Traders' Roundtable

What a great delight to see some activity here. Pity the market is not more conducive to celebration. As most of you have seen, Winton has greatly cut back on TF and is not recommending it to clients.

I have been marginally active, from time to time on the Quantopian platform but it is a ...

The exit strategy and position sizing strategy are vastly more important than the entry strategy. If a market is going to trend for the next 14 months, just about any trendfollowing entry strategy will get a signal very early on. The key then of course is what initial and ongoing exit rules are ...

I've always taken that statement in a very simple form. He's saying that if there is going to be a large move in a market (many, many multiples of ATR from the entry), he wants to ensure he is in that movement. Again, he's looking at daily or weekly data "trends" that for such moves oftentimes can ...

Given that market liquidity is generally at/near all-time lows, none of this is surprising. It's truly amazing actually to witness the decay/decline of even the most liquid markets in the world in the past 12 months which so far hasn't abated at all. When top-of-book liquidity in S&P futures only ...

Zoopy12,

Before you put a system into production, you should have already created a map of expectation ranges for various aspects of the system results (i.e. R-multiples to expect, frequency of trades, average and median length and R-multiple of losing trades, same for winning trades, etc, etc,etc ...

One other (of the many) aspect of portfolio heat is the consideration of scaling out (reducing open risk), using individual asset risk percentage of the total portfolio, during the progress of the current bar. For example, consider that you can calculate tomorrow's (next bar's) exit (stop) location ...

It's been 10 years since my post in this thread, but you may want to hunt down that book I mentioned on the LME. It will most likely convince you to stick with other markets if nothing has changed since then.

That's fantastic news!

I wonder what 'Slick Willy' would have said re: these Essentials? :lol:

Remember? He had his own Essentials:

1) Vigorously deny the allegation.
2) Launch a brutal counter-attack against your opponent (i.e. vast right-wing conspiracy).
3) Then change the subject (i.e. this is where you rise to a ...

Link didn't work for non-subscribers, but the way to get it is to highlight/copy the title, Google search it, then click the first link in Google. For whatever reason, WSJ allows Google to index its pay site -- works great for those who want to read articles there.

In a way we all live in a land of make believe. :wink: When you think about it a bit and distill it all down, EVERYTHING we believe in, expect to happen, know is the truth, etc, is all simply beliefs we have adopted, either consciously but mostly unconsciously through our life's experiences.

The ...

Your thoughts on using as much data as possible are also something I have given much thought to. Makes me wonder if one could have millions of data points, and stick to a single system that works across all of it... are you condemning yourself to using something that works "on average" across all ...

Hey, yeah, I've received 80% back on two accounts, so those are still in their Corzine imposed 20% drawdown, and I'm thinking we're not getting back much more, but time will tell I guess. It took long enough to get to this level. One account that was 100% US seg had received back 80% level about two ...

Hey Cymond. Agree, the markets have changed but what has changed more is the notion of trust - used to be that you could trust your broker and their FCM, in fact the whole business was essentially founded on trust. Corzine and Wassendorf have done all they can to destroy that concept. I guess that ...

Mark,

No doubt the character of a market changes once it goes electronic, but I'm not sure I would discount prior period data too much just because of that change. In reality, we all need a few thousand years of market data to even get close to some great realization of long term trendfollowing in ...

AFJ/Chuck - great points, and it makes me wonder... say things have not changed but are just this way for (let's say for sake of argument) 15 years then revert back to "normal". Why is a 15-year time span where things aren't the same considered an exception? For many, that is almost 1/2 or more of ...

I have no answers or great insight other than all the others excellent comments and insights on this same subject (TF) over the past year or so, but we do know one thing is profoundly "different" than anytime in our lifetimes: the rate of change of total credit growth. If you just look at the US ...

They seem to have had a difference of opinion on the role of professional psychologists in the "process" as Ed calls it.


They did a seminar together way back in the early days, and disagreements related to what each understood their agreement to be resulted in the split. That seminar grew into ...

Adding to those good comments just now...

I'll present the Chuck B corollary: the easier it is to follow a system, the more likely it is a long-term negative expectation system. [/b]

One example would be a system that profits from selling short option premiums, even with a well-designed attempt to ...

I feel IF a System is Good - trader will have no problem in following it..Only when system is not good enough this problem arises

Are you saying this based on experience, or expectation? Many good traders report that they have trouble following their system. Many trading books talk about the same ...