Traders' Roundtable

I ended the year +17% which is below average for my program. And I gave it all back in these first few days of 2011

Is there a robust objective function that is independent of the amount of leverage employed? Its hard to compare apples to apples when all else equal, increasing leverage tends to increase the value of most objective functions.

Lol. I know. These sort of concepts sound simple, but once you get programming them there are lots and lots of variables/parameters to consider that you never thought of initially.

Rate of profit is an interesting concept. How do you like to measure it?

MarkS wrote:bacon used to be used mostly in spring and summer for BLT sandwiches.

This is the best explanation they could come up with? Lol.

rajivm wrote:Hello Everyone,
A Good trendfollowing system will add units to successful trade so that you have a large position when you are right.

I dont think i've seen any systems (run over the past 20 years) that benefit from adding units.

For me, the conflict is that getting out of 99% of the position at 1R (leaving 1% in so the system doesnt jump back in the trade) is better than letting it ride. Again, this goes against all the theory of why LTTF works: returns arent normally distributed - you need to capture the 20+R fat tails, mo...

That was the intended purpose of my 1/3, 1/3, 1/3 system.

But now it appears that getting out quicker is better so that the exposure to the VLTTF portion is minimized.

I was experimenting with my profit targets last night. For the last couple of years, my system was programmed to take off 1/3 of the position at 1R, another 1/3 at 2R, and let the last 1/3 ride. This smoothed the equity curve and improved my performance stats vs. no profit targets. After more tinker...

What I cant figure out is how you short the tops, without also repeatedly shorting on the way up.

Do good counter trend systems have a relatively high accuracy rate?

I've had better luck with scaling out.

I've tried, but never found any counter trend systems that add enough value to bother implementing.

Using the 50 longest running track records for reporting CTA's yields an average MAR ratio of 0.46. Using the 50 shortest track records (but with at least 12 months of data) yields a MAR ratio of 1.9. Would be interesting to know what the 50 longest and 50 shortest track records MAR ratios were ove...

I shouldnt say any computer on the web. I couldnt do it from the computer lab on my last cruise. Their security settings wouldnt let me run java or something like that. Good thing nothing notable happened in the markets that week!

When I am traveling I log into my home computer to download data and run orders. I use logmein.com and can use any computer on the web to do so. Its free. If i cant get to a computer, I have an app on my Droid phone that allows me to log into my home computer. Its a bit more tedious to navigate on a...

I would be very surprised if trading within the bands has a positive expectancy.

How about sharing your backtesting results of this strategy?

LeviF, rhc: Please feel free to run similar experiments yourself, possibly using different portfolio compositions, different start- and end-dates, different base currencies for the trading account, and so forth; whatever interests YOU. Sluggo, Please do not assume I was asking you to perform this t...

sluggo wrote:15 filled trades per day...

Wow!