Traders' Roundtable

You're correct. Here's a good discussion:

viewtopic.php?t=1774&start=0&postdays=0 ... em+entered

If I start trading a new system today, should I take a position in an instrument that the system actually would have entered in the past? I figure there are 3 options: 1. enter on new entry signal with new stop 2. enter at today's price with original entry's stop, with appropriate % risk position si...

Daily updating seems to work the best, it is just terribly slow to process.

The results are in. I stepped the monthly updates across 15 days of the month. The best and worst results are as follows: 11th; RAR of 69%, DD 29%, 7.5 mos. 25th; RAR of 58%; DD 33%, 10.1 mos. Choosing the best vs. worst date to update results in nearly a 100% increase in equity over the test period...

Thanks Roger. I will run a few tests tonight and report back.

I will be convinced if performance holds up if over monthly tests at other arbitrary times than just the first of the month. I'm not in front of my software, but the code I use now is something like: IF CurrentMonth <> LastMonth THEN update What is a method to get this to update on a monthly basis, ...

I guess some more testing is in order...

That is an interesting passage. Are there any other logical reasons to avoid more frequent re-sizing than simply the transaction costs?

My system employs a correlation risk manager and controls positions in correlated instruments. Initially, the correlations were calculated once per month and used for the entire month. Then, I wanted to see what would happen if I updated the correlations every week. The weekly updating system perfor...

I'm trying to revisit this method. Doing the math works ok at fixed points in time like the open and close. The highs and lows are trickier because they wouldn't occur at the same point. I wonder if there is a "good enough" method?

If you get a signal to buy 2 instruments, but can only take 1 for whatever reason, do you find it more profitable to buy: 1) the stronger of the two (based on some recent performance measure); 2) the weaker of the two; or 3) half position in both?

What methods do you use to tell if a system is performing in line with historical testing? How many real trades or months should be analyzed to be significant?

In one of Strideman's books he stated that he considers every <, >, and = sign a "rule" and tries to limit his systems five or less "rules". I counted up my "rules" and I have about 60 of them in all the blocks in my system. How many do you have? On the other hand, I ha...

Maybe I'm wrong, because those other instruments are all priced in USD. Foreign crosses are not...

This is the equivalent of thinking out loud for me. If anyone has any input, please share!

On the other hand, maybe I should just view the foreign crosses the same as any other instrument? I can take my USD and buy GBP, I can take my USD and buy gold or oil, I can take my USD and buy real estate, or I can take my USD and buy an AUD/CAD cross. What's the difference?

From the tests I have run, the portfolio including the foreign crosses performs better than the one with only USD rates. But, when I ran my USD and EUR base currency tests, the USD base had performed better. I assume that is because the EUR has been a stronger currency than the USD. The profitabilit...

I ran some tests and the answer is yes, the home currency does affect performance. I tested the USD vs. EUR on non-US and non-EUR crosses. The results were pretty similar, but different nonetheless. Now i guess the question is should a person trade the foreign crosses. If I can trade GBP/USD and USD...

My home currency is USD. If I trade a cross that doesn't have USD in it, like EUR/JPY, does the movement of USD affect the profitability of the trade? Part of me seems to think that movement of USD would cancel itself out in a foreign cross, but another part of me thinks that because USD is my home ...

Yes, thank you.

Sluggo, you are a clever one...