Traders' Roundtable

Several people discuss their solutions to the problem here: viewtopic.php?t=5991

I was in your shoes once, cbrenner. My solution was to follow the advice embedded in the title of this thread: Measure (which is a verb) the most active contract months.

It was good advice. I learned a huge number of things, just from the exercise of "thinking and doing". And then when I looked at ...

Have a glance at

http://www.elitetrader.com/vb/showthrea ... did=126269

Have a glance at

http://www.elitetrader.com/vb/showthrea ... did=115626

Yesterday, 12 July 2007, was a heck of a nice day for diversified trend followers. Among my loosely organized clan of futures buddies (we're not the Incline Village tribal sorts), yesterday's return ranged from +3.0% to +7.2%. Quite nice for one single day. If you could just put 252 of those ...

Some people divide up the job into three individual tasks and apply a different sets of rules ("algorithms") to each task.

Task1: For each stock, or forex pair, or commodity on the watch-list, calculate an Index of how well that stock is moving. In the recent past, in the present, and in the ...

A number of Roundtable members seem to believe that "Portfolio Selection is King" and that what you trade is far more important than how you trade. Other members feel that this is an invitation to overfitting-the-past and inherently dangerous. The most stiff-necked and stoic among them adopt an ...

... if I wanted to put together a pair of systems with low correlation, green and blue might be an excellent choice. They can't possibly be more than 35% alike, long term, because blue is in only 35% of the same markets at the same time as green. (And sometimes blue might be long while green is ...

One must be careful to distinguish between "number of active positions today" versus "number of instruments in the portfolio". They are not always the same. For example, I put this little droplet of monitoring code into three different trading systems and ran them on the same large portfolio for 25 ...

What is your criteria for entering a short? New N-day low, EMA, etc?
I use the PGO system, with my own choices for parameter values. Also I experimented with little tweaks and twists here and there inside the system. For example, where the original PGO uses the "Close", I experimented with ...

My slowpoke system didn't short Lumber until the downtrend was well established.

I couldn't find a way to paste the HTML output of Blox into the BBCode required by this chat system. So it's just an image file, sorry.

I decided that the Delightful parameter set was (40,12). Here are its results.

For what it's worth, here is the procedure I would use if I were you: Choose a range pf parameter values for #days(fastEMA) and #days(slowEMA)
Choose a stoploss
Choose a portfolio
Choose settings for slippage and commissions
Run backtest simulations of the above
Export the simulation results to ...

It is my opinion that to make standout return:risk you must be prepared to have a rough ride, and take paths that others would rather steer clear of(e.g. in your optimising do not go out of your way to prioritize smoothness).
For many people (institutions etc), the word "risk" is defined to be ...

There are a few well-known, standard procedures for avoiding the Scary Monster that rabidric describes: Backtest over many many years of past history
Test (and trade) a large portfolio having at least five markets from each of the eight commodity sectors
Use an optimization criterion that prizes ...

I have tested for fixed dates quite a lot in the past.
In my case I have been able to satisfy myself that in the longer term
different roll dates or algorithms do not make too much difference to my
system's profitability. So I will be happy to use fixed dates.
Today is a specially good day to talk ...

I have also found that the more traditional exponential moving average, which uses a smoothing factor equal to 2/n, provides better results
Oh come on. This is only a problem because people are too lazy to talk about exponential moving averages in terms of the smoothing constant (alpha). Instead ...

If you're saying that large Open Interest means high liquidity, I don't agree. Volume is the number of contracts that traded on a certain day. Open Interest measures the number of contracts that didn't trade on a certain day. If volume=100 and open interest = one million, there were 999,900 ...