Traders' Roundtable

Sluggo, this is my point precisely. I agree that Sharpe is not a measure of risk itself however it is what is provided to us by CTA’s to make a decision about them. What measures of risk does the typical Barclays CTA report actually provide us with?

Once again I argue that drawdowns and standard ...

Yes LeapFrog, my point is more directed towards evaluating CTA’s. Indeed I have all sorts of additional measuring tools available to me in my own systems trading than I do if I’m selecting a CTA. And by no means did I ever imply that MTE was the ONLY tool one would use. To me it’s just a â ...

Where the margin to equity ratio is particularly useful is when evaluating CTA’s. The reason for this is because most CTA’s don’t report their portfolio heat; however they do report their MTE ratios. I know in my own trading my portfolio heat and margin-to-equity ratio come pretty close to ...

Chelonia

If you sign up for CSI data you get access to their data table which gives you the “Average Total Volume (1 year)â€

The guys over at Tick Quest (Neo-Ticker) are already offering it. I hope this trend continues.

As you can see, Neo-Ticker has made this a profit model for their firm.

http://www.tickquest.com/go_firsttimebuy.html

Any other developer ought to see this as a potential way to increase sales and ...

For many years high end fund managers have been using computing grids to link up computers for parallel processing and supercomputer type performance. It now seems as though this is available to the average Windows user with a few computers (or more) and this very interesting product.

www.digipede ...

Has anyone here ever used the “Logical Information Machinesâ€

Sluggo,

That’s not really it. The way I am doing things is quite a bit more involved than that (not that complicated is better!). However, thanks for taking the time to read it and comment.

My goal was simply to stimulate thinking on the subject and it seems as though it did that. I know ...

I wrote an article that talks about the concept (as I use it) in a bit more detail here:

http://www.traderstech.net/The%20Small% ... undrum.pdf

Regards,
Dean Hoffman

Leapfrog,

These are precisely the kinds of scenarios that MC simulations do a great job with. Assume that on average your daily percentage fluctuations are plus or minus .75%. Lets then assume you were in OJ the wrong way today and this caused you to have a -3% day. What the Monte Carlo will do is ...

Coming into today

Long KC Wheat
Long MW Wheat

Short Cotton

Long Euro Stox 50 Index
Long IBEX 35 mini Index
Long Hang Seng mini Index

Still holding all on the close but all stops pretty tight.

I can’t help but being left with a lingering feeling about this whole discussion. Trading futures is not a place to try and figure out how to have certainty. It is where RISK TAKERS exchange UNCERTAINTY and potential losses for the chance of a profit.

If you’re not walking into this knowing ...

Bari,

No question scenarios like those happen all the time. I have probably run tens of thousands of hours of analysis over that very data and I would assume any serious traders here have done the same thing.

In my case what I need are specific tools . At this point in my trading having the ...

FYI

In an effort to keep this topic on subject I have removed the brief segment of my presentation that discussed an aggressive leveraging strategy.

If you still want to see it in its entirety feel free to email me. Otherwise the new presentation (the old one with about a minute edited out) link ...

Forum Mgmnt,

We are not in disagreement. I did not say, "This is the way to determine account size"." What I said was (paraphrasing) "If you're aggressive and you're looking for a strategy to maximize returns by using a tool to attempt to measure a maximum drawdown then here is an idea"."

I ...

Tushar S. Chande has also created a formula that attempts to predict maximum future drawdowns (1). It is primarily derived from average daily volatility. Personally I think the formula is too conservative, however, I think the real value here is the understanding of how critical daily volatility is ...

Forum Mgmnt,

Quick couple comments..

I will agree that the idea at the end of my presentation about determining a possible account size was very aggressive. Furthermore, I made that rather clear . However, I think it is you who has crossed the line to the absurd to compare a thought out ...

I recently created a presentation that touches on this issue of when to stop trading, and how to try and predict maximum future drawdown. (The first part of the preseation talks about a typical investor blunder)

You can open it here:

http://www.traderstech.net/Flash50/Flash50.html

(this is a big ...

I’ve been passively watching the bull market in Orange Juice for some time. Unfortunately, the liquidity of that market is notoriously bad (which is why I’ve only watched vs. traded it). I’m just curious if anybody has actually been trading the OJ move and can share what kind of slippage they ...

Keep in mind that when using CSI data you can send your broker your file called portfile.adm This file is located in c:\ua\archives and when imported by your broker will exactly replicate your CSI environment on his computer. This eliminates symbol and or roll over differences etc.

Sharing this ...