Search found 1002 matches

by sluggo
Wed Oct 16, 2013 4:01 pm
Forum: Futures Markets
Topic: Optimum rates contract to hold
Replies: 2
Views: 3129

Isn't that something you could investigate by running backtests and comparing results? Build 12 different continuous contracts with 12 different rollover schedules (roll 0 month before expiry, roll 1 month before expiry, roll 2 months before expiry, ...) and squirt those continuous contracts thru so...
by sluggo
Fri Oct 04, 2013 7:14 am
Forum: Trend Indicators and Signals
Topic: Beta vs Correlation? which one is better?
Replies: 1
Views: 3073

Try them all, then use the one whose performance pleases you the most.
by sluggo
Fri Sep 27, 2013 8:27 am
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 24719

I hope you remember that Trading Blox has a feature called Monte Carlo analysis which does exactly this.
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by sluggo
Wed Sep 04, 2013 8:50 am
Forum: Testing and Simulation
Topic: Important - Know when to break the rules
Replies: 5
Views: 5036

Be sure to include a few paragraphs in your Disclosure Document which alert potential customers / investors in your Fund. You can be (will be!) sued if you deviate from the Disclosure Document and investors suffer losses. Perhaps something like, The Portfolio Manager invests the Fund's assets using ...
by sluggo
Mon Aug 26, 2013 10:48 pm
Forum: Testing and Simulation
Topic: Trading a large number of systems without a large account
Replies: 9
Views: 10960

The consensus oscillator is an indicator. It tells you whether the majority of "experts" (your ensemble of systems-to-be-monitored) are long (or short), and by how much. You trade this indicator using the simplest possible system: if((not currently long) AND (CO > +5%)) then go long if(currently lon...
by sluggo
Wed Aug 21, 2013 10:52 am
Forum: Testing and Simulation
Topic: Triple Moving Average Experience
Replies: 36
Views: 27749

Possibly helpful: viewtopic.php?t=8606
by sluggo
Fri Aug 02, 2013 8:46 am
Forum: Futures Markets
Topic: Any futures Markets related to Currency JPY (Yen)?
Replies: 1
Views: 2561

Search for "yen" in this table. Commodity #625 is one example.
by sluggo
Fri Jul 26, 2013 12:34 pm
Forum: Money Management
Topic: Breakeven Stops
Replies: 3
Views: 4316

Suppose we call your current trading strategy "A". Suppose your programmer coded up two variations: "B" which moves the stop up to breakeven after 3 days, and "C" which moves the stop up to breakeven after 3000 days, i.e., never. Suppose you used 1/3rd of your capital to trade "A", another 1/3rd of ...
by sluggo
Thu Jun 20, 2013 7:35 pm
Forum: Futures Markets
Topic: London Metals Exchange
Replies: 23
Views: 23094

I think you have to call CSI and have them enable your account to download LME metals prices; I think this costs extra money. I tried a simple Google search, here is what I found
by sluggo
Sat Jun 15, 2013 8:18 pm
Forum: Testing and Simulation
Topic: Seasonality
Replies: 4
Views: 3617

Sell in May and go away. (link)
by sluggo
Thu Jun 06, 2013 1:45 pm
Forum: Trend Indicators and Signals
Topic: What is the shortest period of M.A. to be used?
Replies: 1
Views: 2621

Lots of people run backtest simulations and make 2D or 3D plots to help them choose system parameters. On a 2D plot they'd put (moving average #days) on the horizontal axis, and (Kestner K-Ratio) on the vertical axis. Or whatever "measure of goodness" they prefer instead of K-Ratio. Some people pick...
by sluggo
Thu May 16, 2013 9:07 am
Forum: Market Psychology
Topic: Myers-Briggs Test for Systematic & Quantitative Traders
Replies: 1
Views: 5221

The good old Search function comes to the rescue! Again!
by sluggo
Thu May 09, 2013 10:00 am
Forum: Stocks
Topic: "Active Share" indicator predicts MF performance
Replies: 0
Views: 11633

"Active Share" indicator predicts MF performance

An academic paper by Cremers and Petajisto (link) has an intriguing Abstract: We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. We compute Active Share for domestic equity mutual fu...
by sluggo
Wed May 08, 2013 4:21 pm
Forum: Futures Markets
Topic: Why buys EUR/AUD to pay interest for holding them overnight?
Replies: 1
Views: 2353

It sounds like you may be talking about Forex rather than Futures Markets. Buyers and sellers of EUR/AUD futures contracts don't pay or receive overnight interest. Check out the contract description and contract specifications at the exchanges where these futures contracts trade: (link to EUR/AUD fu...
by sluggo
Sat Apr 06, 2013 1:07 pm
Forum: Money Management
Topic: Any difference for position sizing on Trend and Range market
Replies: 3
Views: 3909

I suggest it is useful to separate the "trend market" trading rules, from the "range market" trading rules. I suggest it is useful to treat these as two completely independent trading systems with completely independent entries, exits, and position sizing. Then experiment with both systems. Try each...
by sluggo
Tue Apr 02, 2013 4:12 pm
Forum: Testing and Simulation
Topic: Trend Following: Profitable Reality or an Illusion doomed to
Replies: 28
Views: 24719

But of course you know how to design, and test, and trade, "multi-threaded" trading strategies if you so choose. The capability has been built into Trading Blox literally from day one, when we had the not_yet_programmable predecessor software release called Veritrader. These "multi-threaded" trading...
by sluggo
Sun Mar 31, 2013 11:02 pm
Forum: Money Management
Topic: How many positions should I purchase in this case?
Replies: 5
Views: 4045

think of five or ten different "increase size after a price retracement" rules
by sluggo
Sun Mar 31, 2013 3:42 pm
Forum: Money Management
Topic: How many positions should I purchase in this case?
Replies: 5
Views: 4045

You could call this your "increase size after a price retracement" rule. One possibility is to think of five or ten different "increase size after a price retracement" rules. Write them down, and test each one of these rules against historical price data using software like Trading Blox. Then you wo...
by sluggo
Thu Feb 28, 2013 9:25 am
Forum: Trend Indicators and Signals
Topic: Indicators that are scaled in the range 0 to 1
Replies: 3
Views: 3577

The Consensus Oscillator (discussed HERE) is scaled in the range

-100% <= ConsensusOsc <= +100%

You could shift it to the range (0,1) by adding 100% and then dividing by 200%.
by sluggo
Tue Feb 05, 2013 10:14 am
Forum: Futures Markets
Topic: Trendiness Indicator
Replies: 3
Views: 4796

Funny that Y2000 (12/31/1999 to 12/31/2000) is so quiet on that graph; it was one of my best years for real-life, real-money LTTF system trading. A quick lookup shows that well known, publicly confessed trendfollowers Dunn, Eckhardt, Tactical, Quicksilver, and Winton all had great years in 2000 as w...