Traders' Roundtable

1. Why don't big name hedge fund managers trade stocks? To answer this question is to presume to be a mindreader. I cannot read the minds of John Henry et al, so all I can do is guess . Their reason may be: they did a lot of computer analysis and decided they preferred futures instead of stocks. 2....

Could you be more specific, what do you mean when you say "the Fibonacci system?" Is that a product sold by Larry Pesavento? Frank Taucher? Chris Carolan?

Here is a little data

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Any other suggestions for useful metrics? This exact thread, four screens long and entitled "How Do You Know if a System is Good?" is loaded with suggestions for useful metrics. That's its purpose. Some additional suggestions already put forward and searchable: http://www.tradingblox.com/f...

I happen to think that "By What Measure? How Do You Know if a System is Good?" is an excellent forum for the presentation of data on the topic of "why X is my favourite way of evaluating trading system performance." It is found in Trader's Roundable Forum Index -> Testing and Sim...

http://www.tradingblox.com/forum/viewtopic.php?p=882&highlight=ratio#882 http://www.tradingblox.com/forum/viewtopic.php?p=1045&highlight=ratio#1045 http://www.tradingblox.com/forum/viewtopic.php?p=26&highlight=ratio#26 http://www.tradingblox.com/forum/viewtopic.php?p=20&highlight=rat...

ksberg, I used to do #2 and #3. Now I am experimenting with #4. http://www.tradingblox.com/forum/viewtopic.php?p=5749&highlight=#5749 Haven't tested Turtle system yet. My instinct predicts that #4 could do it with scaling-in and with correlated position limits and all the rest .... if desired . ...

That type of plot is called a "probability density function". If you use a bit of calculus and compute the integral from left to right you get another plot called the "cumulative probability" and/or the "distribution function", which I happen to think is more helpful fo...

What I do is what Ken described: use Monte Carlo techniques to create 100,000 virtual traders, each one with their own MC generated equity curve. Find the maxDD for each of these virtual traders' equity curves, and construct a cumulative histogram: What % of virtual traders had a maxDD of 15% or hig...

I take a different approach: discover what's right for me, then do it. I find that I'm calmer and happier if I follow my own star, rather than listen to people who tell me what I must do. My trading seems to improve, too.

I would do nothing. The event has not changed the price of Natural Gas and I trade based on price. It hasn't change my entry price or my stoploss price (or the contract size / dollars-per-minumum-tick), so it hasn't changed my risk. As far as I'm concerned this event has no effect on my Natural Gas ...

Suppose that your trading account equity is $1.5 million. Suppose that you are currently long 2 contracts of April04 Natural Gas. Suppose your exit stoploss is at 4.780 and yesterday's close was 5.603. This means your risk on the trade is 0.823 points ($8,230) per contract, or $16,460 overall. Sligh...

Some people wish to prove (in the strictest academic, mathematical sense) to an audience of skeptics, that such-and-such method unquestionably gives results better than random chance, or gives a Sharpe Ratio better than buy-and-hold, or gives a risk/reward point outside the Markowitz Efficient Front...

The thing that matters most is: what do you see in your own testing? Until you run your own tests and obtain your own results, you've got nothing concrete. If and when you do run tests and you do get results, you will be able to struggle with more sophisticated problems like My test system makes big...

Both of these statements are true: Several of the most widely known long term trendfollowing systems have suffered poor performance in the most recent 2-5 years, compared to their performance in the 1990's Many trendfollowing CTA's have enjoyed excellent performance during the same period of time, b...

An interesting comparison of ( mechanical systems optimized for trading stocks ) versus ( mechanical systems optimized for trading futures ) is possible by studying the material over at the friendly competitor website called Wealth dash Lab dot com. 99% of the contributed system code is aimed at tra...

The price data might have low correlation yet the trading system equity curves might have high correlation. Since you've only got 3 markets "F", "H", and "N", it only takes a few experiments to test this out fully and completely. Right now you are trading portfolio #1 b...

So how'd it go? Successfully implement the system ten times out of ten while feeling comfortably alert?

I found the summary page on ZapFutures's website to be extremely detailed and helpful: http://www.zapfutures.com/html/contractspecs.shtm They've got practically all the contracts you'd ever think of trading, and they express the "handle" / "point" / "mintick" value in a...

Could this scenario have played out differently if you were with another broker? Maybe your lack of personal discipline requires a broker with a different approach.