Search found 147 matches

by Chuck B
Thu Apr 21, 2011 9:25 am
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 86995

I had originally drafted the above post for an article in a UK based wealth manager magazine which the editor had enthusiastically requested. Since he has not had the courtesy to come back to me on the article despite several follow up e-mails and a telephone message, it seems a pity to waste it so...
by Chuck B
Fri Apr 15, 2011 7:01 pm
Forum: Futures Markets
Topic: Things are correlated until they are not
Replies: 5
Views: 4085

As was posted up above, it can make profound sense to trade "highly correlated" assets with the same system (i.e. Brent and WTI). What *really* matters is how "correlated" they are (their performance) when applied to your system (which in most cases means how the individual volatility of the asset "...
by Chuck B
Fri Apr 15, 2011 6:54 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 86995

Buy and Hold based on the MSCI AC WORLD INDEX Net Standard contrasted to a simple triple moving average system and a portfolio of 22 equity index futures. 350, 80 and 25 day MAs. An off the cuff example of what can be done to improve the lot of the hapless equity investor. ...only problem being tha...
by Chuck B
Wed Dec 10, 2008 10:59 am
Forum: Futures Markets
Topic: Anyone notice the VOLATILITY INTERUPT 12/08 Eurex Schatz
Replies: 3
Views: 3083

Not surprising given the profound lack of liquidity in today's markets. The financial futures are just a glimmer of their former selves. So many participants are now gone, many gone for good, that these markets are really thin -- especially at crunch times. Wicks, spikes, Eurex fast market halts, et...
by Chuck B
Mon Jun 02, 2008 1:14 pm
Forum: Testing and Simulation
Topic: Slippage - Interesting figure
Replies: 23
Views: 17648

Re: Positive (profitable) slippage

On Friday one of my systems placed a stop order with my broker to sell August 08 crude at "the blue line", 125.09. The market traded there but my order was not filled. In theory (and in Blox), my order WAS filled. So today I placed a market order to "fix up the discrepancy", selling DRT. I got fill...
by Chuck B
Thu Apr 10, 2008 12:39 pm
Forum: Trader Psychology
Topic: This is why trendfollowing is hard
Replies: 19
Views: 20924

Whether you choose to listen to the bell or even hear it will be 100% a function of your mental state at that crazy point in time. Oh, I hear that bell. Trouble is I hear it several times before the end of the nice nice phase. If I'd opened the door every-time temptation rang, i'd have never been a...
by Chuck B
Thu Apr 10, 2008 8:06 am
Forum: Trader Psychology
Topic: This is why trendfollowing is hard
Replies: 19
Views: 20924

UPDATE TO POST Would never contemplate taking money off the table on any given trade as thats how you miss the big moves currently in a 15 % draw down as one would expect - maybe it gets worse - maybe it all goes back !! who knows and if that bothers you then don't trend follow C The point to mine ...
by Chuck B
Mon Mar 31, 2008 11:09 am
Forum: Futures Markets
Topic: World's highest volume markets that you don't trade
Replies: 2
Views: 6529

Re: World's highest volume markets that you don't trade

I'll bet a large number of Roundtable members trade #46 on this list. But how many trade #6 or #14 or #33 or #47? They might be "foreign" to you but they are a lot more liquid than some of the old familiar markets like Cotton, Soybean Oil, COMEX Gold, Canadian Dollar, and so forth. #6 -- EuroStoxx ...
by Chuck B
Tue Mar 25, 2008 10:00 am
Forum: Trader Psychology
Topic: This is why trendfollowing is hard
Replies: 19
Views: 20924

Many years back, this type of "heat" feeling is what drove Tom Basso to add some portfolio level risk management tools that he wrote about in a booklet distributed by the CME and gladly shared with anyone. I think it was the silver market that had his trend following portfolio changing by large perc...
by Chuck B
Wed Mar 19, 2008 3:04 pm
Forum: Testing and Simulation
Topic: R-Multiple Graphs Feature / Reposted
Replies: 7
Views: 4683

Sounds like it's time for a programming change to reflect real R-multiples.
by Chuck B
Wed Mar 19, 2008 2:30 pm
Forum: Testing and Simulation
Topic: R-Multiple Graphs Feature / Reposted
Replies: 7
Views: 4683

Um, Chuck, Blox is just considering each scale-out as a separate trade. Which is, at very least, symmetric with your consideration of each scale-in as a separate trade. No, it's really not. The whole concept of an R-multiple as it was created (I created the thing, so I should say my concept) was 10...
by Chuck B
Wed Mar 19, 2008 1:45 pm
Forum: Testing and Simulation
Topic: R-Multiple Graphs Feature / Reposted
Replies: 7
Views: 4683

I originally defined an R-multiple not in terms of dollars but in terms of market points. I then used risk based position sizing on those market points of risk in the R (i.e. a fixed percentage of the current account equity). Hence no matter the size of the risk in market points, the risk to the por...
by Chuck B
Mon Oct 08, 2007 9:37 am
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 18531

AFJ Garner, I agree with you, but still the original question is the validity of a change to to the R-multiple calculation because of its shortcoming. I like the concept of R and have built trading models around it but... "Wouldn't it be better to change the R-multiple calculation to take not only ...
by Chuck B
Mon Oct 08, 2007 8:48 am
Forum: Data Providers and other non testing software
Topic: Where to get accurate historical tick data?
Replies: 16
Views: 14078

I'm about to spring for the 15yr package. Data is cheap compared to the cost of being Wrong. They also have a .pdf on their scrubbing algorithm which is a good overview of some of the issues that come with high-freq data. Three years back when comparing Tickdata data versus CQG historical data (pur...
by Chuck B
Tue May 15, 2007 11:54 am
Forum: Futures Markets
Topic: Intricacies of trading currency futures
Replies: 4
Views: 4490

It sounds like a comment written more than 10 years ago imo. However, during non-US hours, the CME currency futures will be VERY thin if a big move, news shock, etc, takes place, and a stop order might need a very wide limit (i.e. stop limit order) or it might not get filled. Wide limits on stop-lim...
by Chuck B
Thu Apr 12, 2007 3:48 pm
Forum: Testing and Simulation
Topic: Trading using Random Entries (Van Tharp book method)
Replies: 20
Views: 43616

I just came across this thread -- haven't been around the board much in a long time. I was working with Tharp back in late 1993 to 1994 on trading system design issues, so I have a vague recall the details of what transpired -- after all it has been 13-14 years ago now. The software used was Trading...
by Chuck B
Mon Jan 22, 2007 6:48 pm
Forum: Testing and Simulation
Topic: Slippage - Interesting figure
Replies: 23
Views: 17648

Many markets trade inter-month spreads at a smaller tick increment than the outright, so rolling can be very tight. For example in US T-bonds: "the minimum price fluctuations shall be in multiples of one-fourth of one-thirty-second point for inter-month spreads.
by Chuck B
Tue Nov 21, 2006 3:13 pm
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 33749

There are over 100 tradable commodity markets worldwide Small accounts are able to efficiently trade markets that would be far too illiquid for large accounts (Dean Hoffman offers) a trading program that monitors and trades over 70 diversified commodity markets Why? It's not because of illiquidity;...
by Chuck B
Wed Sep 06, 2006 2:50 pm
Forum: Data Providers and other non testing software
Topic: CSI vs Pinnacle data ?
Replies: 26
Views: 22436

I used Pinnacle for many years but then stopped using it back in 1998 in favor of CSI. I am very glad I switched since I had to have a custom rollover schedule for continuous contracts. I don't know what has happened with Pinnacle since that time, but back then you could not alter the continuous con...
by Chuck B
Mon Jun 26, 2006 2:45 pm
Forum: Futures Markets
Topic: daily volume vs tick moves
Replies: 5
Views: 3945

I just remembered the mother of all limit orders I have ever seen. This was back in the spring of 2003 sometime, and it was in the Dow futures at 8218 (pretty sure that was the price). A limit order of greater than 10,000 lots total size held the market at that price for a long time (the stupid Dow ...