Search found 148 matches

by Chuck B
Mon Jun 26, 2006 2:45 pm
Forum: Futures Markets
Topic: daily volume vs tick moves
Replies: 5
Views: 4878

I just remembered the mother of all limit orders I have ever seen. This was back in the spring of 2003 sometime, and it was in the Dow futures at 8218 (pretty sure that was the price). A limit order of greater than 10,000 lots total size held the market at that price for a long time (the stupid Dow ...
by Chuck B
Sat Jun 24, 2006 9:10 am
Forum: Futures Markets
Topic: daily volume vs tick moves
Replies: 5
Views: 4878

A limit order of any size won't move the market. - Forum Mgmnt Well, assuming it is placed away from the current trading, true. However, limit orders are used all the time in electronic trading and continually move those markets. If I'm long 30 Dax and I need to exit, I might click three ticks unde...
by Chuck B
Wed Oct 19, 2005 6:16 am
Forum: Brokers
Topic: Refco
Replies: 30
Views: 29783

If you are a high volume trader, ManProFutures provides TT and PATS solutions that have been extremely reliable along with good support. You can set up your account to trade non-electronic markets through one of their other platforms also like M-trade.

http://www.manprofutures.com/
by Chuck B
Wed Jun 08, 2005 4:21 pm
Forum: Testing and Simulation
Topic: Trading a Basket of Stocks Nasdaq 100 Tutorial
Replies: 3
Views: 3932

Well, my main point was in reference to the claimed exits for this system. The text says it is either the large % loss value or a conditional exit. In other words there is no profit capture mechanism other than a conditional exit. I would be very suspect of the results obtained from such an exit cri...
by Chuck B
Wed Jun 08, 2005 3:05 pm
Forum: Testing and Simulation
Topic: Trading a Basket of Stocks Nasdaq 100 Tutorial
Replies: 3
Views: 3932

Re: Trading a Basket of Stocks Nasdaq 100 Tutorial

Everyone can read the first few pages. If you have registered on TradersStudio.com, which is free you can download the whole tutorial in pdf, which fully discloses the rules to this system. The problem with stock splits is well-known to anyone who has desired to properly test systems on stock data....
by Chuck B
Tue Oct 21, 2003 10:53 am
Forum: Trader Psychology
Topic: I hate myself
Replies: 11
Views: 11314

I enjoyed Chucks response and have to say he could have used the heading " Become a Professional Day Trader and: " My response was basically what Van Tharp preaches in his seminars and course. I was just restating it to fit this situation. The important point in that sequence is the "...
by Chuck B
Mon Oct 20, 2003 9:00 am
Forum: Trader Psychology
Topic: I hate myself
Replies: 11
Views: 11314

I'm working on the discipline side of things. It hasn't stopped me from generating profits but it does hobble me at times. I think I understand the root of my hesitation and I've made progress since I first started trading however incidents like I've described pops up on occasion just to remind me ...
by Chuck B
Thu Oct 09, 2003 2:15 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 17723

This is just another one of those typical "book making stories" that someone dreams up, selects a bunch of best case results (i.e. a market/system/timeframe combo that fits the story), and then publishes a book about it. If that goes well, then you can teach seminars, sell software and may...
by Chuck B
Mon Oct 06, 2003 2:28 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 17723

Now here is the losing trade MAE values in terms of R. These are sorted in terms of losing R value (maximum on left at about -1.8R due to stop slippage) all the way to a very tiny loss at the far right. The wicks show how much a losing trade went in terms of negative R prior to being closed at a sma...
by Chuck B
Mon Oct 06, 2003 2:24 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 17723

Here is a look at the winning trade MAE R-values from the same system analysis as above. This graph shows what maximum adverse excursion each winning trade took in terms of R. This is sorted, from left to right, by increasing size of winning trade R-multiple (not shown). The deep wicks on the right ...
by Chuck B
Mon Oct 06, 2003 2:14 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 17723

Here's a quick look at the effect of MAE in terms of R-multiples. The x-scale is the R value where the trade is cut short. A value of 1.0 means there is no MAE threshold while a value of 0.5 means that when a trade reaches an R value of -0.5, it is exited. Note that this graph is for what I call &qu...
by Chuck B
Sun Sep 28, 2003 8:06 pm
Forum: Testing and Simulation
Topic: It’s all about: Accumulation and Compounding
Replies: 2
Views: 4431

Latte's are one thing, but look at the 40 year compounded costs of drinking wine and alcoholic drinks! Essentially every 20 year old person doing so for the next 45 years is giving away far more than a million at retirement age.
by Chuck B
Sun Sep 14, 2003 3:25 pm
Forum: Trader Psychology
Topic: How do you handle a huge drawdown?
Replies: 8
Views: 11197

I remember John Henry talking about a bigger than desired drawdown in one of his funds (I think it was Financial and Metals portfolio). He felt confident the system wasn't broken, but he wanted to lower the position sizing (initial risk) to lower the chance of such a large DD in the future (with the...
by Chuck B
Fri Sep 12, 2003 12:59 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 51849

- in backtesting on this adjusted series you would no longer get a buy signal on 1 Sep 02. The only difference is the close. I used a silly rule, yet it is not so hard to think of a realistic rule that would be influenced by the magnitude of the close relative to ATR. This just illustrates the fact...
by Chuck B
Wed Sep 03, 2003 7:51 am
Forum: Stocks
Topic: Using IBD Stock Ratings as a filter
Replies: 4
Views: 12308

Yeah, IBD has "been long" for many months now. They've posted some letters to the editor where people berate them for "being long" -- the last one was after the mild pullback of the Nasdaq in early August. Some guy wrote in gloating that he was "right" not to follow the...
by Chuck B
Mon Jul 28, 2003 7:03 am
Forum: Testing and Simulation
Topic: Slippage for orders on the open and close
Replies: 5
Views: 6297

One interesting study would be to look at those markets where an opening rotation occurs, like most markets in New York, and then construct a data set based on the "second open", the time when all the market's expiration months are released to trade freely for the rest of the session. Some...
by Chuck B
Fri Jun 27, 2003 8:14 pm
Forum: Custom C++ or Java Platforms
Topic: What Language to Learn ? (VB / VC / C# ... or ?
Replies: 26
Views: 41181

Yep, I learned FORTRAN in CSC111 class when I was a sophomore in engineering school in 1978, and it was old then. I have always liked the simplistic nature it has of programming mathematical algorithms. Of course this was in the punch card days so most programs were not very lengthy at that time as ...
by Chuck B
Thu Jun 12, 2003 11:31 am
Forum: Futures Markets
Topic: Historical End of Day Price Data?
Replies: 8
Views: 11301

This is mainly a concern for Euribor and FTSE data. Most all other futures markets produce a settlement price when the market closes. In pit markets of course, there is often some difference between the last trade and the official "settlement"; however, that delta is usually small...nothin...
by Chuck B
Tue Jun 03, 2003 6:35 pm
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 29622

I think you may have better success at trading the electronic market spreads as you can execute them automatically at predetermined levels. You can use something like AutoSpreader in Trading Technologies to easily trade these spreads, lightning fast, and manage the positions and orders. I would forg...
by Chuck B
Fri May 30, 2003 4:58 pm
Forum: Testing and Simulation
Topic: Psychologically Robust Systems
Replies: 12
Views: 13388

Once things get normalized, the appearance of any exclusivity from one time frame to another becomes irrelevant. Agreed. The only difference perhaps is the role that frequency of trade entries plays in one's psyche, how often a trade opportunity presents itself. It is possible that a short-term tra...