Traders' Roundtable

Has anyone here varied position size on index futures based on the combination of volatility and trend?

I'm thinking larger in uptrends when volatility is low, and a different set of rules when there is a downtrend.

Any reports?

Usually, as long as people believe or hope it'll soon get better, it's not over. It only get's better, when none are left with optimism. Then they ring the bell ... or don't they? :wink: Regards, Asamat SOMEBODY always has optimism at the bottom. You know how I KNOW this? Because there was a tick t...

ICE approached the Frank Russell company, opened their checkbook, and asked "How much would it cost us to buy an EXCLUSIVE license to list futures contracts on your Russell 1000 (largecap), Russell 2000 (smallcap, i.e. "ER2"), and Russell 3000 (universe) stock indexes?" Russell ...

Try also: * the AAII and their computerized investing data; it lacks on the technicals but has a wealth of fundamental data. * Keelix.com uses AAII data going back 11 years (in different evaluation intervals) for fundamental testing * the Motley Fool has a mechanical investing forum, and their membe...

It sounds like a system based on EOD (end of day) data and transactions at the open. The difference between the signaling close and subsequent open is "slippage" and quite possibly should have been a parameter in your testing .... Trend-following and breakout systems have reason to believe...

Your best bet is to go slow and do it yourself. Start with simple moving averages, then exponential, then build the PPO with the definitions given at the site.

If you do it yourself, you'll remember it, you'll understand it, and you'll be able to apply it better.

Look here for some definitions, including that for the PPO. You can create it on a spreadsheet. http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators Add columns for PPOs with different parameters of long and short moving averages. Examine the average return when different rang...

I've been informed it's in India. Cool. It looks like most stock indices in terms of trend-following; intermediate-strength trends follow through, very strong trends (think percentage-based moving average convergence/divergence or PPO) tend to mean-revert, and there's a slight upward bias. If I were...

I would like more information on what the data IS. What's the NIFTY, what exchange is it traded on, what does it track?

Is it the French CAC 40? Price looks about right, but I don't usually follow it ...

Could it be as simple as BET SIZE?

Smaller size will smooth out a curve ...

Don't underestimate the power of randomness. Perform the following Monte Carlo in your spreadsheet of choice. Pick an odds of winning (P), a bet size (R), and a payoff ratio of wins to losses (WL). Maybe P = 35%, R = 1%, and WL = 2:1. This is a positive expectancy system, winning 2% on wins and losi...

The three advantages of the futures contracts are (1) leverage, (2) low transaction expense, and (3) leverage. With those three advantages, applied across a lot of markets simultaneously, it's a lot easier to make simple trend-following systems work than it is without them. Your filters for which ma...

One system is still long the ETF, SLV, from an early February entry. The next time stop/re-evaluation is two weeks from today.

How much money does your system require, at a minimum, in order to trade it as tested? Don't tell me! Just think about that number. Now think about how you'd FEEL if you started trading it today, and by the end of 2008 you had LOST 2/3 OF IT! Would that stop you from continuing to trade the system? ...

I can think of a reason: signal to noise ratio can be higher with less frequent updates. I've seen the same thing happen with tracking stocks' relations to a single moving average or to their 52-week high -- sometimes if you check every day, or intraday, you'll see lots of conflicting signals, but t...

Check my first reply, I pointed you towards those who I believe have the best day-trading or very-short-term trading ideas. You may be able to codify a system from their material. I post my trading ideas and returns regularly on my blog. You can read it and my archives and decide for yourself if I'm...

Great response. Fascinating story. Good thread. It seems that there existed, at least once in time, at least one system that worked and was sold. Which disproves (as only one counterexample is needed for a disproof) the hypotheses that "if it were any good they wouldn't sell it." Now, the ...

Also from the Trading Blox home page: We have three great products for the needs of every trader: 1) Trading Bloxâ„¢ Turtle -- an excellent starting platform. Includes three great systems (Turtle, Triple Moving Average, and Donchian), plus all the bells and whistles of our high end backtesting and o...

Your question was, "If the system is so good why would they sell it?" There's only ONE obvious answer to that. Think in terms of conditional probability, we have an assumption that the system is "good" imbedded in the question. There's no other reason to sell a good system, other...

Many people in the "trading" business are willing to sell you their trading system. This begs the obvious question, if the system is so good why would they sell it? And the obvious answer is "to diversify their income stream." Just as trend-trading in 20, 30, or 50 market simult...