Traders' Roundtable

I have to admit to feeling a bit of intellectual insufficiency here! I thought I was a bit of an intellectual but I've realised that I might just be a boring pragmatist. To me this feels like we are trying to extract too much meaning from the real data available. I think that you can make all sorts ...

Ok. Got that.

Without actually agreeing with you ( ), how you would apply it to futures?

John

When I saw NeueZiel's recommendation I laughed. But when I was in Borders today I looked up the 48 Laws of Power. Move over Niccolo Machiavelli! "The Prince" has serious competition for today’s corporate warrior or courtesan. I now own a copy of "The 48 Laws of Power" and look ...

Good points Gordon. I would happily apply them to my short term strategies. I do have a very similar rule about what I must do if I make mistakes in any of my operations. If I am happy that the long term system is still valid then I've seen too many historical (both back test and in my trading) situ...

I too laughed a little at the definition of 15% as huge. When I first went through 15% I had it under control. This was still 10% off what I expected to experience. At 30% I thought I was losing control. Fear and self doubt were present in big quantities. Prayer was much on my mind :shock: When I we...

Hi Al, I would suggest reluctant reoptimisation of even short term systems. By all means evaluate them every 6 months or, based on my experience, when the markets seem to have changed. I think you need to understand how your system extracts money from the market to do this well. This will allow you ...

Hi Menelik, It depends what you want to achieve. I have used ATR three different ways. In the first ATR was used as an element of assessing risk (a high ATR is more likely to hit your stop than a low ATR for the same stop and its relationship to absolute price is unimportant to this task). I have al...

You are correct in Tharpian long term terms. Although I think that its a little like the pyramiding arguments and some of Vans assumptions are like the mine - wrong or lacking experience needed to have a different view ... it depends. I've seen the high frequency vs high win argument many times befo...

For all you folk who've wondered what it is and wanted to try it there is a new free MCS tool. I havent tested it and it doesnt seem as orientated to money management experiments as Alex's sim at Unicorn but it is free and looks easy to use. Advice came via Raymond Deux who makes NinjaTrader a super...

Good post MT, I would add that there is another reason that many short term players are discretionary. The promise of higher returns thru more frequent trades. I was on the Bund last night and between opening and 2:30pm when I went to bed there were about 6 good trades of which I successfully took 4...

Vince said: In a wider context....aren't we supposed to be nurturing and generating wealth at every opportunity....after all......that is the engine that drives the world forward, isn't it? I'd suggest reading a book called "The Wealth and Poverty of Nations" or even one called "The O...

Not wishing to dissuade c.f. from replying as well you might look at: http://traderclub.com/cgi-bin/discus/show.cgi?107/107 where Charles LeBeau has his bulletins. You could do worse than try building a system where you looked for a breakout when the ADX got very low and then trailed it with the Cha...

Judging by the complaints I've been seeing by discretionary SP players not much is reasonable performance at present. You might try it on 30 year TBonds which have enough liquidity and much greater range at present. Then go back to ES when it gets a bit more movement.

John

Luke, When you use discretionary overrides on a system (I dont know your system so may be wrong) you are likely to be making anti-trend decisions more often than not. So the odds move against you. This at least was my experience of making discretionary mods to a trendfollowing system which as you sa...

I am now looking for 3 minute data on the ESTX50 futures so I can test another idea. Can anyone help please - either data collected or where to get it. Data covering more volatile times would be very helpful!

John

Howard, I have also found that for some systems increasing heat/percentage bet size increases return faster than drawdown and thus MAR. I think your reason may be one component of it. The ones where this test proves out are short term with hundreds of trades per year and I believe that the reason is...

Everything Mark said I agree with. It isnt the number of parameters - the number is just an indicator that a system might be curve fitted - its the robustness of the system that comes out of design and testing that counts. Also I agree with Gordon's point about Short System vs Long System. I had a c...

Ive always been a Tradestation 2000i user but have recently been using a different product for real time trading. The major advantages of this platform are that it is light on resources and fits well with my datasource (free from Interactive Brokers). It supports the major indicators and lets you wr...

Generally Id be looking for different entry and exit criteria for short vs long although either might take place at the same time. Also the short term is more likely to have a target exit instead of a trend following trailing stop or MA.

John

In case Mark is away

George Pruitt is one of the principals of Futures Truth (www.futurestruth.com --- worth reading the system designer interviews).

John