Traders' Roundtable

SC, the All Liquid portfolio (filename All Liquid.set) was prepackaged with the beta software, not the full release Veritrader. Fortunately it draws upon the same market data that is shipped with regular non-beta software, so anyone can experiment with it if they like. The composition of the All Liq...

If you're thinking about trading real money , you may wish to think about testing with real data . For example, if your experiments have been with the Veritrader-presupplied Forex data, you may wish to become a customer of a Forex data seller and purchase the Forex data that you'll actually be tradi...

I think your equation is incorrect. It has you increasing from one lot to two lots when the account equity is greater than delta. But that is clearly opposite to every F.R. example in Jones's book and articles. I think you have totally omitted a variable which I will call "B", the Beginnin...

There is a great deal more to test than just the difference between non adjusted and adjusted contracts. Endless hours of fun. Very well said! I agree completely. Searching around on the Roundtable unearthed the following message, in which somebody has already done the first half of an experiment (...

A trendfollowing system called Pretty Good Oscillator (abbreviated PGO) was implemented in Excel and posted as an attachment on this Roundtable website. Maybe the Search page can find it. Who knows whether it will be profitable on your equities test? Perhaps it won't be. But at least it is free.

More on ACD viewtopic.php?t=449&highlight=acd

Nope. I learned that expression during a four-year imprisonment in a torture chamber called "the University". The expression recurs with bone-numbing regularity in the miserable chatter among the swamp dwellers of academe: http://www.ddj.com/documents/s=1117/ddj0403o/ http://penguin.ewu.ed...

The following sentence is incorrect:

If there is a 36% chance we are stopped out, we need to make bets 1 / (1 - 0.36) = 1.56x as large just to maintain the same average exposure.

The proof is left as an exercise for the reader.

That's because you're looking at the Chicago Board of Trade contract, CSI commodity number 930. hyperlink: CBOT to launch Bund Futures on April 23, 2004 The DTB/EUREX Bund contract, on the other hand, goes back much farther. It is CSI commodity number 552. On my CSI setup the first day of data is 23...

Suppose you have three systems (S1, S2, S3) that each trade three markets (Ma, Mb, Mc). Your approach creates twelve new optimizable parameters (p1 thru p12) that are the weights of the individual markets within the systems, and the weights of the systems themselves: System S1 trades (p1*Ma) and (p2...

Here is a profitable long term trendfollowing system that trades stock indexes ONLY, using moving averages

viewtopic.php?p=13597&highlight=#13597

My guess is, the system performs pretty well on other futures markets too

Whereas if you had invested according to the "buy and hold" principle, purchasing in June 2003 and holding until today, If you bought the S&P 500 tracking stock ("SPY"), your gain would be +25.9% If you bought the Nasdaq 100 tracking stock ("QQQQ"), your gain would ...

The situation is even more complicated than you describe. Your mechanical trading system might present those five new trades that you mention, using Stop orders (or Limit orders). For example the Original Turtle System would definitely present you the new trades using Stop orders. Your computer soft...

Paul Wilmott didn't think "cointegration" was important enough to include in his book http://www.amazon.com/exec/obidos/tg/detail/-/0471498629/ Cointegration seems to be a binary indicator: a vector of time series are cointegrated, or they aren't. It doesn't sound all that useful to me but...

I take a look at different rollover "triggers" and inevitably they produce different backtest results. In some cases/markets the differences are small and it's easy to conclude that it doesn't matter what rollover trigger you choose, they're all pretty much the same. Other times the differ...

They were "invented" and popularized by John Sweeney, who writes a column for Technical Analysis of Stocks and Commodities magazine. Sweeney wrote a book about MAE/MFE, the same book that Chuck B. (post on Oct 9, 2003) thinks is so ridiculous. Amazon has it new for $34 and used for $26: ht...

c.f.'s definition of "parameter sensitivity" perfectly coincides with the mathematical definition of partial derivatives as used in calculus. If you wish to compute the parameter sensitivities yourself, it'd be natural to perform ordinary garden variety numerical differentiation. Assuming ...

For those who've studied calculus, "parameter sensitivity" = "partial derivative".

System Writer Plus and Tradestation (both from Omega Research) actually compiled the user's "Easy Language" into machine code. All it took was an embedded Pascal compiler with the EL extensions and libraries. Fortunately, Pascal compilers were available for free, thanks to UCSD. Any of Ome...

Someone named "levi" has posted the same query to Van Tharp's board and has developed a fast friendship / greenhorn-to-expert-worshipful-relationship with Paul "PMK". A couple weeks ago "levi" requested similar assistance and received pointers to free, public-domain sys...