Traders' Roundtable

In UA, there is an option to "Adjust volume for dividends and capital gains." UA support staff say that this option "supposedly illustrates the impact of dividends and capital gains on daily trading volume." They say it is calculated by dividing the dividends into the Volume. v =...

Thank you for your help. I am interested in reviewing the entire stock universe each day. Right now, there's a total of 6,500 U.S. issues outstanding, so it appears there's plenty of room to download each evening.

I'm considering purchasing CSI's Gold package for stocks. However, I'm not entirely sure I understand how CSI's rule that a maximum of 10,000 stocks, mutual funds, and indexes can be processed per day is applied. I have spoken with CSI, but did not yet receive a satisfactory answer. CSI said "y...

CSI's raw contract data sometimes shows the close outside of the high-low range. The CSI sample futures portfolio that comes with TB addresses this by adjusting the high or low to the close. My question is: do you think this is the best fix, since the adjusted high or low would not have occurred dur...

Per AFJ's comments, here is the strategy used by Rosetta Capital Management, one of the components of IASG's Discretionary Index: "The Program offered by RCM utilizes a technical system of trading that focuses on short and medium term price data in search of repetitive patterns that reflect tre...

Hahahahahaha! Wow

Did a quick-and-dirty analysis of historical market participation for 14 different markets. Attached is an animation that includes all the charts. Each chart is displayed for 20 seconds. Also attached are the Coefficient of Determination (R-squared) values for linear and exponential regressions for ...

I need to drill down to market behavior for the past 50 years. Since I don't have any futures trading experience, this is pivotal. That will help me answer your first question at least and may give me insight into the viability of an adaptable system.

As sluggo reminded me it's a individual story given the system and portfolio traded. However, for anyone researching a LTTF system without dynamic portfolio selection, dynamic risk modification, and other enhancements, they probably encounter similar historical performance. I found a free GIF animat...

Here is another illuminating graphic for the same system, trading the same portfolio. The animation depicts over time the change in the R3 statistic (y-axis) for Average Close (in days) parameter values between 120 and 510 (x-axis). I conducted each test on 25 years of data beginning in 1960 and ste...

Yeah, that would be a much more accurate title.

This probably isn't new to many of you, but I'd thought I'd share nonetheless. The following study uses historical performance data beginning in 1960 for a Bollinger Band Breakout system trading the standard "All Liquid" portfolio. Starting equity = $2M and max portfolio risk = 50%. No bel...

As usual, nothing is as cut-and-dry as I originally surmised. I am looking forward to receiving Futures 101 in the mail. I asked this question because I am building software to create continuous contracts and wonder if it is realistic to start the next contract the day after the expiration date of t...

If the expiration date of an individual contract is 3/12/12, can I roll over the following morning on 3/13/12? I am guessing the answer is "no," but I wanted to confirm.

Thanks!

Could you expound on that a little squaredQ? What knowledge do you think there is to gain in understanding the CLT as it relates to trading?

Seykota is constantly suggesting to look at oneself, because you are an essential part of your trading system. Specifically, he says to feel your feelings fully without manipulating them as a means to dissolve drama that interferes with following a system perfectly. IMO, self-cultivation is key to b...

Wow, this Khan Academy website is a goldmine. Thanks D. So, just because the means and sums of independent random variables converge to a normal distribution, this doesn't vindicate the use of statistics that rely on a normal distribution for a raw distribution that is non-normal, right? If I was tr...

Your comments raise a few questions for me. What do you mean by the "sum" of independent random variables? Is the central limit theorem saying that any independent random variable will tend toward a normal distribution as N grows larger? Thanks for the PDF, but unfortunately I understood v...

A friend loaned me the book Black Swan by Taleb. It reinforces that the risk in markets is much greater than a normal distribution would suggest. I did some research to verify this myself. Using IBM daily close prices from 1962 - 2012 from Yahoo! Finance, I first plotted percentage price changes in ...

As expected, the contracts that use "vi" have lower levels of volume and open interest as compared to those that use "VI." Continuous contracts that use "vi" show a radical decrease in v and i around expiration, which to me seems to best mimic real trading experience.