Traders' Roundtable

nodoodahs,I follow your key-words on google searching,but it'seem that the first and main results pointing to this forum :)

and there is only mentions in brief found,as sluggo said.

In my opinion,there are three kinds of performance indicators(PI,for short),the first kind is basic one,including ...

Yoyo2k,

There was a blox posted that did calculate % daily return for ......

yes,that's what I will do,thanks.

Of course it's possible to devise a trading system based on spot moves, and then apply it to futures contracts.
......
* the fact that leverage, once applied, is no longer constant ...

I search both Mark Johnson's figures and g.c.Ratio on google,but couldn't get valuable result.

that's why i post here for help.

nodoodahs,your thouhgt about ATR is very intelligent,yes,in general,low price results in a relative low price range in any market state,in this case,it's fine to use point-based price series.

AFJ Garner,neither CSI nor blox provides unadjusted or spot data of my country's markets,so I have to ...

Adrian77,sorry to reply so late.
ATR is a great tech,but in some situation,percent move is better,for example,a 200 points move when the price is 1200 may be a huge move,but a it's only a minor step when the price is 4000.
So it maybe better when applying both atr and percent move together,and ...

hi,ted,i'm interested in your words "...Why does Mark Johnson calculate and print a half dozen different goodness figures? Why did g.c. invent the g.c. Ratio? ..."
could you please post the links about Mark Johnson's figures and g.c.Ratio?
I could find them myself.
regards.

From the algorithm,ony point-based indicators could be used directly on the back-adjusted continuous data,this bring much discommodiousness,is there any indirect way to use percent-based or absolute-price-level-based indicators on this kind of data?

For the judgement of "if price go above 5% of ...

Oh,thanks,sluggo,you are always so warmhearted,but my spoken english is so poor,i think i could not talk with Mr. Stridesman at all,even he wanna to talk with me :(

so i prefer to paste data and process here,guys who are interested in the RAD data could discuss here.

below is my example data ...

unfortunately,I got a "The requested resource could not be loaded. libcurl returned the error:
Couldn't resolve host 'www.thomasstridsman.com'" error when I tried to access stridsman's web,could you please give me some other clues,please?

regards.

The RAD futures data from Mr. Strideman is a kind of continuous data which multiply a factor on the the data that should be adjustd,instead of moving it up or down to eliminate the price gaps.

Strideman said,the RAD data could keep the percent-based relationship between price data.Well, in the case ...

Got it,thank you,7432.

The point is historical reality v.s. trading reality.
And I think,mybe it's reasonable to remove the bias from inflation when there are more than 10 years,but others bias is from the adjusting rules of continuous data,it's inherent.

regards.

Hi,guys,recently I read an article about continuous data,which said, "When early contract prices in a concatenated set are significantly less than their real contract counterparts, they tend to produce a bias that in simulated trading would heavily favor the act of buying over selling. In addition ...

Trading on Back-Adjusted continuous futures data,one could get the profit from the difference between entry price and exit price,in this case,it seems that the trading/simulation result have nothing to do with contango and backwardation,for example,(2760-2639)=(3012-2891).

I'v read joe ross' book,Trading Spreads and Seasonal,it explains the theory,introduces seasonality for pair trading,I learnt much from his book,but still says nothing about the issue of my post here.

Could you tell me how to get his email?maybe it's a good idea to send him an email for this ...

Someone here trades commodity pair/spread ?
I'm interested in pair.spread trading of commodity,but the ways I got about how to select two legs for trading pair/spread in commodity are all by subjective/fundemantal judgement,it seems that there is no way to do so mechanically ?

For example,in the ...

OK,it's a good defination,I decide to collect several methods and list them side by side to track,and select the fittest one.

Thanks,guys.

but maybe the first one which should be made clear is,how to calculate risk?
should I calculate risk by statistics,or VaR,or straightforward $ or percent calculation?
The following monitoring and adjusting method should be designed based on the foundation of the type of risk calculation.

I wanna to design a method to monitor the whole system's risk/exposure,when the risk/exposure is too big,the method could limit the heat of the system by reducing the position size.

but I don't know the exact direction,could anyone here shed me the light,please?

thanks in advance.

c.f.，do you plan to publish your article ?
I'm longing for it

Recently I met a problem about sequence of testing porfolio,position sizing,and monte carlo simulation.

When running a trading strategy on a single security in a software,and accepting its performance,I used to test it on a porfolio to conform its performance robustness.

But this time,different ...