Traders' Roundtable

These are: (1) betting strategy – while it is extremely difficult to improve upon the standard fixed-fractional betting strategy, it can be done provided you’re a private trader and don’t trade OPM – ironically, you have to have guts to do the reverse of what Eckhardt taught the Turtles ...

On 1 October 2010...
What do you do with your existing positions at the end of each month?

I am practical -- I keep them open and I exit them based on updated exit parameters.

Example 1
Let's say I trade a classic channel breakout system with 20-day entry and 10-day exit channels. I have an ...

On 1 October 2010, I started trading a tiny forex account. After lots of back- and walk-forward testing, I decided to set up a small account and go after absolute returns of 50%+ annual returns with occasional 80%+ drawdowns. I figured out it would be psychologically easier for me to start with a ...

images

One of my thoughts is that much of the data that we point to has been collected since the gold standard died during the Nixon administration.

That is exactly my point. That all great trend-followers (Dunn, Turtles, Eckhardt, Winton, AHL, John Henry, David Druz, etc., etc.) have produced their ...

For my two cents, I believe that markets are changing and let me explain why I believe it is so:

Historically, markets have existed to provide price discovery and allocate scarce resources. At the current juncture, markets are being prevented from performing their historic purposes because ...

I used Norgate data in the past and found it to be clean and accurate. They provide individual months in the usual O,H,L,C,V,OI format and their software allows you to build your own continuous point-based back-adjusted data (and continuous non-adjusted, if you find it useful), also in the O,H,L,C,V ...

I havent been able to duplicate Sluggo's run. But I can get a MAR of about 2 during that time frame, that drops to about 0.7 after adding the last five years.

This book from the TBB Trading Library can help avoid such overfitting. It's a lot of work with many pitfalls along the way but the ...

Chris67 wrote:A great example is mulvaney Capital in London - an awsome TF program - 10 year track record of about 20% CAGR - but stuck at 100 Mill give or take for many years - I m not sure by choice - but investors wont take the draw dwons

As of now, their CAGR is closer to 13%.

On topic, how would one have felt about Turtle 20/10 in 1990? Pretty optimistic I imagine.

How would one have felt about Turtle 20/10 in 1991? And in 1992? And then in 1993, 1994, 1995, 1996, etc.? If one had asked this question year by year or month by month, one would probably have discarded or ...

It is visible on a 30-minute chart at barchart.com.

Look at the tables below.

Please also note that John W Henry first and flagship program was Original Investment. I think it was closed in mid-2005 after 23 years in operation. At the time it was terminated, over these 20+ years, it had returned less than "Buy and Hold S&P500" over the same period ...

I am with bobsyd on this one.

I consider walk-forward tests the closest thing to real-life trading and the final check on the validity of my backtests. If done properly, walk-forward testing is a much better indicator of a real-time performance than back testing. The latter tends to be curve-fitted ...

Does/Will TBB support fully automated walk-forward tests?

The reason I brought up the topic of slippage determination for MOO/MOC orders is that some traders compare their fills for these types of orders to the actual open/close of the day. I contend that this approach is incorrect - especially when trading in size and/or in illiquid markets.

When a ...

I often wonder if the market opening price would have been the same without me placing an order and thus participating in the opening price discovery. Can you call this also slippage?

Attain Capital calls it "hidden slippage" and I'm afraid it is very difficult to account for it in backtesting ...

Thank you, sluggo and c.f..

Tim or TBB users,

How does TBB handle margins for positions held in foreign markets?

(1) It assumes that the equivalent amount in USD is actually converted into a local currency when the position is opened and then converted back into USD when the position is closed.

OR

(2) It puts up the ...

Very close stops can not be tested accurately on daily data as many times on entry day the tight stop would have been hit intraday. Yet the bar may close in the direction of the position and the software has no way to know what happened intraday.

One simple solution that allows one to test ...