Traders' Roundtable

Kevin You have adroitly, and with some ingenuity, proved the point I was trying to make !! Optimal F itself needs some "optimising" before it becomes a useful tool for the average trader :lol: You have demonstrated in the above posts and elsewhere that your analytical skills far exceed my ...

Broadly interpreted, robustness means that future system performance will correspond with your test results. How close this fit needs to be to satisfy your personal definition of robustness naturally varies from one individual to another. It is therefore important to first define robustness in terms...

Gamma Thanks for the informative post, you have piqued my interest sufficiently that I'm going to get Saliba's book, I've always wanted to learn a new language !! How many markets do you have to trade to diversify your risk and what strategies would you recommend to neophyte options traders ? Also, ...

Hi Gamma You want to become an option trader? GammaTrader Aint smart enough for that, it's all Greek to me !! :wink: Did briefly consider options on futures to hedge my long exposure on equities but didn't pursue it. Any good (that means simple) books laying out the basics that you'd recommend ? Loo...

Kevin & MCT Agree with you both, since I was both wondering what the practical benefits were of this somewhat arcane discourse whilst at the same time chiding myself for not revisiting Optimal f with a more open mind. I am ever-eager to translate ideas, concepts, theories et al into tangible, re...

I have tested extensively with time frame and concur with AFJ that the longer the period you trade the more profitable each market becomes in general terms. MY LTTFS trades weekly bars as I typically hold positions for many months. As we all know, there is no free lunch, so LTTF naturally has its dr...

VT 1.6 does not take me further than where I am currently in TradeStation with my own strategies written in EasyLanguage. I am therefore waiting for 2.0. I am not very familiar with 1.6 but it seems that the strategies provided with the system offer an excellent starting point for traders still lear...

Alex Whatever you decide, make sure that price is at the bottom of the list of criteria you use to make your decision. The amount of money you will be putting at risk, especially trading futures, is most likely several orders of magnitude greater than the cost of the software you will need to give y...

Alex Without more information on how you developed your system and/or what data you used to optimise (if at all) your parameters it is not possible to comment on the validity of your back-tested results for future trading. However, if your system performed as well on the out-of-sample data as it bac...

It seems extraordinary that CSI does not have contingency plans for such a common occurrence as a hurricane. When customers rely on continuity of data delivery to run their trading business wouldn't you expect, at the very least, that your vendor have back-up operations/data centers for these missio...

Back-adjusted continuous contracts (BACC) provide the best simulation of what your system would experience when rolling contracts in real trading. These back adjustments can lead to negative prices and therefore the absolute numbers clearly do not represent actual prices at that time. You must look ...

It's probably not coincidental that trendiness and volume are inversely related. My LTTFS performs much better on the MD,RL & DJ than the higher volume ND & SP (although it does make money in all 5 markets). Unless you are daytrading and need the tighter spreads and faster fills high liquidi...

I think the comments on S&P are illuminating since it appears slightly below average, yet is typically and consistently unsuitable for LTTF systems [e.g. try PGO, Thirteen, Turtle, etc on S&P over almost any period and see how it underperforms nearly all other markets . Agreed that LTTF res...

I think a 60% DD is probably at the far end of the spectrum, I suspect most professionally-managed LTTF systems are probably in the 20-40% range. Most clients cannot tolerate DD > 40% and for this reason managed funds will move heaven and earth to contain DD within the tolerance level of the majorit...

Relax !! :D According to your backtesting results you're only just over half way, it could get a whole lot worse and still be within the bounds of what you considered satisfactory. As I too am experiencing now, a large prolonged drawdown is a lot tougher to live through than looking at the same DD o...

For both Long & Short positions my LTTF parameter values are the same in all the markets I trade with the exception of individual stocks and stock index futures. There is such a strong bias to the Long side that I simply do not Sell Short equities and their derivatives with my LTTF system. I rev...

p_banerjee Not sure why you would want to trade the same instrument in two different markets at the same time but I would always close out my trades in the SAME market. However, if the electronic platform trades outside of pit hours and you wanted to close a pit-originated position then you could of...

Old European Unable to post a reply in the forum where you originally posted. Your assertion that there may be an advantage to investing in funds experiencing a drawdown has some merit. I have been told that some professional fund managers specifically seek out established, profitable funds when the...

Using the IBD rankings as a fundamental (rather than a technical/chart-based) screen of the entire population of stocks is very effective in narrowing down the field of potentially tradeable stocks. However, I have problems with the O'Neil/IBD approach in that they do not provide precise rules for t...

Curve fitting gets a generally bad press because it is so often associated with overfitting system parameters to past data to the extent that the system breaks down on out-of-sample data. I do not have a problem conceptually with the idea of curve fitting, it seems reasonable to explore a range of p...