Traders' Roundtable

Forum Mgmnt wrote: All of the suppliers of data have significant mistakes in their information. Sometimes it is off by a factor of 10 or 100.

So what data do you use for your testing? Do you just scrub it manually?

-bbc

Great post! I never thought of rule inversion, so I will try it! I wonder if the contrapositive should always be true in system testing? I am rather sceptical on this point. While a good exit may be a fine entry, as evidenced by various stop and reverse systems, there is no compelling reason for it...

When the current contract nears expiration, when do you begin to look to roll into the next contract? Do you watch the open interest? Is there a general time frame? Two weeks from expiration? One month from expiration? Like everyone else has already said, it varies for different kinds of futures. I...

I am looking to purchase historical end of day price data on futures going back to the early 1970's. I have found one company at www.price-data.com that sells data on a CD for a reasonable price. Does anyone know of any other companies that sell end of day data on Futures? Thanks :) I bought some o...

Hi all, I am a little unclear as to why you would end up emulating an index if you trade many of the strongest stocks out there. If you are picking stocks by a long term trend following methodology then you will stay with the strong stocks and sell the weak ones. Thus concentrating your holdings in...

The biggest question with counter trend is when to exit as the counter trend exit is not as obvious as the trailing stop for trend following. Exactly. If you are selling into a rally because you believe the price is overbought, what do you do when the price goes even higher making it even more over...

I think MC simulations are essential for figuring out the correct bet size, since each distribution has a different optimal bet size. Also, it gives you a pretty good idea of whether a particular system is tradeable based on its result distribution and number of trades. This little bit of code is ra...

It would seem that the simple solution to these problems would be to periodically rebalance position sizes across the portfolio based on a renewed analysis of position weighting that considers the current equity level and individual market volatility. Have you put any thought into this? I was think...

Check out this page. They go into some detail on trading the LME:

http://www.aima.org/aimasite/articles/Feb99/edfman.htm

-bbc