Traders' Roundtable

To decide on bar interval it helps to first determine what type of trader you are. If you determine that long-term trend following (LTTF) suits your personality then you will likely hold trades for months and years. For example many LTTF traders have been short the USD for 3 years now.

This begs ...

..... Stops in the markets are no guarantee.........

A stop in the market does not guarantee your price but it does in virtually all cases guarantee you a fill. An exception might be if you had a stop very close to the daily limit, in that circumstance you might find a fast market moving beyond ...

Thought you might be interested in the response I have just received from CSI.

Per our Database Department,

Thank you for your email. I appreciate your question, but CSI has
never claimed to have all stocks from the very first day of trading.
When CSI started following stocks we had no way of ...

I recently bought 25 years of stock data from CSI. Upon reviewing the data I found many instances where several years of data was missing.

The response from CSI was:

........that is all we have as far as history..........


It is inconceivable to me that CSI would not have a complete history of ...

Picking a price, such as cost-of-production, below which your money is "safe" is a very hazardous proposition. If commodity prices are approaching their cost of production it is unlikely that there are many rational players left in that market, and as Keynes reminded us many decades ago " The market ...

There can be many legitimate reasons, unrelated to the company's prospects, for insiders to sell.

However, when established executives add to existing positions, and especially if the stock has been in decline, this can often be a very bullish indicator.

Liquidity is only an issue when YOU want to trade.

Unless you are in a hurry (never a good way to trade) Limit orders can ensure you get a reasonable fill in illiquid markets.

If want to get out, and choose NOT to join the stampede for the exits, then limit orders, even if executed over a period ...

......Risk for me isn't one number, its many numbers and experience and common sense and structure. VAR is one small way to get a more complete picture of risk. ...... Mike

If you care to share, what risk metrics do you find most useful and how do you use/interpret them in trading for your own ...

sluggo

Assuming you have lower liquidity and therefore potentially higher slippage relative to trading the front month, what additional benefits specifically accrue from trading non-front contracts ?

If trading long-term do you benefit from backwardation and lower trade transaction costs (comm ...

Illiquid markets often appear attractive because of their seemingly exploitable and large price swings. They may also trend well.

However, tremendous care should be taken as it is often much easier to get into these markets than to get out !!

Hi Jake

Re your earlier comments;

......I look at each market and adjust the roll date (keeping in mind 1st notice dates, etc.) to try to get a nice smooth "liquidity curve". I also like to have somewhat consistent roll dates (i.e. roll TY and FV on the same date rather than 2 days apart if ...

If you risk 1/2 percent per trade ...... and have an average win rate of 70% ...... then what ratio of win to loss do you require to return 2% if you have an average of 6 trading opportunities per day?

Despite this - I will happily bet that most people will fail faster in this environment than in ...

In my previous statement, I am referring to capital deposited as margin, but that really does not matter.
OK, I thought so, but the distinction is important. An equity trader would regard his account as all of his capital available for trading whereas the futures trader might only consider his ...

George

Are you referring to equity as a trader's total available capital or just the capital deposited as margin ?

If you are suggesting intraday trades can return 2% daily on a trader's total available capital that would turn a $10,000 stake into:

$1.4m after 1 year
$199m after 2 years
$28bn ...

.....How would you like to be able to make 2% of your equity most days and almost never have a losing day. With bet size 0.5% of equity?

Kiwi

With numbers like that I'd be better off collecting just 10% of the profit you'd make trading my money and letting YOU keep the other 90% :D

2% a DAY ...

.........trading a big portfolio gives me the opportunity reduce the "dynamic range" of total heat.......

Bondtrader

Please expand on this concept, I'm not sure what you mean.

Also, if you are trading 90 futures markets I assume you included many non-US markets. If so, were there any special ...

A lot of emphasis is given to out-of-sample (OOS) testing because it provides a reality check for the curve-fitting tendencies that lurk inside all of us. Applying your optimised parameters to unseen data is the best guide you have to the robustness of your strategy.

However, an easy trap to fall ...

........ The risk adjusted returns are lower for entering mid-stream from my testing.

........... Rich Dennis very strongly argued for the opposite of my advice above during the first Turtle class. If you are shooting for absolute returns he's right, if you care about risk-adjusted returns do ...

Has someone tested Tom Basso's findings??[/b]

Best regards,

Helmut

When initiating trading in a long term system I think it is better on balance to enter all trades that your system indicates are open positions than wait to enter each market on a new signal.

Immediate entry gives you two ...

If 3% is considered conservative, it's no wonder most traders lose money.


My guess is that a high % of traders have had experience with equities before venturing into futures in search of higher returns.

For a non-margin equities account 3% is a reasonably conservative amount to risk as this ...