Search found 147 matches

by Chuck B
Tue Apr 24, 2012 8:18 pm
Forum: Testing and Simulation
Topic: Stop order execution
Replies: 4
Views: 2035

Stop order execution

Ok, I admit it, I've been trading way too long. 30 years or so in stocks, 22, 23 years in futures. I've not traded (seriously) in stocks for the past 8-9 years or so, only longer term trades, some held for years, some not. I've always used stops, and until today, never came across an issue with a st...
by Chuck B
Wed Mar 14, 2012 10:51 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 7519

My point about having no means to define the risk at entry was in regard to this specific case where the OP is trying to evaluate a system and seeing strange results. No doubt you can come up with many different possibilities to "create" an initial exit to apply to each entry as you point out. My po...
by Chuck B
Wed Mar 14, 2012 8:15 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 7519

If the exit (stop) is undefined when (before) an entry signal is triggered, then you have no means to define the risk on the trade or size the position based on that risk.
by Chuck B
Sat Feb 18, 2012 7:30 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 26444

Amazingly, I can recall having these same discussions/arguments back in ~1994 during a seminar. Eighteen years later, one can only guess at the humongous sums that have been lost chasing stuff like Sharpe ratios or "managers" or "programs." Chuck, so what would be the right thing to chase in making...
by Chuck B
Thu Feb 16, 2012 3:23 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 26444

Don't get me wrong i am not a big fun of Sharpe Ratios but i don;t think this is the way to discredit it. Hey Cytrend, I agree that what I presented is not exhaustive and conclusive "proof" discrediting the Sharpe Ratio. It was not meant to be (notice I titled it "Musings" and not "The Definitive R...
by Chuck B
Mon Feb 06, 2012 9:21 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 26444

Trading is a dangerous game and none of us are immune to its perils. My accountant told me recently of a copper trader who built up his capital to £160m and lost 40% last year. Reminds me of the story the late Ray Kelly told me years ago about an options trader on the CBOE he knew from the beginni...
by Chuck B
Mon Jan 30, 2012 8:25 am
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 26444

Past performance can be an outstanding predictor of future success! That success is however in the marketing of said fund/adviser to the latest performance chasing idiots. Suck in the new money in the largest possible quantities in the shortest amount of time possible. Of course we are just entering...
by Chuck B
Thu Dec 29, 2011 10:31 pm
Forum: Market Psychology
Topic: Is now the time to take a trading holiday?
Replies: 12
Views: 8138

Re: Is now the time to take a trading holiday?

Now, the question; What to do with my money if I choose not to trade.? Here in Oz I can get a nice boring ‘safe’ 1 year term deposit at my local friendly bank that pays interest in $AUD of around 5.5% p.a. . . . give half of that to the government in tax and the other half to inflation and I sh...
by Chuck B
Sun Dec 11, 2011 12:20 pm
Forum: Brokers
Topic: Interactive Brokers & Re-hypothecation
Replies: 19
Views: 21607

by Chuck B
Fri Dec 02, 2011 5:43 am
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 17706

STIRs are somewhat special cases since the notional value of the contracts are generally very large in comparison to its volatility (or margin). It's "easy" to ramp up a very large notional values where "normal" volatility-based risk measures would indicate a "small" risk. Indeed but what is the an...
by Chuck B
Thu Dec 01, 2011 7:28 pm
Forum: Money Management
Topic: Is Modern Portfolio Theory Dead?
Replies: 22
Views: 17706

Instead of margin to equity, I've always monitored notional value to account equity both on an instrument basis and total basis. I've always felt it gives a "potentially" better indicator of ultimate risk exposure than volatility although I use volatility to size positions and scale out to hold vola...
by Chuck B
Tue Nov 29, 2011 12:49 pm
Forum: Money Management
Topic: Preparing for the Demise of the Euro
Replies: 20
Views: 16557

In the worst case scenario, wouldn't the "value" of a Euro rapidly approach the estimated conversion ratio of say Euros to D-marks? Or Euros to (x*D-marks + y*Francs)? In other words, the Euro becomes a "when-issued" D-mark instrument? One would think a country like Germany would *have* to have some...
by Chuck B
Tue Nov 22, 2011 8:26 am
Forum: Testing and Simulation
Topic: Robustly Selecting Porfolio to Trade
Replies: 6
Views: 2727

Read this thread from the early days of the board before Trading Blox existed and bump it with a reply/question perhaps?

viewtopic.php?t=24
by Chuck B
Sun Nov 20, 2011 7:50 am
Forum: Money Management
Topic: Will Notional Funding Now Become the New Standard?
Replies: 10
Views: 8707

Using long term data, ala weekly charts, everybody here would be short the gambit of financial stocks from JPM, GS, MS, XLF, KBE, BK, what have you, and would have been short these stocks for a long time now. Just compare the whole financial industry group with the S&P...I run a trend system on the ...
by Chuck B
Thu Nov 17, 2011 8:14 am
Forum: Trader Psychology
Topic: (Timely) Larry Williams Quote
Replies: 4
Views: 4213

while I largely agree with it..... the only thing here is often this can be the final straw for some people and sometimes we need people like your friend who will give up everything for 'justice' If we all just cut our losses and did not chase these 'injustices' then I think the world would be a po...
by Chuck B
Wed Nov 16, 2011 9:31 am
Forum: Futures Markets
Topic: Which month do you trade for S&P?
Replies: 10
Views: 4499

It's hard to understand what you're asking He is asking "Why does Yahoo Finance still quote the June 2011 contract of CME E-Mini S&P futures, even today? (November 16th)? Didn't the June 2011 contract stop trading several months ago?" Yes, this is my question in my mind. Thanks you very much for yo...
by Chuck B
Wed Nov 16, 2011 8:44 am
Forum: Futures Markets
Topic: Which month do you trade for S&P?
Replies: 10
Views: 4499

It's hard to understand what you're asking, but take some time to understand the quarterly S&P futures market fully before venturing into trading it. Front month is what you always want to trade up until the roll in volume begins during end of the 2nd week of the delivery month. When the pit contrac...
by Chuck B
Mon Nov 14, 2011 10:08 am
Forum: Futures Markets
Topic: Doing business in the post MFG era
Replies: 13
Views: 5994

Getting money into a FCM is generally easy - getting it out is the problem. If anything positive comes from the MFG fiasco is that this might be improved and become standard - the technology seems to be there, but the will does not. I guess I'm just too pessimistic coupled with how this would look ...
by Chuck B
Fri Nov 04, 2011 3:04 pm
Forum: Testing and Simulation
Topic: Will somebody please do this research? / has anyone already?
Replies: 45
Views: 13835

I agree, and I don't have any specific answers about testing per se other than to try to look outside the box past data puts us all in and be really creative about dreaming up potential future paths. The more future potential paths I can accumulate, the more market maps I can dream up, the more reso...