Search found 62 matches
- Fri Jan 23, 2009 4:39 pm
- Forum: Testing and Simulation
- Topic: Discretion
- Replies: 8
- Views: 5729
Too high/low?
I think this issue was addressed in the Way of the Turtle book, where he shorted Sugar at some single-digit price and made truckloads of money. How could he have made money, when Sugar was selling for less than the production cost? He had the "roll" in his favor. I don't remember the exact...
- Tue Dec 23, 2008 3:24 pm
- Forum: Trader Psychology
- Topic: Is trading moral and ethical?
- Replies: 25
- Views: 39746
What about insurance companies? Banks?
My day job has one leg in the securities industry and the other in the insurance industry, both of which take a lot of heat for "not making anything" or "pushing paper." Insurance companies basically write options against the value of your car/home/life etc. By purchasing the opt...
- Tue Dec 23, 2008 3:03 pm
- Forum: Testing and Simulation
- Topic: backtesting strategy
- Replies: 8
- Views: 7914
Re: stops
I was having a debate with a trader who was applying to come work for us. but he is a gunslinger. his mandate is to risk 10% utilizing the rsi macd and slow stoch, along with candlesticks. he made assertions that he was doing an average of 156% per annum over the past five years. the only issue tho...
- Thu Dec 11, 2008 10:29 pm
- Forum: Testing and Simulation
- Topic: Momentum System for ETFs /ETCs
- Replies: 18
- Views: 13614
- Thu Oct 30, 2008 4:07 pm
- Forum: Money Management
- Topic: How to deal with correlated instruments
- Replies: 15
- Views: 11702
- Thu Feb 07, 2008 12:08 pm
- Forum: Trend Indicators and Signals
- Topic: Jim Simons
- Replies: 15
- Views: 44885
Jim Simons
I thought this little piece from a recent FT article shows that Mr. Simons may not be as bearish on trendfollowing as the earlier article implies. One recent example is the launch of a medium-term trend following fund by Renaissance Technologies, the Long Island, New York-based hedge fund that is on...
- Tue Aug 22, 2006 4:05 pm
- Forum: Testing and Simulation
- Topic: 2 systems - 1 market
- Replies: 9
- Views: 6917
Trading Systems offsetting each other
To avoid having short orders unwinding a long-term long position (or vice versa), the trader can do two things:
1. Place the offsetting order under a different ticket number. Now you you have 30 long on ticket #1 and 10 short under ticket #2.
2. Trade each system on a seperate account.
1. Place the offsetting order under a different ticket number. Now you you have 30 long on ticket #1 and 10 short under ticket #2.
2. Trade each system on a seperate account.
- Wed Mar 31, 2004 10:13 am
- Forum: Testing Software
- Topic: Taxes
- Replies: 6
- Views: 7775
Taxes
I agree that tax considerations are often overlooked, and need to be strongly considered in any strategy. The problem is that taxes are so different around the world. Even in one country such as the U.S., people have different tax rates depending on their income. Other people have their trading acco...
- Mon Oct 20, 2003 12:25 pm
- Forum: Brokers
- Topic: Brokers for non-US stocks (other than IB)
- Replies: 3
- Views: 4938
Brokers for non-US stocks (other than IB)
I am looking for a discount broker who has access to non-US listed stocks, especially Hong Kong. I am pretty sure that the big full-service houses can do this (Merrill Lynch), but the costs are probably exorbitant. I have looked at places like Schwab and TD Waterhouse, and it is very difficult to fi...
- Mon Oct 13, 2003 3:17 pm
- Forum: Trader Psychology
- Topic: Keeping a journal
- Replies: 1
- Views: 4425
Keeping a journal
In my readings of various trading and investment literature, not to mention "self-help" type books, A common thread I see is a strong recommendation to keep a journal. Keeping a journal seems to help us work through our psychological conflicts, plus gives a great record of our decisions, u...
- Sat Sep 27, 2003 12:53 pm
- Forum: Brokers
- Topic: FOREX Brokers
- Replies: 3
- Views: 5385
Historical Interest Rates
Forum Mgmnt, Oanda has a limited (3 year) history of the interest rates that they use to calculate carry charges. Here is how to get it. 1. Register for the free demo. 2. Log into the demo - the trading screen will come up. 3. Select Resources/Interest Rates and type in the currencies and time perio...
- Sat Aug 09, 2003 11:12 pm
- Forum: Stocks
- Topic: Is there a place for fundamentals in trend trading?
- Replies: 16
- Views: 25683
William O'Neill - IBD
William O'Neill ("How to make Money in Stocks" and "Investors Business Daily") is probably the best known teacher of blending fundamental with technical analysis. His CANSLIM method looks for stocks with rapidly rising earnings, high margins, high relative price appreciation and ...
- Tue Jul 01, 2003 9:25 am
- Forum: Testing and Simulation
- Topic: Too Good to be True?
- Replies: 17
- Views: 17982
Dream System
Jakub, Your system results sound very encouraging. One other step that I would take is to look at the system performance in trending markets vs. choppy markets. A lot of stock based systems look great on 10 years of data, because most of those years have had a steady up or down trend. Since your str...
- Sun May 25, 2003 9:27 pm
- Forum: Testing and Simulation
- Topic: R multiples & Expectency
- Replies: 8
- Views: 9641
R Multiple Calculation
Damian, I think that everything was done right, although I didn't go over every detail of the calculations. I have two posts on the topic "Analysis of Turtle System Test #14 (Original turtle system forum)" where I go over R-multiples in detail. As to your comment about PGO, the average exp...
- Fri May 23, 2003 1:23 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100734
Sudden events
I agree with the previous post, Zeno. You really can't quantify the direction of every "black swan" event, such as a crop failure, terrorist attack, etc. The best you can do is make sure that one doesn't wipe you out. You accomplish that with a combination of position sizing and diversific...
- Mon May 19, 2003 12:49 pm
- Forum: Trend Indicators and Signals
- Topic: Moving Averages - Comments?
- Replies: 7
- Views: 11182
Moving Averages
I think that moving averages are out of favor for a few reasons: 1. A lot of traders are obsessed with prediction. Moving Averages are, by definition, a "lagging" indicator that gets in "late" and gets out "late". 2. A lot of traders think complexity is the answer. Movi...
- Thu May 01, 2003 4:25 pm
- Forum: Brokers
- Topic: System Brokers
- Replies: 7
- Views: 8268
Complex Trading Strategies
My question is more general in nature. I am a little confused over how I would integrate money management rules into a robo-broker strategy. Can I say "risk 1% of closed equity on every signal" to the system broker, and they do all of the calculations, or do I have to get more personally i...
- Tue Apr 29, 2003 9:50 pm
- Forum: Brokers
- Topic: FOREX Brokers
- Replies: 3
- Views: 5385
OANDA vs. FXCM
I don't know a whole lot about FXCM, but what I like about OANDA is a $1 trade minimum (yes, you read it right!). You can also trade in $1 increments, which allows you do really "dial in" your position sizing. Most other forex brokers seem to have $50k minimums and $10k increments (or more...
- Tue Apr 29, 2003 12:48 pm
- Forum: Testing and Simulation
- Topic: Portfolio Selection
- Replies: 57
- Views: 67627
Response to c.f.' test - more thoughts about correlation
This thread has turned into quite a discussion! I have a question for c.f. about his test - Which Turtle System did you use for the correlation test, the 55/20, the 20/10 or a mix? My take on correlation is that it doesn't matter as much until bad stuff happens, and you find yourself with triple and...
- Sat Apr 26, 2003 9:42 pm
- Forum: Money Management
- Topic: How much Capital to start
- Replies: 25
- Views: 37588
Small Capitalization Issues
Jeff, I definitely feel your pain with regard to low trading capital. I posted a long rambling message about this on the testing forum. One other specific alternative is a Forex dealer called OANDA (I don't have any commercial ties to them) www.oanda.com. At OANDA, you trade only foreign exchange, b...