Traders' Roundtable

Actually, forgetting the hype the letter is worth reading and thinking through.


Mr [REDACTED],

Below the response we have put forth regarding the Thomson Reuters article:

Recently, much has been written about the safety of customer assets held by brokers and we believe that customers are ...

Thanks Tim

Yes, much appreciated if it could be reposted (hosted).

I'll confirm sluggo's posts. I trade HSI, HHI, MHI etc on HKFE and STW plus others on SGX.

They roll monthly. The roll date is the day before the last business day of the calendar month. On that morning there will be volume in this month but movement will slip and in the afternoon session (for HSI ...

Before you leave any out consider:
- does an unprofitable market have profitable periods that smooth your equity curve?
- do you know why it is unprofitable (and can thus say that it is never likely to be profitable).

Relevance is in the eye of the market and ED is an enormously popular contract. I have no idea why libor isn't (unless the main trading doesn't take place at the CME ... )

I was downloading some data with TWS so had a look at the chart. You made the wrong choice of instrument - look at the globex ...

Tradestation still isn't much loved for "good broking" at least by intraday traders. TS's good point is still the platform. IB still isn't much loved for Customer Service but is solid for everything else (most wouldn't consider their charting to be an important part of their offering and use Ninja ...

Does yesterday count as a Black Swan? :-)

I don't really thing it did on any timescale. It was a big move but it was signaled at multiple levels.

On daily we'd been crawling up to dow 11200 and a (bless em) 61.8% retracement of the big move down. Then it did a lower high and collapsed on a ...

There seem to be two possible discussions going on here:

- using better rollover dates for testing than the standard OI or date based
- getting a better real result than your test result.

It's probable that I'm the only one discussing the second part (yes, I hear the sound of 1 hand clapping). Has ...

I don't disagree with you Eric.

Despite that, I do think most users will still take standard methods and the combination of standard testing and optimizing your actual trading is not unreasonable.

Personally, I don't think there is any standard roll methodology that is universally applicable to all futures contracts. For certain markets, like currency futures and stock index futures nearly all the liquidity resides in only one contract at a time. For other markets like corn, nat gas ...

I make this comment as someone who has implemented this recently - not as someone familiar with the/any theoretical underpinnings.

I'd suggest that EC management be:
- really simple (ma or donchian breaks)
- be applied because you recognize that the market has periods where it does X which is ...

You don't trade a currency. You trade the ratio of a pair of currencies (KRW/USD say).

If its the KRW / USD then if the pair doesn't drop when U is strong then it means that KRW is equally strong.

Currencies generally have correlations with other currencies because of similar industries (resource ...

The issue is that picking tops is almost impossible mathematically. Strategies that do it also short on strong trends that keep on going up!

I beg to suggest that this is not the issue. Picking temporary tops isn't that impossible. And tops don't have to last forever, just long enough to make ...

Two comments.

Most countertrend s&r traders (many more actually use s&r to trade with the trend) require price action of some form prior to or after connection with the s&r to derive a trade (ie s&r is just their zone of interest really).

There is quite a strong 1.27* or thereabouts school of ...

Separate your jobs.

My understanding is that RTH as applied by IB is for an exchange so it might be for CME or HKFE or EUREX.

IB is a 24 hour operation with Server Farms on the US East Coast, Hong Kong, and Europe (Swiss I think) so when you select RTH its probably the right one ... it certainly is for CME and CBOT.

IB support the types of orders that are native to the exchanges they use.

They also support a variety of other orders that are "standard" but not native to a particular exchange on their (IBs) servers ... so you might issue a stop on an exchange or time that its isn't supported and IB's servers ...

For high frequency discretionary traders the broker of choice is probably interactive brokers (ib). They are low cost, have good fast technology and a very wide range of markets. The technology interface also makes them good for real time system trading.

But customer service is not their big focus ...

If he really said:

"A fact that kills many amateurs in currencies, besides poor money management, is the fact that currencies trade almost 24 hours a day. They can move violently against you while you sleep. If you trade currency futures, you need to set up your account in such a way that a stop ...