Search found 1002 matches

by sluggo
Fri Jun 22, 2012 8:37 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 11115

A quick search on the Trader's Roundtable found this image, in the "Blox Marketplace" section.
(I added the Red annotations myself, for this reply. They weren't in the original).

Image
by sluggo
Sat Jun 09, 2012 10:24 am
Forum: Testing and Simulation
Topic: When do you roll over ?
Replies: 5
Views: 3245

... when it comes to the actual roll, the target will be the desired spread based on the defined roll strategy, but you can still play with the spread trades since you generally have time to work it. Many people can make money on these roll spread trades, and reduce the system slippage over time .....
by sluggo
Fri Jun 08, 2012 9:28 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 26906

... all good advice, however it is mostly applicable to those with deep pockets who are able to afford this type of diversification ... ... For those that cannot do this, the question still remains ... Here is one way to simultaneously trade numerous different timeframes without having deep pockets...
by sluggo
Sat Jun 02, 2012 8:47 pm
Forum: Futures Markets
Topic: RF contract and Swiss Bank intervention
Replies: 2
Views: 2484

Sometimes I do a Test Trade just to be sure. http://www.tradingblox.com/forum/viewtopic.php?p=20189&highlight=insurance#20189 You could check the downloadable spreadsheet from CMEgroup (see arrow) for further confirmation. Notice that some quote vendors use different symbols for OpenOutcry, Globex, ...
by sluggo
Wed May 30, 2012 8:51 am
Forum: Testing and Simulation
Topic: How many years in back testing?
Replies: 3
Views: 2369

by sluggo
Tue May 29, 2012 8:43 pm
Forum: Testing and Simulation
Topic: Blood on the streets...
Replies: 25
Views: 12834

Don't forget that in futures, every long has got a counterparty who is short. Thus it is impossible for everybody to have the same position. Thus it is impossible for the correlation between every pair of trader's positions to equal +1. By definition, half of the positions are long and the other hal...
by sluggo
Tue May 01, 2012 7:15 pm
Forum: Trend Indicators and Signals
Topic: Signal or gap slippage
Replies: 3
Views: 3979

How often does this kind of enormous gap occur in past history? Does it occur often enough that you would feel comfortable and confident to trade based on a "tolerance" value that was derived from backtests? You could run a set of backtests with stepped parameter values, varying the numerical defini...
by sluggo
Mon Apr 23, 2012 7:07 pm
Forum: Testing and Simulation
Topic: Testing Methods of Ranking Opportunities
Replies: 4
Views: 2818

It seems to me that if careful study and exhaustive experimentation has thoroughly convinced you that no algorithm for ranking opportunities exists, which performs better than assigning rankings by a random number generator, then this is very good news. It's good news because you can "rank" your opp...
by sluggo
Sun Apr 15, 2012 11:58 am
Forum: Futures Markets
Topic: Interest Rate contracts liquidity
Replies: 2
Views: 2403

If you know somebody who runs CSI Unfair Advantage you can ask them to do you a favor. You can ask them to make continuous futures contracts, always rolling N months before expiration, for any N you like between 0 and 12. I think UA won't go out beyond 12, though. Then you could try out some trading...
by sluggo
Thu Mar 22, 2012 8:54 pm
Forum: Testing and Simulation
Topic: Test results: 4 different entries + Random Exits
Replies: 21
Views: 29791

At the time, 2007, there was much enthusiasm for using "Original Turtle Style" calculations/definitions of "trade risk". See page 264 of WAY OF THE TURTLE for the details.

Or, alternatively, see "Stop Placement" (internal page number 24; adobe page number 28 ... :-) ) of document below.
by sluggo
Thu Mar 15, 2012 1:08 pm
Forum: Money Management
Topic: When To Start Your System?
Replies: 28
Views: 18802

Suppose someone else had started trading your exact system(s) and your exact portfolio(s), three years ago. Also suppose they had started with a small amount of capital and, after three years of trading, had grown it nicely. Further suppose their total account equity today is exactly equal to the a...
by sluggo
Thu Mar 15, 2012 9:50 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 12161

I intend to trend trade with an insignificant portion of my funds... So then why even bother with it? I greatly enjoyed The Zurich Axioms by Max Gunther. Despite the breathless "shhh, this is a secret" writing style, I thought it contained several ideas of substance. The very first chapter says AXI...
by sluggo
Thu Mar 15, 2012 9:40 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 8169

This is what I'm using for risk: estimated_risk = 3.0 * MAX(myATR, (5.0 * instrument.minimumTick)) ncars = riskPerTrade * system.totalEquity / (estimated_risk * instrument.BigPointValue) order.setQuantity(ncars) No doubt you can come up with many different possibilities to "create" an initial exit ...
by sluggo
Mon Mar 12, 2012 6:53 pm
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 8169

At least one of the presupplied systems that ships with Trading Blox software, exhibits the same behavior. See figure below.

If anybody is really interested, I suppose they can try all eleven presupplied systems, one by one, to find out which of them behave this way.
by sluggo
Tue Mar 06, 2012 10:12 am
Forum: Testing and Simulation
Topic: annual profit target
Replies: 16
Views: 7766

I guess if somebody really wanted to, they could perform some what-if experiments on past history. They could cobble together a suite of mechanical trading systems, create the little auxiliary blok described below, and then do some backtests on historical data. They could run backtests with the blok...
by sluggo
Mon Mar 05, 2012 4:50 pm
Forum: Futures Markets
Topic: CSI Symbol for DOW JONES-UBS COMMODITY INDEX
Replies: 2
Views: 3584

I followed your link, selected the English language setting (sorry), and then viewed the "Statistics" page. Results below.

Open Interest appears to be low and Volume appears to be Very Low. Maybe CSI is waiting for trading activity to increase before they start supplying the data?
by sluggo
Thu Mar 01, 2012 8:58 pm
Forum: Stocks
Topic: GICS Global Sector Database Availability?
Replies: 3
Views: 4981

I think you will first need to decide what you actually mean by "global stocks". Which parts of the globe are you happy to ignore? In particular, which stock exchanges are you happy to ignore? As a futures trader, I happily ignore the exchanges in Israel, Turkey, Brazil, Hungary, Egypt, and scads of...
by sluggo
Thu Mar 01, 2012 2:53 pm
Forum: Testing and Simulation
Topic: A practical question about coding the Donchian Trend system
Replies: 4
Views: 2825

Since the Donchian system is one of the presupplied trading systems that comes for free when you buy Trading Blox software, it is discussed in the Trading Blox User's Guide (section 11.10). You could download the TBUG from the Trading Blox sales website and have a look. You may also want to research...
by sluggo
Wed Feb 29, 2012 10:16 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 9287

Everyone who gives a rat's ass, has already guessed.
by sluggo
Tue Feb 28, 2012 11:54 am
Forum: Futures Markets
Topic: Finessing MOO orders
Replies: 5
Views: 3318

If you split your order in half, executed half at market on open, and executed the other half using some kind of slippage_reduction finesse, then You would be able to precisely measure the benefit of your slippage_reduction; the MOO half serves as a benchmark, an experimental control; You would cut ...