Traders' Roundtable

I'm also interested learning more about Donchian's theorys.

I remember reading somewhere a quote from Daniel Dunn where he said Dunn Capital had run a bunch of tests on Donchians weekly rules and they had yielded interesting results. I seem to remember seeing some other references to them over the ...

How did this work out? I am interested in programs that can back-adjust raw data. I recently purchased a bunch of raw historical data that is not back adjusted (and therefore of little value for testing).
Does anybody know of a program (the above mentioned or another) that can reliably back adjust ...

Thanks to all for responding,

I'm not trying to harp on this point but there is something still bothering me:

Looking through the data on http://www.iasg.com there really is no CTA with a 20+ year record that supports a MAR ratio >2. All of the big boys (Campbell, Dunn, JWH, Eckhardt, etc.) have ...

- Drawdowns < 40%
- MAR Ratio > 2.0
- Returns > 50% for futures, 30% unleveraged stocks

Re: this standard of system performance, I have two questions:

1) Is this for a single system or a portfolio of systems designed to work together?
Using VT to test, I have had a hard time getting my MAR ...

Reuters EOD data is crappola imho. It only rolls on expiration. There's no way that I know of around this with continuous contracts b/c there is no data for the next contract until exp so you can't write a script to manually roll it on OI or some other trigger.

If you want to invest some time, I ...