Traders' Roundtable

LeviF: Is your system a countertrend system? I think that these kinds of systems are tempting, because that high win rate can make the results look really good. However, the really damaging losses don't show up until later, and its hard to really predict them. Vic Niederhoffer successfully traded a ...

AFJ,

I'm a little dense today, so bear with me...are you implying that Dunn should have left their systems alone, or were correct in modifying them. I couldn't tease it out of the context of your post.

This might be a bit tedious, but you should use a charting program to bring up a chart with the necessary indicators and go through 25 to 50 trades BY HAND, to see entry/exit/risk, etc. This should help you figure out if the system matches the output.

Here's my counterpoint to the OP, although it is by no means an exhaustive analysis. The attached spreadsheet shows a portolio that I created using the IASG database - called "old school TF." These are CTAs that most people would have recognized as top performers in 2001. (I don't have performance ...

Looks interesting, Dean. I may take a look at this over Christmas break.

My "drug" of choice is a cup of black coffee in the morning. Caffiene helps me focus, as I'm borderline ADD.

I remember reading an article a long time ago where high-level symphony orchestra musicians had a thriving black market in beta-blockers. Beta blockers reduce high blood pressure, but also ...

That is a subject that a good estate attorney can help you with (for a nominal fee, of course!)

You can set up instructions in your will - for example give $x in cash (for immediate expenses, etc.), invest $y in a pre-selected investment portfolio with a conservative allocation 50/50 world stocks ...

Here is a strategy that has already been backtested. Looks interesting. You'll have to know a few things about option pricing to get the parameters correct, though.

What astounds me is that the equity curve doesn't look like a typical "short volatility" curve. There is another paper published by ...

One scenario which may leave the "Euro" intact is, ironically, the wholesale abandonment of the "Euro" by Southern Europe. In this case, the Euro starts to look something like the "Deutschefranc," which would be relatively stable. While the transition would create severe volatility in the short-term ...

ESZ11 is by far the most active contract of these two you mentioned and is the current "front month." Once December (ESZ11) expires, you roll to March (ESH12).

If March (ESH12) Expires, does it roll to Jun (ESM12)?
If Jun (ESM12) Expires, does it roll to Sep (ESU12)?
If Sep (ESU12) Expires, does ...

This is another questions referring to S&P contracts

If today is 10 Dec 2011, does the front month at Dec Jan 2012 contract?
If today is 10 Jan 2012, does the front month at Dec Feb 2012 contract?
and so on ...

If I trade S&P 500, which one plays an active role on representing S&P contract ...

We've had a lot of huge moves in the past few years (gold, silver, corn, cotton) and we are reaching a transition point where things get volatile. There is a great interview with Paul Tudor Jones done in 2008 that I think has a lot of applicability to the current environment.

http://www ...

I recall that Tom Basso has a similar system for limiting risk (at least at the time of his interview in Market Wizards .) He limits "total open volatility" (i.e., the total $ value of ATR in his open positions). If volatility goes up, he trims back positions until his portfolio is back at the ...

The way I would approach it is to take the option premium and make that your "1R" risk.

As to adding to positions, time decay makes it problematic. However, you could try adding a position to the next expiration month. So, if you bought 10 NOV calls and your system tells you to add another 0.5R on ...

SURELY 2 TF's with correlation below 50% are not TF 's ?
Seems carazy to expect 2 firms who both follow trends in global futures markets to have a correlation of less than 0.5 ? if tehy do something maybe wrong


I think by the broadest definition of "trendfollowing" (a medium to long term system ...

what have others found ?C

I stumbled on a similar discussion on a "quant" trading blog. The author does a lot of stat arb and thinks a lot about optimal leverage vs. performance, etc.

In this post http://epchan.blogspot.com/2011/07/sorry-your-return-is-too-high-for-us.html , he offers a similar ...

I think you have it backwards - the contract rolls when open interest on the front month falls below the next month. If open interest isn't reported or front-month OI hasn't fallen below back month by 7 days prior to expiration, then the contract rolls automatically 7 seven days prior to expiration ...

I would look at barchart.com. I don't think that it has DMark/French Franc, but it does have some fairly long-term charts if you tweak the settings enough. The continuous charts are NOT back-adjusted, so you will need to look at the "cash" contracts.

[quote="AFJ Garner"]What was that word I was grasping for? Ah yes, “Hubrisâ€

Trend-following takes advantage of the nature of financial markets to have "fat tails" - you cut losers (which protects you from the downside fat tail) and let winners run (which reaps the rewards of the upside fat tail.) The trades in the middle cancel each other out.

You can look at kurtosis ...