Traders' Roundtable

I recently gave a talk in which I showed the power of developing systems on baskets of market as well as combining multiple systems. During my presentation I went though the process of developing three different trading systems one for trend following, another for trading interest rate futures and t...

Yes you are correct, I could have entered using an offset off of the open but this would have not made the system truly tradable using end of day data. In fact I could create a better system if I wanted to get in off of the open. Using the true Crabel entry requires getting the open before placing t...

I have added a tutorial to my site on trading equities( stocks) . The tutorial is a case study of a Nasdaq 100 stock-trading system I developed based on the work of Toby Crabel as well as Intermarket analysis. This system also shows the power of being able to optimize across a basket of market. In t...

Here is Ralph Vince's the URL
http://home.earthlink.net/~rvince99/

I read Ralph books a long time ago and did not remember that he used f as a measure to optimize a systems performance against. What this is doing is balancing profit with the largest losing trade. This is an automated way of optimizing to remove a few large losing trades, which if the sample size is...

I have just posted a free tutorial on my site www.TradersStudio.com The free tutorial is available at http://tradersstudio.com/Default.aspx?tabid=36 I have included the code for calculating optimal f, which was not show in the video as an attachment to this entry in this forum. I have implemented op...

Are you wanting to get in on the open or can we make the order become a limit at the opening print.

The Question must be asked what type of stocks, SP500,Nasdaq 100, or smaller stocks. The more liquid a stock the tighter the bid -ask range so the closer your fill would be on the open or close. If you are trading Nasdaq 100 stocks or DOW stock , I would say very close, if you are trading smaller st...

In an article I did several years ago, I tested how robust a given system was by optimize it over a large range of values and measuring the returns and standard deviation of returns across the range of parameters. We wanted to see an average positive expectation greater than the standard deviation a...

I am currently writing a series of article on pattern based trading, I discussed and tested the Crabel patterns in upcoming futures article, three part series. The series is running in the Oct,Nov,Dec issues this year I think. I did my analysis based on some measure of range not fixed points.

The problem with building a system on a single market is do you have enough trades. That is one place which building them on multiple markets help.

If you notice, the system was released in 1997, and did set a few equity peaks after release. I am not saying this was one of my best system in retrospect but sometimes mechanical system do not hold up because of various reasons. Another point I would like to make is this was seven years ago. In ter...

One point I would like to make on this thread is that the premise of the system is the most important thing. What is the system based on; a good premise goes along way. You could have a system with a lot of trades but not a good premise and you’re in trouble. I once had a client who made a lot of ...