Traders' Roundtable

Hey Louis, To estimate conservatively, you should use the lowest price the following day for your entry point. It is rare not to get an execution all day long in equities (unless it's thin, or you're trading futures), so it's hard to imagine you'll need to go to a third day. Maybe you can use Single...

Ok Enigma, no one answered this one yet, so I'll take a stab at it: In the purest sense, if you found better rules, trade the better rules. Having said that, no one can predict how good a system WILL BE, so maybe you can slowly roll into the new system. For example, you can allocate 25% of the money...

I put in a message for the grains to be added to their system. They will get back to me on the A/C/E grains, but they have already notified me that if something is strictly pit traded, they won't have it available: it must be electronic. One more thing: checks that are deposited are not available fo...

Hi Damian, I was just about to start posting a sequence of threads of different firms that I have used when I saw your thread. I'm currently trading with Interactive Brokers, so I'll list everything down here: 1. I haven't seen anyone's commissions lower yet. 2. If you don't generate more than $30.0...

In
My
Honest/Humble
Opinion

Hi Vince,

Can you specify what you mean by "trading the equity curve"? In the literal sense, we trade instruments and the EC is a result of that trading.

Obviously, there is something that I'm not catching ..

Thanks,

Edward

An example would be really helpful, because I don't know what "direction of the carry" and "assuming your positioned to recieve the carry" mean in context with various margin %'s. What are the fees: are there variable and fixed fees? Or just one or the other?

Thanks,

Edward

Hi John, Doesn't robustness refer to a system's performance being indpendent of the variability of it's parameters? For example, if one of your parameters works with the value of "30" but doesn't work well for "29" and "31", then your system is not robust. On the other ...

Jester wrote:Oh, one more important item. Make sure you sign up for 2% margin or they will charge you carry even if interest rates are in your favor.

Can you explain what you mean by the "2% margin or they will charge you carry even if interest rates are in your favor"?

Edward

This topic was also discussed here: http://www.tradingblox.com/forum/viewtopic.php?t=112&highlight=roll Fulks said that there is no perfect answer to the rolling problem. If it's a market where there is usually a constant carry charge going from forward to back months (like gold), then you MIGHT...

Almost five months later I’m currently in a drawdown of 20%, trading 12 times the number of contracts I was previously. Hi Gekko, AbsoluteReturn was asking why you are now trading twelve times as many contracts in real time vs. when you were testing, and that maybe you have a postition sizing iss...

Chuck said that when you had a drawdown you should not decrease the bet size. The reason he recommended this was that he demonstrated from a sequence of trades that when you reduced bet size you had an overall reduction in expectancy. The argument was posted to the Omega list where a better statist...

People who love the MAR measurement are probably not going to like the Lake Ratio. The Lake Ratio includes all drawdowns in its construction, not just the maximum drawdown. If system A has one 30% drawdown and lots of 10% dd's, while system B has one 20% drawdown and lots of 15% dd's, Lake Ratio wi...

http://www.seykota.com/tribe/risk/index.htm Ed Seykota wrote a small piece on risk management, which is an extension of the coin flip risk model he worked on with Dave Druz. He also covers other topics such as portfolio selection, the Lake Ratio, and trading psychology, in brief. Talking about Seyko...

Hi Enigma, There are two separate issues that you are inquiring about. The level of the index does NOT imply the level of volatility. 10% volatility is 10% volatility, no matter what the level is. The markets can fluctuate 10% if the Dow is at 10,000, just as it can when it was at 1,000. The second ...

Hey Damian, The spreads on certain mini contracts are much wider than the full contract, while others have better liquidity and volume. Let's say at midnight Eastern Standard Time, the full Yen (12.5 million) will look like this: 300 bid .008621, 120 ask .08624 while the mini contract will look like...

Simple mathematics can explain that fairly well: If the S&P is at 400 and you have 10% volatility, the S&P must fluctuate 40 points. If the S&P is at 900 and you have 10% volatility, the S&P must fluctuate 90 points. Same volatility, more dollars because the index level is higher. Ed...

Hi Damian, When a market is locked limit up for several days in a row, the exchange will sometimes allow a range expansion for the limit moves. If you have a predetermined fixed amount for locked limits, can you automatically adjust for that in your system? I kind of like bbc's concept where no trad...

I use the same $200.00 skid that Ted uses - it's also a good idea to see how each market skids differently. Coffee will skid a lot more than the E-mini S&P, and the full Yen contract will skid way way more than the mini-contract (I use a tick skid rather than a dollar skid.)

Edward

Looks like we agree on a very similar note John - I talked about my system results in the first post, and my data for equities goes back 12 years. My cumulative profits came more from the downside even though the data I used has an upward bias (my data started in the Persian Gulf War time) - this MI...