Traders' Roundtable

sluggo wrote:

levijean wrote:CSI has it, but they spell it wrong. Search for ringit.

Be sure to look amongst the "Cash" instruments (yellow box), get a list of them by clicking the "Mkts" button (red box)

Many thanks for the help. Looking forward to going global!

Hi,

I'm looking to backtest crude palm oil as part of a global portfolio, and need historic EOD Malaysian Ringgit data to feed in to Trading Blox. CSI lists USD/MYR on FINEX, but it's inactive. Oanda offers historic FX data in 500 day chunks, which I can stitch together and massage into the right ...

sluggo wrote:

• If you're not sure whether or not to (perform some action), do half. That way you will only be half-wrong and won't become emotionally destabilized.

In this vein, the following thread on non-symmetric long/short bet sizing is interesting.

viewtopic.php?t=1668

Interesting to see AFJ Garner's charts.
Until I did at little digging, I wasn't aware the CRB Index was so Ags heavy, or the GSCI so Energies heavy....

Hi Chuck, it's no mystery when you consider that this is one guy trading 5 systems on 100 markets each using daily bar data. When you write out the Occam's Razor list of likely explanations for Friday's non-fill, the one at the top of the list turns out to be the right answer. Same goes for Monday ...

TrendsCatcher, thanks for the interesting post.

I agree with your points entirely. Using a pullback strategy exclusively could lead to missing one or more of the crucial 15R+ winners, adversely affecting one's trading statistics. As you say, this issue is not such a concern in stock trading, given ...

can anyone think of anything else?

Really good luck?

That's an impressively smooth relationship with luck ;)
With regard to my earlier post on outperformance ideas, this is interesting with regards to seasonality models:

http://trendlinefunds.com/uploads///propoganda/When%20to%20Allocate ...

ladadriver, I agree that stock index futures is the best to trade on pullbacks.. have you done any research concerning markets moving in waves?

BARLI, I'll need to rearrange your statement to agree with you. I prefer, 'on stock index futures, pullbacks are the most favourable short term trades ...

One other testing idea I've yet to investigate fully relates to market structure. Let me expand with the hope of attracting other ideas from the board.

Typically, trading breakouts allows one to jump on markets moving beyond certain historic highs and lows.
But is breakout trading efficient in ...

Any ideas as to what the latter three are doing differently?

i share your curiosity...
my guess, based on dreams of having millions of dollars to trade:

the more obvious
- 10s of systems per market, diversifed by timeframe and method
- 100s of markets

the more esoteric
- risk models that manage ...

In an ideal world, the following trading sessions would exists:
Day Floor: 7:20am through 2:00pm
Day Electronic: 7:20am through 2:00pm
Night Electronic 3:00pm through 7:19:59am



Once the pits, finally, die, I'd like to see:

Day Electronic: 8:00am to 6:00pm
Night Electronic: 7:00pm to 7:00am ...

my last (i.e. never again) stop order in the cocoa pit took 6 minutes to execute and charmed the pants off me with 44 ticks slippage.

viva the screen.

I imagine you mean "CPOs" and/or "Funds" rather than "CTAs". In order to trade thousands of Ralph Vincean Market Systems (what you call individual equity curves), at low enough leverage to produce an overall 10% CAGR with 10% MaxDD, after fees, and with at least one contract per Market System, the ...

It seems to me Jim Simmons is very good at playing the Media to his advantage. I think the image/reputation he has built up is almost as impressive as the returns he continues to generate.

While I, in my limited capacity, see trend following returns eroding over time, I believe trend following is a ...

A thought from the inexperienced...
From c.f.' book, four market types are suggested:

- Stable, Quiet
- Stable, Volatile
- Trending, Quiet
- Trending, Volatile

Is there enough weight in Mean Reversion to add it as a third dimension?
Or, would you consider the property a subset of volatility and ...