Traders' Roundtable

This business model in a different way was and is still alive in the futures markets. In the futures openoutcry markets big indipendent traders or 'local' used to back-up newcomers on a profit-sharing base. These kind of deals are still alive outside the open outcry floors in London and Chicago, whe...

I think the same about margin-to-equity, but if I want to present some simulated performance I'll be asked about this ratio I guess; it makes sense maybe for the last two years but not for ten years ago. I'd rather use for backtesting a margin adjusted to volatility; margin for Crude Oil ten years a...

Or maybe the margin-to-equity is just a synthetic indicator to define the so-called timid/bold trader: timid trader uses a lower margin-to-equity ratio, the bold trader uses a higher margin-to-equity ratio. Also margin-to-equity ratio alone does not tell a lot about diversification, I could have the...

I wouldn't do anything because my exit or stop-loss should predefined before entering every trade. Margins are linked to market volatility and if the Clearing House lowers the margins usually volatility is decreasing. I could consider lowering my exposure, i.e. selling 1 lot, if the margin increases...

I was looking at the Fact Sheet of one the best performing futures funds and I noticed between the risk statistics the typical margin to equity ratio. I am using as a guide for development and backtesting of my trading systems the Veritrader User Guide and I noticed that this ratio is not included. ...

I guess a monthly returns and max DD% and the MAR ratio could do the job, an expert eye will quickly be able to value your performance.
I would also consider a leverage measure, like margins to equity.

I suggest downloading Veritrader Demo. In the User Guide .pdf file you will find an excellent description of the different ratios, pag 52 MAR Ratio = CAGR / Max Total Equity Drawdown Modified Sharpe Ratio = Annualized Return / Annualized StdDev ...where Return = 12* Average Monthly Return Risk Free ...

Interesting topic; I attached a monthly continuos chart of British Pound futures (BP) versus British Pound cash (BPY) available on www.futuresource.com BP never traded down to 1.28 and there's obviously a difference on the back-ajusting method used by futuresource. I know from traders using CSI that...

Ted, Thanks for the reply, those are the actual problems I’m facing. These are the answers I’m giving to these questions. Yen/Lean Hogs - My Portfolio should include also contracts losing money in the past, Live Cattle this year has been one of the best trending contracts; past performance is no...

Abraham Trading Company’s trading methodology is a systematic, long-term, trend-following approach implementing filtering techniques that avoid trends with adverse risk/reward characteristics. While the goal is to capture long-term trends, the system only enters the market during periods when the...

Dear Erwin, I apologize to anyone feeling insulted by me in this forum. :oops: maybe the influence of 'Trading Places' on TV. I just had the feeling that sometimes a little bit of humor could help; no intention to undervalue your experience; in my modest and humble past trading experience humor help...

I see your point. I would consider more than just the largest loss on a single position but also other portfolio indicators that consider drawdowns and downside volatility ( you could find the main indicators in the Veritrader documentation: MAR, Calmar, Sortino etc..). In practice a good look at th...

Fixed fractional money management seems to be a good way to start and you could also have a look at Kelly formulas to see if 2% or 3% is a reasonable percent rate considering the system payoff ratio and to see where is your mathematical risk of ruin. Noise also could is linked to the money managemen...

I would give more weight in my central defuzzoider to money management and psicology. In money management I think there is room for a certain grade of control and optimization; think about risk of ruin or max drawdown. But it all comes back to psicology, do you wanna become the next Soros or Ninja T...

Here's my latest fuzzy thoughts: Rules IF the world is ever-changing and non-stationary THEN I follow trends IF world is uncertain and dynamic THEN divergences and changes may be dramatic an unanticipated IF trend-following THEN no prediction of fair values Uncertainty principle Trade-off between tw...

Javelin, I borrowed 'trade window duration' from DrEndricks, I don't know if Seykota used that specific term. I guess it's preatty simple, the less you trade the less you spend in commissions and the slippage on a 120 days breakout is lower than on a 20 days breakout. Thinking about correlation I ha...

There a different definitions for risk, I consider risk simply: entryprice - (stoploss price + slippage); I don't regard open position profits as risk and as a consequence I refer to the Closed Equity DD instead of the Open Equity DD. Volatility of returns is not necesseraly a bad thing. According t...

You can find a relationship between any two items if you look hard enough. It may be entirely spurious and have no predictive power, but you will find one. To give you an idea, you'll always find what we call data miners who will show you that there is a 100 percent correlation between his great au...

Maybe:

http://www.hypertrader.it/htools.shtml

Hi Forum Mgmnt, the importance of Sortino and Calmar Ratio is also explained on Trend Following: Performance,Risk and Correlation Characteristics http://www.mfainfo.org/images/pdf/newsletter/Feb03rep.pdf I noticed you mentioned Aberration; not a very good year. I've been looking at the system and I ...