Traders' Roundtable

No wonder they can´t attract any institutional funds with a -41% drawdown. If they would take 0.25% of their current leverage instead they might have a chance. Deleveraging could also open up less liquid markets for more diversification.

What do we really know about the underlying managers in any (benchmark) systematic trend following index. Did they always lived to the system, or was there a directional overlay at times. How much alpha do we need to account for if any? The only way of finding out is to compare system output with br...

Great idea Sluggo. Why don´t we all put down our Correlation number between the system you (currently) use and the BSTI. Our´s is 0.58, which is in line with most other (large) CTA´s. The mean runs around 0.60 Running this number down is possible but in most cases the correlation between the prog...

First of all, "government" does not control the interest. And how is it controlled? As debt multiplies in proportion to capacity to pay, the central banking systems *must* reduce interest rates (otherwise maintaining them as high as can be tolerated), [hopefully] enough that industry can c...

The time with the highest volume and therefore the narrowest bid/ask spread, and less slippage. We avoid night sessions for less liquid stuff, and typically trade around the old open outcry floor hours. Stop width allows that. On top of that we scale in and out on large MOC and MOO orders. Instead o...

Automate your TB system execution and backtest for best execution time per market for MOC and MOO orders. It´s an eye opener and well worth the exercise.

it certainly doesn't answer the question; it pretends to return to a fundament; but really falls short of getting one to us.

Geert can try to stuff all the numbers he wants in his numerator; the banking systems can still move them to the denominator; and piss Geert off.
In the end, Geert sees the light, and snuffs the power of the money changers.

What would you suggest for diversifying into more liquid markets when liquidity and exchange maximums come into play for most commodities.


Ordered the book. Thanks Sluggo

Hi All,

Does anyone has expereince trend following ETF´s. Which datavendor is offering EoD Global ETF data.

Thanks
C

Correct, the Net liquidating value, which is the total value of the portfolio including the p/l from open positions, but excluding exit commissions and or other performance and-or management fees.
But in general for a private trader the net liq value is the number to use.

Best regards,

I use the Net Liquidating Value from the monthly broker statements. This is the net (after fees and commissions) combined value of your equity including proft and loss from open positions at that moment in time.
I don´t know what products you trade. I only trade futures.

Hope this helps.

Grazie mille di cuore!!

Why do they make adding smilies so easy?!

I tryed to attach my Excell input file but it won´t let me do it.

If you have ever seen a trading advisor's or fund's disclosure document, you have seen the standard 13-column table showing CTA performance. The last two columns, 12 and 13, contain monthly rates of return as a percentage and the $1,000 Value Added Monthly Index (VAMI). The spreadsheet uses monthly ...

If you want to trade a turtle type system with a portfolio long only including currencies then include the US$ Index futures. Long US$ Index = short basket of currencies (euro, Japanese yen, British pound, Canadian dollar, Swedish krona and Swiss franc). Strength/weakness of most commodities is high...

Thanks for your information. Over the last year liquidity in many futures markets became a real issue with floors closing down. Where are the days you could just run a 100 lot stop order in cocoa with discretion through the floor guys?! Over the last 6 months we had to take many contracts out of the...

Hi,

Does anyone know where to find information on what the most liquid futures contracts are (globally).

Many thanks

Leading indicators can be used for all markets. For example; when a commodity index breaks out to the upside you put your long/neutral commodity system to work, when it breaks out to the downside you put your short/neutral commodity system to work, when a stock index breaks out to the upside you put...

Then the exchange shouldn't offer e-bean oil or any other commodity to the public when the volume doesn't allow fair trade especially when it trades side by side with the floor. I thought the US was the country where the public is highly protected from this sort if mis management by reckless compani...