Search found 34 matches
- Fri Nov 12, 2010 3:19 pm
- Forum: Market Psychology
- Topic: Email that I received today
- Replies: 10
- Views: 14270
I agree with sentiments here that there is no reason to veer off the automated track. However, as I have brought up on these forums before, this does present an interesting talking point for US citizens: How do you trade and clear through non-western banks/clearing firms should we see an actual syst...
- Thu Nov 11, 2010 4:19 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13112
- Wed Nov 10, 2010 1:37 pm
- Forum: Testing and Simulation
- Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
- Replies: 14
- Views: 13112
I think bobsyd sort of hints at an interesting question. Assuming you have limited capital initially, is it better to diversify multiple systems across a narrower set of instruments, or is better to diversify a broad set of instruments across a system or few? This question has implications on all of...
- Mon Nov 08, 2010 4:27 pm
- Forum: Trader Psychology
- Topic: I decided to override the system today
- Replies: 13
- Views: 17320
We're going to have to start calling him the executioner. That is a lot fills to deal with 262 days a year. I'm only doing around 150-200 round trips a year, although I'm certainly not trading nearly the same amount of capital or diverse set of systems (yet). Sluggo this is starting to sound like a ...
- Wed Nov 03, 2010 9:43 pm
- Forum: Trader Psychology
- Topic: I decided to override the system today
- Replies: 13
- Views: 17320
Re: I decided to override the system today
Bad Sluggo, Bad!
(Sorry I couldn't resist)
(Sorry I couldn't resist)
sluggo wrote:
... but, I decided, not this time. Having scaled out a few times already, I'm down to one contract of Cotton. And I decided to exit that little booger today (26 Oct), in violation of the rules.
]
- Thu Sep 30, 2010 5:49 pm
- Forum: Testing and Simulation
- Topic: Measuring your correlation to professional futures traders
- Replies: 56
- Views: 37361
This has to be one of the hall of fame threads for this board. I'm sorry I can't add more value as I am still soaking it all in, but thank you all for your contributions and especially sluggo for lighting this candle. Oh and by the way it is posts within this thread that make me glad I am not runnin...
- Tue Aug 17, 2010 7:50 pm
- Forum: Testing and Simulation
- Topic: Any successful Factor-based system for futures?
- Replies: 0
- Views: 2630
I'm curious if anyone has built a factor-based approach with some success on the futures side of the business. Then say carry the top X liquid instruments and rebalance as needed. Then just do an asset allocation to it as an asset class rather than a long/short technical approach across multiple sys...
- Wed Aug 11, 2010 4:05 pm
- Forum: Testing and Simulation
- Topic: System Longevity
- Replies: 22
- Views: 13722
My perspective is absolutely not, that is a 3 (trading logic) parameter system. You must have a down day (#1, an entry filter), and then you have an offset (#2 buy stop at the high), and then you are closing the position under different circumstances than you opened it (#3). A single (trading logic)...
- Tue Aug 10, 2010 2:22 pm
- Forum: Testing and Simulation
- Topic: System Longevity
- Replies: 22
- Views: 13722
Hi Altomas, I would first like to say, welcome! Now you are really jumping into the fire here with these sorts of interesting questions. You may find that I am usually in the middle of the fire with a bunch of dry tinder and a decent bit of hot air when it comes to parameter/curve fitting discussion...
- Sun Aug 08, 2010 8:50 pm
- Forum: Testing and Simulation
- Topic: ETF's
- Replies: 19
- Views: 13128
- Fri Aug 06, 2010 1:10 pm
- Forum: Testing and Simulation
- Topic: ETF's
- Replies: 19
- Views: 13128
In terms of people to look up to etc, I think to idolize man is to idolize a beautifully defective being. Since I'm not particularly inclined to religion, I like to look to the natural world in general for inspiration. At any rate I don't have any empirical data for you regarding stock market perfor...
- Thu Aug 05, 2010 1:54 pm
- Forum: Testing and Simulation
- Topic: ETF's
- Replies: 19
- Views: 13128
In terms of credit risk, please remember some of the firms that went up in smoke were around since long before CFDs were even invented (think Great Depression and earlier). In terms of GS, well, you know how it is Chris. The biggest scoundrels are loved on Wall Street and the City of London as long ...
- Wed Aug 04, 2010 5:54 pm
- Forum: Testing and Simulation
- Topic: ETF's
- Replies: 19
- Views: 13128
Holy cats this thread exploded out of left field. It is almost a black swan event for this forum given number of posts over the given time frame. At any rate I would say one huge driver of spread betting in say, the UK, compared to the U.S. is the tax treatment! I won't start on my tax rant but let ...
- Thu Jul 29, 2010 3:30 pm
- Forum: Testing and Simulation
- Topic: System blow up
- Replies: 4
- Views: 3597
Caution does seem to be the best option. This is so true. It is like picking apples from a mutant, super elevated apple tree with a fixed ladder. How far out do you want to lean? Do you want to get out on that rather thin looking branch to get the most apples possible? The problem is as traders we ...
- Wed Jul 28, 2010 7:20 pm
- Forum: Testing and Simulation
- Topic: System blow up
- Replies: 4
- Views: 3597
- Thu Jul 08, 2010 5:47 pm
- Forum: Testing and Simulation
- Topic: OCO+GTC
- Replies: 7
- Views: 5400
- Wed Jul 07, 2010 1:07 pm
- Forum: Testing and Simulation
- Topic: OCO+GTC
- Replies: 7
- Views: 5400
- Tue Jul 06, 2010 5:42 pm
- Forum: Testing and Simulation
- Topic: OCO+GTC
- Replies: 7
- Views: 5400
Hopefully I can be of some help on this topic with some google-fu: http://www.bigmiketrading.com/platforms-indicators/3717-server-side-synthetic-orders-oco-trailing-stops.html It seems Interactive Brokers, TD Ameritrade, and perhaps Strategy Runner will do it as well. On another note in reference to...
- Mon Jun 14, 2010 3:19 pm
- Forum: Testing and Simulation
- Topic: Frontiers of Peak Sharpe Ratio: data visualization technique
- Replies: 1
- Views: 4240
Thank you for sharing Mark. This also leads to an interesting rabbit hole regarding markets with limited liquidity (given a trader's capital allocation). It may be interesting to allocate the high slippage strategy to a less liquid portfolio of instruments, the medium slippage to somewhat liquid ins...
- Thu Jun 03, 2010 8:07 pm
- Forum: Testing and Simulation
- Topic: CURVE FIT OR GENIUS?
- Replies: 15
- Views: 10305
I don't mean to speak for sluggo but I'm not sure you will see him much more on this thread, he tends to offer (valuable) bits of wisdom and doesn't seem to like to wrestle in the mud too much unless there is some new aspect that is brought to light. I'm afraid I haven't reached that level of zen ye...