Traders' Roundtable

The problem we American's have is the same as any great empire throughout history. We confuse good fortune (positive personal/sovereign outcomes) with a natural mandate (whether it be religious, ethnic, cultural, or other apparent superiority) and decide we are infallible because of it. Momentum car...

A wise observation: "What is good?" (more precisely, "what is good in my opinion ?") seems to have many different correct answers. Is MAR the best? I'm not so sure. Best would be absolute return for most spectators. I say "Which would you rather have, $100K at the end of 5 y...

I would indeed have to think our friends in the U.K. are in similar (if not more dire) straits. However you have one advantage in that you can still get your liquid assets out of your home country/currency without preventing you from trading U.S markets / dealing on exchanges. I'm less concerned abo...

So as the famous saying goes "Just because I'm paranoid, doesn't mean they aren't out to get me". I don't mean to start some crazy conspiracy theory thread, what I'm curious about is if any U.S. Citizens are (legally) trading from a broker in say, HK or Singapore, with funds in HKD or SGD ...

I have had many discussions with myself RE: Sluggo's quite apt examples of "hidden parameters". It is a clever path to insanity and some of us are further along than others. There is nothing wrong with philosophizing regarding these things but it can lead to analysis paralysis or, its' clo...

I would suggest less is more. My personal opinion is simple trumps complex over the long run. This may be because I am somewhat lazy/crazy and I don't like a lot of knobs to turn/have become a bit if a tuning skeptic. Think about it though, adding these bell's and whistles in your Turtle example ove...

Sounds like just my cup of tea, thank you Sluggo!

You may want to consider a few things here. 1. Your approach could be simpler. I consider a 3 EMA system to be overly complex. I'm not saying you need a 1 parameter system (although they are my favorite!), but there should be some diversity in your multi-parameter systems. I think you will find that...

AFJ you raise a very valid point. Without fee disclosure on IASG it gives a new twist to our problem. 2/20 fee's over a 20 year period can be an enormous burden on CAGR/Total return. Let alone some others have an even higher fee structure! Some others have 2/20 but have a watermark. It certainly can...

I certainly agree that there are probably people out there with exceptional returns who are not reporting performance, however we also have the countless blowups/shutdowns from lackluster performance that are not in the data set anymore (or ever) as well. So based on "just the facts", thin...

Subsequently I wonder as a student of history (and IASG): Why do the long term (still in business) operations that we have performance data on seem to have MAR's and Sharpe's below 1? Surely these people have significant resources to out-do the Robusti's? Could it be they had gangbuster early perfor...

If your system(s) is simple enough, there are only two things to change. 1. Portfolio of instruments (add/reduce in a mechanical fashion based on ability to trade [regulation, broker availability,etc] and liquidity). 2. Very limited parameter sets (in my example of a single system, 1 parameter, ther...

Let me first get this out of the way: Oh no another parameter/robustness thread! That said. I've been thinking about longevity in this business of ours (financial speculation). This message may be a bit of a rant but I hope to inspire some of our resident Maestro's to impart a few bits of wisdom 8) ...

Excellent work sluggo, very interesting results. I am experimenting with some volatility concepts myself with the same sort of focus on exit efficiency. If you get bored try plotting an indicator with: (20 bar high - 20 bar low) / (50 bar high - 50 bar low) Notice what happens on a variety of timefr...