Traders' Roundtable

...It might use "Robust Annual Return" (as described in Way Of The Turtle ) to measure profits... An even more robust measure would be to replace the linear regression in the RAR% calculation with a repeated median regression (explanation here and here ). Some time ago I coded the repeate...

Sorry to be imprecise in the wording there. No, of course, they can't move the external market, but they do widen the spreads to catch the stops. Google IG Index and/or Capital Spreads for recent reviews. Would, in turn, be curious to know which direct access spread betting firms you'd recommend. T...

Spread betting? Sounds to me like a good way to run through 10k. Not legal in the US afaik, but in the UK the main outfits (IG Index, Capital Spreads, etc) are infamous for moving the market against high rollers to stop them out. Might as well just go to a casino. Can you provide an reference for y...

If you're able to open a financial spread betting account, you will be able to trade futures with a very small account, with minimal risk. Some example minimum bets from my spread betting account provider are:- S&P 500 - $6.00 per point, spread 0.4 Gold - $0.70 per 0.1, spread 0.4 Silver - $2.00...

i.e. What systems, other than countertrend/mean reversion, make money during non-trending market action (during directionless markets)

Long/short volatility trading systems (implemented via options) and binary betting.

The parameters appear to be user selected, but you can find a discussion of this indicator by downloading the attached pdf file to post #8 in this forexfactory forum thread.

I recently read this blog post which has a nice graphical summary of this problem. Given the possibility of this sort of situation actually occurring, why would anyone trust any historical performance record as a good indication of future returns, whatever metric one chooses? Not to mention that you...

I understand if you already know Matlab / Octave, you might not want to make the transition to R

Websites such as this one make transitioning between Octave/MATLAB and R much less painful.

Here´s what I could find. 2001 until dec 2010. Will look for missing data.

Download and install a demo version of Metatrader 4 and then use the export function from the history centre to download data from September 2011 to the present for the missing data.

By trading in the way you describe you are effectively randomly trading your system as it is applied to any single instrument, which of course will drastically alter its results in an unpredictable way. This very issue was the subject of the NAAIM 2011 Wagner Award winning paper, downloadable from t...

Open Office, GIMP and ImageMagick - good to see someone using and recommending free/open source software!

I've read a few posts on the forum which use indicator length to dictate STT, LTT, MTT. I was curious to see if anyone had ideas based on use of data i.e (weekly, fortnightly, monthly, etc) rather than use of the indicator length. You could make your indicator length adaptive to the cycle length in...

So is the idea to try to determine the type of market a system does well in and then include it in the suite for those types of markets?

In my opinion yes, but of course easier said than done.

use R for off-line analysis - it is not suited to building a trading system as it is horribly slow for loop processing

There is the Rcpp package which allows C++ to be used from within R. This will considerably speed up loops.

Usually continous contracts inflate back test results.

Would you care to explain why this is so?

I have just come across this paper which proposes using a filter based on the VIX.

I think 200 WMA means weighted moving average, not weekly moving average!

If you can't sell it outright, you might consider hedging it by using an account with another provider.

@AJF Garner I would agree that if some money manager offers a green equity curve as their historical record one would have to be very suspicious of a "Bernie somebody or other" scheme and exercise extreme due diligence. However if, as Chris67 has suggested, one has to place money with a nu...

I have written an extremely basic Octave script (available here ) to investigate the issue of correlation, the output of which is shown below. I created 3 simple return streams of consecutive up and down returns return stream a (black) is up 2, down 1 return stream b (blue) is up 3, down 1.5 return ...