Traders' Roundtable

Hi All,

Does anyone has expereince trend following ETF´s. Which datavendor is offering EoD Global ETF data.

Thanks
C

AFJ's book includes the passage (p.27) shown below. He's discussing equity indexes; I imagine the situation for ETFs that track other non-equity-index kinds of things, is probably just as cumbersome.

What would you suggest for diversifying into more liquid markets when liquidity and exchange maximums come into play for most commodities.


Ordered the book. Thanks Sluggo

You might have some fun, turning this into a "Word Problem" like the ones in elementary school mathematics, and then solving it.

One possibility is shown below. I bet you can think of others.

Geert trades "M" different futures markets. He sizes his risk-per-trade so that the sum of all risk over all positions (the Total Risk) is always less than or equal to "T" percent of his account. Geert always places protective stops, and the stop placement at trade entry (the so called Entry Risk) is always greater than or equal to E dollars per contract. Across all M markets that Geert trades, the one with the smallest maximum-position-size is Sodium Silicate Futures. Geert is not allowed to trade more than C contracts of Sodium Silicate Futures.

Question: How big can Geert's account grow (in dollars), before he hits the maximum-position-size limit?"

When you find a solution, you'll notice that it has some terms in the numerator and other terms in the denominator. Increasing the ones in the numerator, increases Geert's Max-Dollar-Account-Size (yaaay!). Increasing the terms in the denominator, decreases Geert's Max-Dollar-Account-Size (boooo!). How can you avoid max-position-size limits as long as possible? You can change the way you trade: increase the terms in the numerator, and decrease the terms in the denominator. That's how.

These might be plausible values of the four variables in the problem statement:

• M = 90 markets
  T = 30% total risk (30% of the account equity at risk)
  E = $400 per contract Entry Risk (relatively tight stops, for intermediate-term TF, not LTTF)
  C = 500 contracts maximum

Geert can try to stuff all the numbers he wants in his numerator; the banking systems can still move them to the denominator; and piss Geert off.
In the end, Geert sees the light, and snuffs the power of the money changers.

You're hilarious Sluggo. Good value.

it certainly doesn't answer the question; it pretends to return to a fundament; but really falls short of getting one to us.