Traders' Roundtable

Hello all, It has been two years since the last post in this very important (and helpful) thread regarding slippage estimates. And during those intervening years the markets have gotten progressively more volatile and noisy. However, commission costs have dropped dramatically, and electronic trading...

Here's a thought: does smoothness of trends equate to smoothness of equity curves? If, because of your market selection rules, you are only trading five "smooth" instruments, I would think not. In fact, I would go so far as to say that five highly noisy instruments would provide a better r...

Thanks, Sluggo. For those interested, some trading commentary from myfuturesblog.com (no affiliation, just stumbled across it) regarding MOC orders. Not sure if others would agree, but thought it was worth sharing nonetheless. ***** ——————————————————————â...

Duh..I think I just figured it out. My trailing stops are just that -- stops. So that is where the slippage is occurring. Not on the entries, but on the exits.

Thanks again for the assistance.

Thanks, Sluggo. So I load your system on my computer, and as stated -- no slippage regardless of the slippage % setting. However, my system is extremely simple, and I have checked and double checked the code -- all orders are long or short on close. I am running version 2.2.9 on Vista, off my C: dri...

Tim:

In a prior post, you stated that TB did not take slippage into account with MOC orders. However, when I adjust the slippage % figure with my system, which uses MOC orders, slippage is taken into account. Could you explain? Thanks.

Algonquin

Given the mammoth moves we have experienced recently in so many instruments, I would be concerned about the system's seeming inability to turn a profit, especially if it is designed to be trend friendly. Just my $.02.

Incidentally, there is no "right way" to trend trade. The key is to develop a system that is consistent with your emotional makeup, and minimizes the potential for emotional drama in your trading. Many successful and notable trend traders utilize profit taking, such as Jerry Parker and Ed ...

If you have stong feelings about taking money off the table, or lightening up, these positively intended feelings (which are intended to get you focused on your risk control) will find a way to express themselves, probably through some unplanned drama. I think you have two options: work through your...

Not really. If anything, geared slightly higher (CAGR=20%+).

Yes, roll overs included.

I have developed a few very long term trend following systems, with solid performance characteristics. I developed the systems using 50% slippage assumptions, and thus gravitated toward systems with extremely low trading frequencies. Most of the systems trade between 200-250 round turns per million....

Great comments. Many thanks to all!

I am using CSI data with the standard default settings. I was examining historical gold prices, and noticed that the high historical price is being shown as $1644 on 01/21/80. Even given the price distortions which occur with continuous back-adjusted data, this number seems way off, especially when ...

Thanks.

OK. So I searched the forum, using both the native search tool as well as Google, and was unable to locate a (the) post which specifies the roll over methodology used in calculating the sample data for TradingBlox. As I can only assume such a post exists, I was hoping a kind soul could point me to t...

From Ed Seykota: "As trading frequency increases, the profit potential per trade decreases, while the transaction costs remain the same . . . You can find optimize your system for trading frequencies by back-testing. You are likely to get fairly severe profit roll-off for frequencies above once...

To be more precise, my intention in raising this issue is not to resurrect the tired debate surrounding back adjusted contracts. Instead, I am attempting to draw attention to some potentially more subtle issues that may arise as tested data series become more elongated. Specifically, over very lengt...

As many systematic trend followers migrate to very long term trend following systems, do the problems inherent in backadjusted data become more manifest and problematic? Thus, for example, if a trader is using a moving average system based on 300+ days, or a channel breakout system predicated on a 2...