker) - the closed trade equity (OTE less the equity of open trades from the ent...

Another thought: If the normal Monte Carlo Sim is flawed for trading because the events may be order dependent ( http://www.tradingblox.com/forum/viewtopic.php?p=222#22 2 ) then what about this idea. Instead of full randomization keep the sequence order for each commodity being tested the same but m...

OK. I took the simple approach to analysis to see what turned up. I took Mark's published data. I imported it to excel (spreadsheet available by request and constructed columns to provide cumulative return, max return and drawdown form maximum. These were then filtered to remove intermediate months ...

Ted, Thanks for the response. And for the reference to Mark's figures - I will use them to build a couple of examples. I could do it with a few other systems as well but those would just be examples to test if the theory seems to have relevance. I'm quite interested in the theoretical underpinnings ...

OK ... here is a first cut with insufficient knowledge :oops: Assumptions: 0) This system is robust and is not going to fail because, say, the S&P volatility gets too low. If this happens then all estimations of future drawdowns become irrelevant. (Thanks to Gary Fritz on the Omega user group.) ...

Edward, I think that what you are illustrating is the need for more than one measure. Ed Seykota says in his article: Since the most severe draw down problems (loss of confidence by investors and managers) occur during these "outlier" events, VaR does not really address or even predict the...

I dont think its really risky --- unless I dont see any more of your posts.

Have you worked thru his archives. When I do my head just hurts but I'm curious to know if you've found any other good information as I had expected it might be there.

Waiting to see if you post again

John

I'd be interested in the name of the book

John