Traders' Roundtable

That same level of "daunted-ness" has led me to limit the universe I choose from, limit the number of positions, and focus on momentum as a selector.

I don't know if it's the best solution, but it seems to work well in the testing done so far.

[edited for spelling - whoops!]

Keelix.com has some ability to test equities for funnymentals.

I don't know what the BEST approach is, but here are some thoughts. You probably have a history of which trades paid off the most, do some data mining and see what they have in common, maybe you can distill that to see which of your signals have the most "giddyupedness" and stick with thos...

I thought that "profitable" was meant in the trivial sense, i.e., it didn't lose money. I assumed that it was trivially profitable but most likely well below any CAGR/STDEV or CAGR benchmarks I might assign, so it never occurred to me to test the random entry + chandelier exit system. Big ...

What seems UNclear is what you meant by "ASSUMING you are entering the stocks for the first time just after the market turns to 'Bull' (as called by IBD and also via chart reading......last time was March 2003)." Does that mean I can't enter on a 50/75 cross if it's the second such cross i...

Just my opinion, but not only does the system or idea have to have worked historically based on some kind of statistical examination, but the system or idea has to have some kind of basis in causality. This is one of the reasons I discount 4-year cycle, 20-year cycle, Kondratieff waves, etc., as ind...

why don't you test the correlation of the various currency contracts denominated in dollars against the contracts for the hard goods and see if it proves out?

I am currently backtesting (in Excel) a strategy that involves the relationship of two PPO indicators. The PPO is an MACD measurement that is normalized across different equities or assets by dividing the MACD by the slow EMA used in the MACD. Entry signals are generated by a formula, X * PPO1 + Y *...

I'm not trying to comment on how big an issue comm/slip is per se, I am trying to comment on comm/slip being more of an issue for LT systems then I initially assumed based on entry/exit only. Let's say you caught CL at its back-adjusted low of around 35 in Feb '02. Then you got out around a back-adj...

Interesting. The CL data I downloaded from here had the contracts back-adjusted and rolling every month. So to accurately test a LT system, I would need different linked and adjusted data than what was provided, or need to jerry-rig my slippage points. Any idea why slippage is less on rolling than o...

That helps a lot, thanks Jason! I was looking for a control to backtest against, and was using buy and hold a contract as the control to some strategies - and noticed that buy and hold (including rolling commissions) produced losses in some cases, and profits in others. Also thinking about the cost ...

You could have a shorter term system entering and exiting several times in a longer trend. Where the LT system would ride the whole time hopefully. Its a question of the trade efficiency of your systems as to which method may be superior for reaching your goals. Additionally, rolling every month in...

Woo-hoo! Anybody listening?

I know it's not a sexy question, and probably a stupid one, but I'd appreciate an answer ...

while systems like the Dual Moving average system with very long averages are hardly affected by slippage and commission assumptions at all since it trades very infrequently by comparison. But don't such systems still trade at every contract rollover? Is there an allowance for slippage at that poin...

while systems like the Dual Moving average system with very long averages are hardly affected by slippage and commission assumptions at all since it trades very infrequently by comparison. But don't such systems still trade at every contract rollover? Is there an allowance for slippage at that point?

I've been struggling with a benchmark for testing trading contracts as well, and wanted to share some ideas. We need to incorporate costs of trading in the benchmarks. Over the trading time period, using the "catch every peak and valley," if done as a total distance traveled by summing the...

When I type of being long or short two asset classes or issues, based on their correlation, I am typing about the correlation of their price movements , not the correlation of equity curves created by your trading system, and typing about being long or short as a position of your trading system on t...

Talk about a straw man example. The two curves have a strong correlation to a THIRD variable - TIME. If you adjust the formula so that either of those lines has a zero slope regression line to time, your correlation goes bye-bye. They are not moving in opposite directions and equal magnitudes; when ...

A portfolio of two negatively correlated assets would increase the volatility in a long/short portfolio, as both would be gaining equity when trending (you're long one and short the other), and both would be whipsawing at the same time. A portfolio of two negatively correlated assets would, if trade...