Traders' Roundtable

Still can't get this to work. So annoyed....

Has anyone ever made a money manager block that allocates 100% of capital to every trade without stops (well, the system I am testing uses an SMA for entry and the LMA as the built in stop)?

Trying to backtest a moving average crossover system on S&P Futures but I am struggling with the money ...

Disclaimer: I am an amateur in the systematic trading world. As such, the contents of this post may seem ridiculous to the professional.

Ok.

This is a simple system consisting of Levi F's DeMark fader and a Dual Moving average combination. The system components trade bonds and spx futures only. It ...

I see your point. But I'd rather play that type of situation through long dated options in a discretionary manner and stick to futures in the systematic department.

This is an interesting thread.

I am a PM at a UCITS global long short equities fund(long biased).

Although UCITS rules allow us some leverage, shorting and the use of options, I have come to the unsurprising conclusion that a private investor without constraints has a clear competitive advantage ...

Thanks!

Hi

I am building a portfolio of systems and would appreciate any comments. Testing has been run on 3 different component systems, which have then been optimised (hopefully in a robust way) and put together into a portfolio that seems to backtest quite ok by my standards.

Quick system descriptions ...

Thanks R! But not free.

Price trends and patterns in Technical Analysis - an empirical examination

http://papers.ssrn.com/sol3/papers.cfm? ... _id=970852

The predictive power of price patterns (1998)

http://papers.ssrn.com/sol3/papers.cfm? ... _id=932984

riiiight...

http://papers.ssrn.com/sol3/papers.cfm? ... id=1003064

In an interview in 2000, Jim Simons stated that commodity markets used to trend nicely but don't any more. He was wrong (see gold for a good example). The day human psychology changes and people stop trading based on their emotions, we will have a problem. I don't see that happening any time soon ...

The bllomberg backtesting platform is very limited compared to blox (though for an amateur like me, more than sophisticated enough). It comes in two versions. If you are a BB user and interested, type STDY (GO) for access to these tools.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

http://papers.ssrn.com/sol3/papers.cfm? ... id=1656460

Thx guys! This forum rocks.

I've been in touch with the customer reps at DeMark Prime, which is a technical analysis platform offered by DeMark & Co. Will test it and post my thoughts on a suitable thread. Supposedly it has backtesting capability. (It costs 500 usd per month to lease so it had ...

I agree it is certainly not a complete system by any means. only an indicator. It is interesting mostly because it is"different" in a sense to the other technical indicators I use. I have this thought that perhaps it could be useful as a countertrend tool. I work as a money manager now(probably the ...

I am looking for a platform which offers DeMark Indicators, or one for which TD sequential code exists. So far, I have not been able to find it! Esignal does not offer this add-on, Metastock doesn't, and Bloomberg and CQS is too expensive for now. Anyone know about a platform that offers this ...

Feeling very lucky at the moment...gold took a beating today.

That said, the trend is up and I will probably be in again soon enough.

More or less related question: I am experimenting with the Mama Fama as my primary trend indicator/filter using both weekly and daily input and fine-tuning with a ...

http://www.mebanefaber.com/2009/12/03/w ... dium=email