Traders' Roundtable

So I've been looking around for the longest historical database out there. Came across GFD from a recommendation from Mabane Faber.

They go back as far as 1252 for commodity data (but I think it's yearly data for a few hundred years...wow).

Do you use them?

I'm just wondering if there's an ...

When you say market, I'm guessing you mean equities.

Equities are mean reverting, so mean reversion strategies work great...especially after they fail. Such as right after 1987 crash.

One strategy might be:

1) Wait for equity event that can not be explained by random
walk. 1987 futures crash was ...

This video should help:

http://www.khanacademy.org/math/statist ... it-theorem

D

[quote="Michael Wolff"] Oh, yes ... in its Herculean efforts to maintain its overall growth, Facebook will force the rest of the ad-driven Web to lower its prices, too. The low-level panic the owners of every mass-traffic website feel about the ever-downward movement of their CPM is turning to dread ...

I have a feeling that trading will always be work and that the markets will never just roll over and let one make money.

As an aside, I noticed that Tradestation bought out Rina in August. Portfolio backtesting for the masses is coming soon.

Aside #2. I always over-estimated the number of ...

[MOD: Split from post http://www.tradingblox.com/forum/viewtopic.php?t=7945]


I have a feeling that trading will always be work and that the markets will never just roll over and let one make money.

As an aside, I noticed that Tradestation bought out Rina in August. Portfolio backtesting for the ...

Chris,

Remindes me of Sluggo's post awhile back where he asks if the "Robusti family" of traders should look at all data, or a subset of data. link

Clearly (ok, not clearly, but the data doesn't lie) what they've shown is that if you use all the data, taking profits with a multi-instrument ...

Just a quick thought...

Perhaps the fat tail gains are followed by fat tail pullbacks. Meaning
that many trends end in dramatic fashion (the pullbacks from the
peak are large). Sometimes those pullbacks come after a monster
move, sometimes at the start of a trend.

Sounds like some testing is in ...

For me, the conflict is that getting out of 99% of the position at 1R (leaving 1% in so the system doesnt jump back in the trade) is better than letting it ride. Again, this goes against all the theory of why LTTF works: returns arent normally distributed - you need to capture the 20+R fat tails ...

When I bought my first car, I was looking for something that could get me around without spending money I didn't have. It was functional, not the Ferrari or Aston.

Mechanical trading takes a great deal of research, which means time. If you want something that works right NOW without breaking the ...

I could only find one mechanical model that is short gold...it uses the COT data and a time delay.

Just wondering who's NOT in gold right now.

This is a trend following board (mostly). Any reason not to hold?

D

Lookup blackstar under 'search'

Survivorship bias is huge in stocks. And of course seeing how they act prior and after delisting from a major index, as I'm sure you know. I'm glad there are so many edges to exploit.

D

This makes no sense to me regarding speed. TS is very fast. I don't believe for a second such a simple backtest would take that long. TS lets you backtest using genetic algos.

The only problem with TS is no portfolio backtesting...which really sucks. There's a lot of free downloadable stuff to make ...

I've found that a top down approach works well with the S&P 500.

First, determine the intermdiate-term trend. No small feat there.

Then use a counter-trend strategy to sell short on rallies. That's
the easy part. Getting out of your system's way and not screwing
up...a lot harder.

D

I've tested the idea on at least five different systems. It hasn't worked for me. I find it akin to looking at the past several outcomes on the roulette wheel. If there's an edge in your system, why wouldn't you take every trade? I suppose the idea is valid if you're trying to out-smart other system ...

I've been going over this problem as well. My original idea just caught the pattern over one time frame with very basic pattern matching definitions. Sort of a zig zag indicator where the computer looks for peaks and valleys on the charts...makes for simple recognition:

p1 < p2, p1 - v1 > (p2 - p3 ...

Sluggo,
Thanks for invaluable piece. What could this look like on an equity curve chart? If the atrs were low and the asset was trading sideways with small declines, a trendster/tt would be stopped out, based on for ex., your current live system's rules.
What if one remained in the trade with a ...

When it comes to equities, I have proven to myself that
what I'm trading against is large funds < $1 billion.

I believe there's a considerable edge there because
most managers learned the same BS at the same
school with a different name.

In other words, they all react to the same data at the ...

Trading Blox does this quite well. If you just need really basic software for Tradestation, MSA from Adaptrade works OK.

D