Search found 69 matches

by blueberrycake
Tue Jul 20, 2004 3:29 pm
Forum: Money Management
Topic: There should be a limit
Replies: 3
Views: 5497

Yes, when you approach a certain size in a given market, you have to switch to fixed amount per trade. While the scenario that you provide (Mini-Nasdaq) is highly unrealistic for all but the largest hedge funds, a large short-term trader in thin markets like propane and palladium, will have a maximu...
by blueberrycake
Mon Jul 19, 2004 1:23 am
Forum: Testing and Simulation
Topic: why is curve fitting so bad?
Replies: 4
Views: 5345

Given the huge advantage equities have over futures (8000 stocks cf 80 futures markets) While I do not want to start on a discussion of whether futures or equities are "better". I should point out that the 8000 stocks figure is extremely misleading. Not only are most of the 8000 highly il...
by blueberrycake
Sat Jul 17, 2004 12:37 pm
Forum: Brokers
Topic: Margin when using multiple brokers
Replies: 0
Views: 3409

Margin when using multiple brokers

I was wondering if anyone has any experience with using multiple brokers for your trading. In particular, I'd like to use one broker for electronically traded futures, another for pit traded contracts and yet a third for my stock transactions. While the basic logistics are manageable, the problem th...
by blueberrycake
Wed Jun 23, 2004 4:38 pm
Forum: Testing Software
Topic: QCharts - anybody else having problems contacting them?
Replies: 2
Views: 4411

There is a miling address listed on the following page: http://www.qcharts.com/contact.asp?soac= You can write them a letter, which can also be used to back up your claims with the credit card company if they dont cancel it promptly. I never had any difficulty having my credit card company(Citibank)...
by blueberrycake
Tue Jun 22, 2004 6:59 pm
Forum: Testing Software
Topic: Charting historical intraday data?
Replies: 2
Views: 4547

Charting historical intraday data?

Does anyone have any recommendations for charting software to plot historical intraday data from TickData(ascii file format)? In addition to the basic charting capabilities(w/ indicators) it would be really nice to have several chart windows at the same time so that a given day could be examined in ...
by blueberrycake
Tue Jun 22, 2004 12:56 am
Forum: Trend Indicators and Signals
Topic: Trailing stop question - dual EMA or % loss?
Replies: 5
Views: 6884

The 7% number never made any sense to me, since volatility varies so much from stock to stock. 7% on GM is very different from 7% on TASR. I recommend you do something similar to the turtles, and use a volatility adjusted stop-loss (and also for position sizing).

-bbc
by blueberrycake
Thu Jun 03, 2004 2:44 am
Forum: Testing and Simulation
Topic: Support / Resistance after rollovers
Replies: 3
Views: 4160

It appears that most support and resistance traders use the current contract as the basis for their work. My trading partner and I take a slightly different approach which is to run a spliced (non adjusted) contract for everything we trade so that we can spot similar issues and longer term trends w...
by blueberrycake
Thu Jun 03, 2004 2:02 am
Forum: Testing and Simulation
Topic: Support / Resistance after rollovers
Replies: 3
Views: 4160

Support / Resistance after rollovers

The recent discussion regarding rollover algorithms got me wondering about how support and resistance levels are affected by contract roll-overs. Points such as previous daily highs/lows and previous swing highs/lows always generate substantial volume increases when touched (at least in index and bo...
by blueberrycake
Thu Apr 29, 2004 3:00 pm
Forum: Forex
Topic: Forex Trader sought
Replies: 2
Views: 5550

Yeah... and I just got a top-secret invitation from General Mustafa in Nigeria to help him transfer $30 million dollars out of his country and into my account. I swear it's legit!

-bbc
by blueberrycake
Thu Apr 22, 2004 12:18 am
Forum: Testing and Simulation
Topic: "Backtesting the Original Turtles" : Thread on ET
Replies: 4
Views: 5501

Forum Mgmnt wrote: There's too much fluff and speculation from people who don't know how to trade but there are a lot of good traders there.
Unfortunately, you can't always distinguish between the two, hence the need to triple check anything you read there.

-bbc
by blueberrycake
Sat Apr 10, 2004 12:32 am
Forum: Money Management
Topic: Thoughts on Pyramiding
Replies: 3
Views: 5869

Thoughts on Pyramiding

I've spent a lot of time recently thinking about pyramiding, and I've started to wonder whether the way people think about it really makes sense. The standard argument for pyramiding is that when you make a small profit in a position, you increase your bet size, by risking "the market's money&q...
by blueberrycake
Fri Apr 02, 2004 11:59 am
Forum: Money Management
Topic: What % equity to risk on high expectation trades?
Replies: 7
Views: 7989

Interesting. Would dynamically adjusting the bet size during a drawdown help to alleviate this problem? E.g. could you start betting 5%, then cut down to 4%, 3%, 2%, 1% if you got consecutive losers? This would allow you to trade larger most of the time, whilst maintaining an equally small risk of ...
by blueberrycake
Tue Mar 16, 2004 12:45 pm
Forum: Futures Markets
Topic: Record low followthrough in S&P
Replies: 5
Views: 7023

Would you be able to post a link for the above chart - no problem if it's proprietary... There is no link. It's just something I whipped up in Excel and uploaded here. I often look at these sorts of things to see how the various markets compare (to each other and over time). I didnt get a sense tha...
by blueberrycake
Thu Feb 26, 2004 1:07 am
Forum: Futures Markets
Topic: Record low followthrough in S&P
Replies: 5
Views: 7023

Record low followthrough in S&P

Here's something else to think about in terms of S&P futures and falling volatility. This chart shows the % of the time that the daily close is above the previous high or below previous low by at least half of the previous day's range over a 150 day period. I think the chart speaks for itself. -...
by blueberrycake
Wed Feb 25, 2004 6:59 pm
Forum: Futures Markets
Topic: SP Daily volatility is just aweful
Replies: 4
Views: 5749

Reduced volatility may be bad for some systems but it can be useful in other circumstances. Under what circumstances do you see it as beneficial? Since we are seeing fewer meaningful moves of any kind (trend, counter-trend, open range breakout, volatility breakout, etc), it's hard to see any kind o...
by blueberrycake
Tue Feb 24, 2004 11:00 pm
Forum: Futures Markets
Topic: SP Daily volatility is just aweful
Replies: 4
Views: 5749

SP Daily volatility is just aweful

Here's a chart of a 30 day moving average on the daily range as a % of price on the SP 500 futures over the last twenty years. We're now approaching the lowest volatility since 1995 and the trend isn't good either. I just hope we arent in for a repeat of the 93-95 years.

-bbc
by blueberrycake
Sun Feb 22, 2004 12:27 am
Forum: Trader Psychology
Topic: Has any one taken Van K. Peak Performance Home Study Program
Replies: 15
Views: 22992

Van Tharp PP course was useful to me. It debunked a pack of myths. In no particular order: Position sizing is more important than anything else. Exits are more important than entries How exactly were these two "myths" debunked? There are certainly people, such as Van Tharp, who assert tha...
by blueberrycake
Tue Jan 13, 2004 1:49 am
Forum: Testing and Simulation
Topic: Drawing Conclusions from Tests with Too Little Data
Replies: 14
Views: 9562

In some other threads you have repeatedly empasized that you wouldn't consider anything less than 20 years data for back testing... but if you follow that line of reasoning backwards, that is, once you have setlled on a given portfolio that you have back-tested on 20 years, and assuming it is going...
by blueberrycake
Sat Dec 13, 2003 5:25 pm
Forum: Testing and Simulation
Topic: S&P 500
Replies: 14
Views: 13032

Re: Countertrend System on the e-mini S&P

My question, to anyone willing to help, is that I have tried to apply this system to the bonds, NASDAQ e-mini and a couple other very liquid markets. The system does not do well in any of the other markets that I've tested. Is this a warning sign that my system is not really viable? I realize that ...
by blueberrycake
Sat Nov 22, 2003 5:10 pm
Forum: Forex
Topic: Discretionary or systematic trading?
Replies: 9
Views: 9806

Why are you advertising these hedge funds? And why are all of your posts always personally addressed to c.f.?

-bbc