Traders' Roundtable

Thanks for the info guys... another question is... do any of you know how Yahoo adjust for dividends?... From their data, it seems like they are just subtracting the whole historical series by any new dividends, almost like the way one back-adjust futures data.

However, it does not seem to be the ...

Does anyone has any idea on the reliability of yahoo's data on historical stock prices? Thanks...

Louis

Hi Forum Mgmnt,

I remember that you mentioned writing a paper on robust position sizing (correct me if I'm wrong) quite sometime back. Will you be posting it on this site? Cheers..

Louis

Leonardo, always enjoy reading your posts Love the trading stories and insights... thanks!

The point that Joe made is similar to the problem that I highlighted quite some time ago about Van Tharp's position sizing example with %-vol.

http://www.tradingblox.com/forum/viewtopic.php?t=377&highlight=van+tharp

c.f.' paper already show how to use the %-vol method together with the fixed ...

Jimmy, correct me if I'm wrong, but it seems like you've tested your system on the same set of data in which you optimised over for your 20yr test, which is why the results look so good. You would need to test out-of-sample data for a better gauge of robustness and realism.

Louis

hi Chris,

What are the main differences between VBA and VB.Net? Thanks.

Hi Al,

You're right in that there aren't enough data for SSFs for proper backtesting and using the underlying stocks as a proxy for the futures may not be the best either :( But, I would have thought that the same logic would apply to LEAPs as well, since the value of the options are also affected ...

hi Al,

I think under most situations, speculating with single stock futures will be better than using LEAPs... but of course, there aren't that many SSFs around at the moment.

I didn't think that the Turtle experiment proved whether traders are born or could be bred. Firstly, the candidates went through quite a bit of screening before being selected for the test. This indicated that Dennis and Eckhardt were already looking for characteristics of a good trader, which kinda ...

Say I currently hold a position in a July futures contract and I'm using a 14-day ATR trailing stop. Then when it's time for me to rollover to the September contract, which price series should I use to calculate the trailing stop.

At first, I thought it should the September contract since that is ...

I tried to obtain historical futures prices from Bloomberg a month ago and found that most of the data do not go back very far. Moreover, for some futures, there are a lot of missing data in the series. Does anyone have the same experience?

Hi Chris,

I think your use of the term diversification needs to be more specifically defined. As some of the other threads have already pointed out, one can diversify across markets, time frames and systems. For example, if one is a passive investor and applies the buy and hold strategy, broad ...

Are there available data on the implied vol. and the put/call ratio for commodity futures options that can be used similarly to the VIX (for example) for stock options as sentiment indicators?

Again, thanks for the reply everyone.

On a separate issue, I tested the breakout system (long only) given in Tharp's TYWTF with the fixed fraction and % volatility on S&P 500 stocks and found that generally, I can't trade more than 3-4 stocks at anyone time because of the high prices of the stock ...

damian, Edward ... thanks for the replies.

How does one usually deal with the issue of backtesting a stock system when shorting is affected by the up-tick rule?

Let's say my system uses daily data only and I run the system everyday when the markets are closed. Would the following work?

1. At the end of day 1 I get a signal to short a stock ...

Are there general rules that can be used in order to indicate when one should be changing the rules of one's system? I remember either Dennis or Seykota talking about finding better rules to change the rules in Market Wizards. Or is this a highly subjective issue?

Hi rs,

Let me try to have a crack at this.

I think whether human nature changes or not is a matter of perspective. From one angle, people are always changing to adapt to new conditions, but on the other hand, emotions are always there, but what may have changed is how the emotions are triggered ...

great site Moodaeng ... thanks!