Traders' Roundtable

Re Expectancy: I can think of many systems/data combinations that look great over 100 trades and which fall apart over 1000 trades. Sample size when dealing with market data, aka pathological price distributions, is one of the biggest challenges facing system design. Similarly it's probably one of t...

How to handle these long duration trades in testing? In Trading Recipes and Athena you can have it use the rollover schedule, by market, that you used to create the continuous contracts and they will charge the commission/slip at each roll point in testing. Since roll slippage is much less than tra...

Thanks Gordon...to complete the story, I thought of using initial risk, R, in a trade to base my system analysis on back in 1994. I was looking for a way to normalize expectation calculations as opposed to looking at it $ terms which was next to useless in system design. I viewed a tape from the &qu...

if you have errors in the real time data you base your trading diccsions on, then wouldn't it be good to have the same errors in the historical data you use to test your systems? In other words: I see a danger to perform the tests on data which is cleaner then the data which you use for real tradin...

From what testing I have tried to do on stocks in the past, I always ran into significant data quality problems that are far worse than that seen in the futures markets. This is particularly true in real time data delivery on stocks. I found that TickData has the cleanest stock data I could find. I ...

TK, I used to use Pinnacle years back, and they do have very high quality data. My main issue with them came when I needed to specify my own rollover schedule by market as opposed to their designed in one. Particularly, on the STIRs (short term interest rate contracts) where they could not do anythi...

Echoing bbc's sentiments: CSI http://www.csidata.com and Tickdata.inc http://www.tickdata.com

TC2000 is a pretty decent tool for not only following industry groups but also in creating "scans" for various criteria. You can set up a scan to do stuff like: NYSE stocks only, Volume > 2 x 50 day avg volume, price > 200 day avg, dividend yield > 2%, etc...whatever you might want along t...

From testing I've done on long term systems (i.e. something like a 70/17 breakout system, or a 55 in/trailing volatility exit, you get the idea), you can improve the reward to risk measures with open risk scaling out and volatility risk scaling out (i.e. the "Tom Basso" method, I say Tom b...

There is not a simple, one size-fits-all, answer to this question. It is highly market dependent. For most markets where you want to be trading the near month, there is usually a specific date when almost all the liquidity rolls to the next month. For example, in something like the CBOT financials, ...

Sir G, The MOO and MOC orders do present a problem, particularly with pit markets for MOC. I have seen times when there is substantial size on the bid and offer in the e-mini SP at the close and of course the market stops trading at that level. Then, 15 minutes later when the pit "settlement pr...

Hopefully the forum will soon allow uploads of images like LeBeau's forum. I have done a lot of research on open risk management as you are referring to, and I could post a few graphs to illustrate the results. With my long term systems, there is some gain to be made in reward to risk measures (i.e....

That's interesting to see the contract! However, I hunted around the SGX site and couldn't find data on the contract. Is it actually trading now (yet)?

So far, I have not done any extensive Euribor spread trading. I think there is something to be had there however. Interest rate curve spreads likely aren't mean reverting. Look at the 1 year ED or Euribor spread on a conituation basis since May 2000 .

Steve, No direct experience with the LME, but I thought I wanted to add those markets to my portfolio a few years ago. I read the book, "Wolff's Guide to the London Metal Exchange" by Rudolf Wolff; ISBN: 0-947671-92-7. After reading that book and talking with a friend who used to be a trad...

rs, Therefore, higher volatility on stocks should not stop you trading them it should just make you trade smaller. Yes, that's my thinking. I wasn't trying to imply that high implied vol should stop stock trading in a system...just that volatility should be incorporated...particularly implied volati...

damian, In the late 90's I was salivating at the thought we would have DRAM futures (and that they would be liquid enough to trade of course). The trends (mostly down) in DRAM capacity vs. price have been incredible for many years (and of course they would have to add new contracts as new technologi...

I remember being sick as heck back in Dec 1994 and trading the S&P. I recall that I was short 2 contracts, and I called in to go flat. However, I told the broker to sell 2 at the market. He paused and said did you say sell? I spoke with great authority and urgency and loudly proclaimed, "Se...

Leverage is all relative. Just because it's possible to trade some futures with tremendous leverage due to low margin to contract capitalization ratios does not mean it's common (or wise) to do so. Besides, there are hedge funds and proprietary stock trading firms that can (and do) employ futures le...

In general, many individual stocks have a much higher implied volatility than futures as a group, which was one of the arguments for higher margins for single stock futures. Given that stocks don't represent any physical commodity, I would agree that they are substantially more prone to overnight ou...