Traders' Roundtable

Is adjusting your parameters really changing your system though? Perhaps we should ask Theseus...

It seems odd to me that all winners are less than 1R for a system with no profit target. Are you using a pre-supplied system or a custom trading system? Another thing that jumps out is the Expectation is 0.0 and Average Risk Percent is N/A. There could be a bug in your code, data, or both. With an ...

Hi, I am quite new to Futures and I had a specific query. What is the difference between Micro / Mini contract Vs Normal contract excluding size? i.e what are the price differences between OHLC on a normal contract Vs Mini / Micro contract. regards There are several ways you can do some research on...

As a staunch libertarian of the Rothbardian coterie,I can relate to your issue,which for me carries not only a monetary,but an ethical value as well. While taxation is a question of morality and ethics, its greatest impact is mathmatical. Simply compute the difference between $1 compounded (once) a...

Thank you Sluggo, much appreciated. Yes i found the mini Eurodollar contract. Unfortunately i couldn't find anything on the 10Y note or even international Bonds and rates. There is a mini Eurodollar that trades on CME/IMM, but if you take a look at it you will notice that it has severe problems wit...

There seems to be an underlying assumption that past performance (from which Sharpe is computed) is indicative, or highly correlated to future performance. My testing has shown me that this isn’t the case. Jack Schwager drew similar, (but not identical) conclusions years earlier in a similar stud...

I have a system with a positive expectation that has made money over 30 years that seems to always make money when trend following doesnt - Ive posted on the forum beofre about it but nobody wanted to know The best thing about this system was it has had 1 trade in 30 years so the commissions and sl...

Well, Ray is trading stocks with some kind of fundamental filter. This sound very different from what we usually discuss here. Then he said: "How can you work 3000 trades every year? I try to keep down numbers of trades at a max of 500 per year." So, he his using Stop and Limist orders. T...

Chris67 wrote: best retropsective time based trade i have come up with is this

if year = 2008 then double everything
if year = 2009 shut down go on holiday
if year = 2011 then repeat 2009

Shall we impliment this once the blox for the flux capacitor is completed?

STIRs are somewhat special cases since the notional value of the contracts are generally very large in comparison to its volatility (or margin). It's "easy" to ramp up a very large notional values where "normal" volatility-based risk measures would indicate a "small" r...

When trading through a publicly listed clearing firm you may also want to build in a rule to change broker when their share price drops by 50% (or whatever number you deem fit). After all we are trend followers. Yes, but is share price the optimal measurement by which we gauge the risk of the insti...

I am trading 2Y and 5Y notes with IB, symbols ZT and ZF respectively on ECBOT. These are mini contracts. I do not believe there are mini Treasury futures. ZT , ZF , ZN (10y) and ZB (30y) are the Globex (electronic) codes for the Treasury futures, this is how they're represented on the CME's website...

One concern is the robustness of this rule. If we want to reduce position size if vol > x% and this rule only is triggered 10 or so times over the life of a test, is it something we should hang our hats on? Although perhaps we are erring on the side of caution if we do... I believe you've hit an im...

joefcr wrote:is it possible to have filter on Index (like 200 WMA). System will exit all positions if Index falls below 200 Week Moving average.

Why wouldn't (shouldn't) it be possible?

[...encounter the difficult question: how often must I rebalance? Once every three months? Once every hour?] How about re-balancing when needed rather than at a certain subjective intervals (e.g. three months.)? But then, "when needed" could be described as a subjective criteria as well

They do not create more pain - thet create more work If you have a portfolio of 100 instruments and therefore you have a 200 orders every day feesibly ?? 100 possible stop entry longs and 100 stop entry shorts With an MOO system you have no orders to watch other than if you get a MOO entry or MOO e...

Chris67 wrote:I think as long as your systems are MOO for entries and exits then its not too bad to have a few on the go - I also have a few that are stop entries and exits and they are a gigantic pain

Can you please explain why do you feel stop entries create more "pain" than MOO?

Additionally, I like to double check my full point values by using a mock portfolio from a service like barchart.com, or others. There may be some errors inherent to a free service, especially when you consider that the exchanges themselves can make mistakes. But it adds an added layer of confirmati...