Traders' Roundtable

IB has a pretty impressive array of order processing functions now: http://institutions.interactivebrokers.com/en/p.php?f=orderTypes&ib_entity=inst They've had iceberg orders for some time. I like to use their conditional orders quite often in combination with a "one cancels all" group...

"thinking too much is the barrier on execution during trading" There should be no "thinking" involved during execution of a trade. Your method has dictated what to buy/sell, when to buy/sell it, what price to buy/sell it at, how much to buy/sell, when to add to a position, when t...

While the depth and duration of any particular draw-down is not knowable, one thing that you can be sure of is that recovery from it can only occur if you are willing and able to continue trading. Historical testing can only ever be a rough (but useful) guide to "what bad looks like". My a...

OK, a more methodical approach would be to classify markets into types by trend (up, down, sideways) and volatility (low, normal, high) giving 9 possible "types" of market (3 trendiness measures multiplied by 3 volatility measures). Then make sure you have a decent sample of trades in your...

Well what's the opportunity cost of waiting 10 years to collect enough data (to add to the "included" 10 years) in order to have a total of 20 years to test on without paying any extra? How does this solution compare to paying up for the data you actually mention you would like to test on ...

"If the most liquid instruments are more efficient and less trendy" I would test this assumption - liquidity, efficiency, and trend are not directly related as far as cause-effect goes (in my experience). More liquid instruments have smaller spread, less noise, and therefore generally lowe...

"And, finally, do you know of any magical filters I can use to select the best performing instruments and trades?"

Yes, only trade instruments that are liquid

Another interesting question might be:

What aspects of each trading system don't change over the whole period (if there are any)?

How many trades are there when this rule is not implemented at all? Just looking at the chart it appears to be a "robust" parameter with respect to R3 since it has a nice "bell curve" shape with the "sweet spot" lookback around 9 days, but only filtering out 100 trades....

What are the x-axis units (1-17)? Is that years, months, day, or something else?

"... that seems to improve results" Depends how you quantify this. I'd look at how the trade frequency changes when you apply the new rule, and also the average size of winners to losers. Also, I'd be suspicious if a new rule happened to significantly improve the win% since this may be eli...

I while ago (back in 2006) I started to write a short eBook called "The Stochastic Price Change Model" which is a model of price behavior that uses volatility, volatility of volatility, gap probability, and market emotion (normal, apathy, main, panic) as inputs. If you PM me an email addre...

It is a sad fact in trading that the best looking equity curves are usually a contrary indicator of what will happen in the future, or what you should invest in or trade. If it's a simulation, then it's curve fit or includes "postdictive" errors, if it's actual performance then it's fraudu...

If the market is open to anybody, has equal access, no rules that favor or penalize any one group of participants, and nobody is forced to participate, how can the act of speculation be unethical or immoral? It's a voluntary game where the rules are well defined and generally well enforced/policed. ...

http://www.interactivebrokers.com/en/accounts/universalAccount.php?ib_entity=llc IB's Universal account is multi-currency by default. The only things the "base" currency are used for is the currency that the net liquidation value calculation is done in, and FX transaction commissions. Ever...

This depends on your beliefs (as in everything in trading really). If you believe that each trade is an independent event, and that there is no way to determine winners and losers in advance and you have a positive expectation trading system then anything that skips trades will: a Reduce your long-t...

"compared to a portfolio containing the two highest volume markets in each commodity group" is the real pearl of wisdom at the end of sluggo's (very informative) post. Maybe you're asking the wrong question when you talk about cherry picking in relation to particular markets. Maybe a bette...

All paper money that is not backed by something "real" like gold or silver has zero intrinsic value (other than it's use as toilet paper when it finally and inevitably devalues). The "value" of a fiat currency is simply a perceived value based on what amount of product or service...

http://www.pmkingtrading.com/sitebuildercontent/sitebuilderpictures/TrendPersistence.jpg The chart above shows the difference in up and down trends for liquid US equities over the last 20 years. Note that due to survivorship bias companies that have trended down to zero are not included. There is s...

Sluggo, you are correct of course, maybe I should have said "The risk you take is generally proportional to ...". I was trying to make the point that one has the option not to take maximum available leverage and use it. In the small print for "no slippage" guarantees it always ha...