Traders' Roundtable

Roscoe,

I never ever perform tests without dynamic position sizing at the market portfolio level.

Cheers,

Old European

PruBear, It is definitively possible to come up with single systems with a MAR ratio of 2 or higher without optimizing too aggressively. The procedure I use is the following. I first define what I call a 'generic market universe'. It is simply the universe that consists of all the futures markets th...

The OOWDG data updating service still isn't functioning this morning.

Indeed maybe it's hurricane Frances, but how about contingency planning, backup facilities, ...?

... and for the first time since the beginning of my subscription the OOWDG data updating service isn't functioning this morning ...

Shakyamuni, Thanks for bringing Tom Basso's paper to my attention. Seems to confirm my point. Sir G, Indeed 'buying death at a discount isn't really a deal'. In my previous life as a discretionary fund manager I always tried to avoid throwing good money after bad money and I considered 'averaging do...

TC and Richard,

Thanks for your comments!

Old European

I'd like to start up a small discussion on the ideal timing for an initial or additional large lump sum investment in mechanical systems. In my previous life as a discretionary fund manager, I always tried to minimize the risk of poor investment timing by spreading the initial investment of a newly ...

Chris, I've also been playing around with the ATR Channel Breakout system. It is certainly possible to come up with a quite robust system with a MAR of 1.75 or more in tests over more than 20 years, with a portfolio of approximately 30 futures markets and under very reasonable assumptions for e.g. e...

Reasonably low on N, reasonably low on O and reasonably high on C: 3 out of 3! Should therefore have the potential to make it as a mechanical trader :D . But I also know that I'll have to keep my feet on the ground :wink: : only reasonably low on N, reasonably low on O and reasonably high on C. Old ...