Traders' Roundtable

Hi Sluggo - appreciate the reply. Today my approach is I've created the s&p 500 using all constituents from the past ten years with a filter that says ignore security X if it was before Y date (any date prior to bring added to S&P. But is using the S&P a good/practice/logical approach? Is it better ...

I was looking to get some direction/thoughts on creating an equities portfolio geared toward a long term trend following strategy.
I'm assuming there is some sort of rhyme and reason to selecting stocks to include in such a basket...or is there? Does it make most
sense to just use the S&P 500 ...

OK - thanks Jake - guess i'm on the right track.

He's my issue:

i'm downloading the current S&P 500 from CSI. It includes Facebook Inc. (FB). FB was not added to the S&P until Dec 21st 2013, however, in a backtest I entered the trade on Dec 16th 2013 which would be inaccurate. So I was wondering if I code to ignore FB when date is <20131221 ...

Jake, I was wondering if you could point me in the direction of using script to avoid survivorship bias. Thank you.

Thank you for the info.

I was only aware of one calculation of ATR - the greater of the following (which gives you the TR and you have to further calc the ATR):

Method 1: Current High less the current Low
Method 2: Current High less the previous Close (absolute value)
Method 3: Current Low less the previous Close ...

The '500' figure simply converts the point value of Cotton to a dollar value since the value of 1 point in Cotton is $500

For stocks there are no conversions necessary since stocks are already priced in dollars.

Example;
Todays close in ABC corp. = $55.55
Todays 20 period ATR = $1.55 ...

I agree with your comment an have takin this in to account by editing the portfolio to include only those securities that haven't changed over the past 10 years. What I'm trying to understand is if the strategy isn't robust because it works well on S&P but not as well on Russell 2000. Not sure if ...

Thanks for asking. I have a subscription to CSI end of day data for all US stocks. So in CSI I downloaded the S&P 500 components and transferred those stocks to TB for me to run my suite against. So that was long winded answer to your question - I'm using S&P 500 stocks.

Thanks for the comments Sluggo. I'll look into the Blox Marketplace and see what that has to offer.

Cool. Thanks. I'll check this out.

When back test my strategy against the S&P 500 over a 10 year period it does extremely well. When I test the same strategy against the Russell 2000 it doesn't perform as well; same with NASDAQ. Can this be due to the fact that the S&P 500 is a diversified weighted portfolio and the the Russell for ...

Does anyone have a slippage % that they use in test that is pretty accurate/standard for trading equities that can/should be used for back testing?

thanks. Also if when using 1% risk starting w/ $250k say your first trade requires $50k of that starting equity. will the subsequent security also riks $2500/trade (250k * 1%) or will it now use $2000/trade (200k * 1%)? and so on. thanks.

Thanks Jake - makes sense. Hoping you can help with this question. I'm having a difficult time understanding why risking 1% vs. .1% per trade would result in CAGR not being the same everything else held constant. The statistics on both tests are almost identical with the exception of CAGR and ending ...

I'm using starting equity of $250,000, Order Risk Per Trade (%) = 1%. How does the $2,500 really become my "risk" per trade? The amount i'd lose based on the stop loss order generation for my first trade (below) is $3233.01 ([Entry Price - Stop Loss] * quantity). That $2,500 isn't really the risk to ...

Jake,

I've tried every combination for the equity - below is the recomendation you suggested. Still same result. I need to be able to track my broker positions in TB to accurately continue to use my strategy. Please assist.

Can anyone help me understand why TB is returning the below negative results even though the positions are clearly in a profit?

Hey thanks for replying. I see where you are going with your thought but I was thinking something a little different. I'm already using a long term trend following strategy. Assuming today is day one of my brokerage account, if I click generate orders I'm presented with potential positions to enter ...