Traders' Roundtable

For laughs I tried a long term trendfollowing system on US stock index futures. The Nasdaq, Russell, and S&P futures were net profitable over the last 3 years and also the last 6 years. Besides those, the NYFE and the Dow futures were net profitable over the last 3 years. I was a little surprise...

I think ATR is just a tool. There are some jobs it does quite well, such as measuring the amount of price motion that usually occurs during an average day. We can call that "volatility" or "Mandelbrot ergodicity" or "banana cream pie" if we want to, it doesn't change th...

Please let us know what you discover.

The handful of "serious poker players", people who play >10 hours/week, that I've met, are lousy traders. Breakeven types. I observe that they yakk endlessly about "EV" (expected value) and they understand the concept, but they don't apply it very well in trading. I also observe ...

A pretty smooth example, which reminded me of this 2.5 month old prediction. However, there are some wonderful advantages once you go to an all-dataset-encompassing measurement like Sharpe Ratio. One of them is, when you plot (Sharpe Ratio) versus (System Parameter X), you get smooth curves!! Anyone...

Why not use (gasp!) builtin functions? a = Average(Volume, 20); b = Average(OpenInterest, 20); c = Min(a,b); enough = c / 10 ; .... all the rest of your calculations .... d = your calculated number of contracts If (d < enough) then trade d contracts else trade enough contracts Take the 20 day moving...

You can see Microsoft Madness at work in damian's chart. When you tell Excel to fit a trendline to data whose X-coordinates are dates, it "helpfully" converts them to Julian Dates before doing the calculations. Thus March 1, 1990 is transformed into the integer 32933. Converting his expone...

I've been long Eudollars for almost a year, rolled over the position 4 times and hoping for more. (Bollinger's %B oscillator is at +1.60 so this still looks great!). I've paid 4 commissions & incurred 4 slippages (on "spread trades" used to roll over). How to handle these long duration...

The key insight is to figure out how you, the human trader, intend to roll over positions from one contract to another when you're trading the system live, using real money. Think, papertrade, ruminate, fiddle with charts, talk to friends, visit a psychiatrist, read books, ask your broker, employ yo...

The reason why there are so many different ways of measuring Goodness of a trading system, is that so many traders want so many different things. Ask yourself why did Managed Accounts Review magazine invent the MAR Ratio, when the Sharpe Ratio was already available? Why did Frank Sortino invent the ...

My trading results have generally been better than computer testing has indicated. I use the "R-multiple" and "Geometric Average Trade" statistics for comparison. However this is no surprise since I test using -$200 per contract for slippage. The actual trades in the real markets...

Speaking of CSI, they give away a bunch of correlation numbers for free on this web page http://www.csidata.com/uawebcharts/MarketReport/FuturesCorr.htm As you would expect, T-Bill futures and FedFunds futures have an amazingly high, positive correlation coefficient: +0.9909. If you're long TB and s...

Forum Mgmnt, I believe the statisticians have beat you to the punch. If I'm not mistaken, they've been teaching & using that approach for years. They call it "resampling".

whoops In haste I didn't proofread and I interchanged the examples while typing.

Sharpe and Rsquared prefer the 1 2 3 4 5 6 7 8.... equity curve. Sorry!

Trader Y's monthly equity values are 1 1 1 1 5 5 5 5 9 9 9 9 13 13 13 13 17 Trader Z's monthly equity values are 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Trader Y's "equity curve" has flat spots, during which he has no positions and is exposed to no risk. Trader Z's "equity curve&quo...

Several of my preferred systems seem to perform better and better (higher and higer reward/risk ratio) as I increase heat, using a constant-percent-risk betsize protocol. Unfortunately the drawdowns get bigger than I can psychologically stand. So I've begun to try increasing my AVERAGE heat without ...