Traders' Roundtable

We currently use a hybrid of data from various sources that has been scrubbed a bit. We are working on a new joint project with another research company that is based in Eastern Europe and has a great database of company information, we will be combining this with our daily and tick data to get a un...

bbc, I don't think of this forum as a "Trend Following Forum". I think of it as a mechanical systems trading forum. If there are repeatable phenomena in the markets we can make money from, that fits here. Trend following, counter-trend, patterns, quantitative fundamentals, they all work. T...

Uh, well, Mark just pointed out that I didn't have a dimensionless measure. Oh, well that's what happens when you write a post at 4 AM. This made me realize that my formula wasn't what I was thinking when I wrote it. Basic math: R X R is not 2R, duh. I should have said: Return X Return X 0.5 Return ...

// Add the number of units already in the market to the number // in the closely correlated units correlatedUnitsTotal = numberOfUnitsInPosition + closelyCorrelatedUnits; // If the unit count is at the strongly correlated maximum then // we can't add the new unit. if ( correlatedUnitsTotal >= maxCl...

I'd like to thank Mark Johnson for his prior posts that got me thinking about this stuff. I think I ended up with a pretty important improvement to my own measures as a result. The different ways we picked to compute the S.R., sent me on a web hunt. I found Professor Sharpe's website http://www.stan...

Did you use the same number of bars in your EMA in both cases?

I find that I match/design the exit based on looking at charts. I look at enough charts for entries and then try to synthesize what would be a good way of exiting that will quickly get out of losers and that will capture the most profits. It is a very iterative approach. Simulate the trades, look at...

I've always believed that fundamentals work. I successful traders who trade based on fundamentals. This is much more true in the stock market than in futures. It's pretty hard to know enough to fundamentally price crude oil or wheat, today's poor harvest in the midwest U.S. might be offest by a bump...

The reason I ended up coding my own testing platform in C++ is that I hate to have limitations imposed on my testing. I also like to have really fast tools. I don't like to wait; I want testing to be fairly interactive, not test, wait, wait, wait, think of new test, test, wait, wait... C++ gives you...

Mark, Thanks for clarifying. I've always thought that an annual (or even three year) Sharpe Ratio makes much more sense but no one uses anything but monthly in the institutional equities and hedge fund world. The craziness of the pension fund managers never ceases to amaze me. The statistical basis ...

Mark, Something doesn't seem right. I must be using a radically different formula than you are. :? I use: (Geometric Monthly Return - Monthly Risk Free Rate) ------------------------------------------------------------ Standard Deviation of Monthly Returns Using this forumla I am off by either a fac...

Chuck, thanks for the link to the document. I ran across it before but didn't download because I was expecting it to be a piece of mindless marketing drivel. It is very well done. The other issues associated with stocks that won't be obvious to futures traders relate to what happens to companies' as...

Our research indicates a 270 day strength filter is very effective for filtering stocks that will be traded using a breakout-based trend-following approach like the Turtle System. The formula for the one I tested was: (current close - close 270 days ago) / ATR 270 days ago This is computed for each ...

Geometric Mean Return % 41.50% Maximum Open Equity Drawdown % 26.50% MAR Ratio 1.57 Sharpe Ratio 0.31 Sortino Ratio 0.71 Calmar Ratio 2.12 Maximum Monthly Open Equity Drawdown % 19.53% Maximum Closed Trade Drawdown % 18.94% Average Closed Trade Drawdown % 5.31% The Sharpe and Sortino Ratios use the...

The test was run with a mix of short-term System One and long-term System Two. The exact parameter values differ from the rules but they are pretty close in most respects. I don't consider a system as a static set of parameters like 20/10 or 55/20 but more of a concept that can work across many diff...

I'm surprised you didn't get a response earlier. Perhaps it's because this question is so hard to answer with a short response. I'll address one aspect of your question: curve fitting and over optimization. There are two separate and distinct dangers here: Curve-Fitting - this is optimization to the...

Hmmm, a very interesting discussion so far. The answer is, of course: run the test and find out. No theorizing necessary. Music to my empiricist ears... But first, back to the theory... From my point of view, diversification serves to smooth the equity curve and improve risk-adjusted returns in two ...

I just wanted to step in for a minute and say that I know that discussions in the past on various forums have degenerated at times when people who have various commercial interests have had discussions, or there have been discussions about them by others. I really want this forum to discuss these so...

Gerry, I forgot I should think like a programmer, not a human. :wink: I don't know what could have got into me to assume that if they had such support it would be available from the "Tools > Chart Display Options" menu rather than the "Indicator Tab > Edit" menu. :P Many thanks, ...

Gerry, yes, but then I have green bars on white which doesn't give me enough contrast.