Traders' Roundtable

I don't plan on trading the equity curve beyond the start date because it is an indirect way to explain what is happening.

The drawdown of a system represents something about the market. In trend following it represents a period of low volatility or non-trending conditions. Now, the question is ...

I tested subsequent performance from drawdowns in a system with a MAR ratio of 1.42. Trading commences on the first date of a 25% drawdown and ends a year from that date.

http://www.youtube.com/watch?v=5ZT_nrrpe8c

Don't get any big ideas
They're not gonna happen
You paint your smile
And fill the holes
There'll be something missing
Just when you found it
It's gone
Just when you feel it
You don't
It's gone forever

She stands stark naked
And she beckons you to bed
Don ...

Not a side note at all, RedRock. Obama is the most likely candidate to "fight" high oil prices with increased margin requirements and higher taxes on 1256 contracts.

SIDE NOTE: John Templeton revoked his U.S. citizenship in 1968 to avoid paying U.S. income taxes.

Solong -- arguably all real assets have an upward drift as a result of inflation. The current boom in the Prices of Everything can be partially explained by the lag of prices responding to the expanded money supply of the last 20+ years. A few years ago I remember taking the CRB index and adjusting ...

Energy Speculation: Is Greater Regulation Necessary to Stop Price Manipulation? – Part II
Subcommittee on Oversight and Investigations Hearing, 11:00 a.m. in room 2123 Rayburn House Office Building

http://energycommerce.house.gov/cmte_mt ... s.List.pdf

I wouldn't hesitate to trade short in a large account because logically it's less systemic risk and provides some price shock protection.

In a smaller, aggressive account I'm leaning toward trading the higher expectancy until the lower risk is more affordable. The issue is that the higher required ...

Trend following in stocks often puzzles those who wonder why it doesn't work like it does in futures markets, but maybe it's not such a big mystery. Richard Dennis reduced this to stocks being "more random," but there is a simpler explanation: stocks, especially stocks of a single country, are ...

> I trade forex, so being long/short depends on the arbitrary order you put the pairs together.

levijean -- I have thought about that and my argument doesn't stand up in the cased of cross rates unless you consider (and you might not) that in most crosses the reserve currency is psychologically ...

I'm almost willing to buy the portfolio theory argument but consider that by trading all the margin-to-equity ratio almost doubles and the average total risk profile increases. Do you really feel good about using twice the leverage just to get a slightly higher MAR ratio?

And in some cases, the ...

I haven't been super creative, but I've yet to find a traditional trend following or breakout system that has any edge at all on the short side using data back to 1984 for 60+ markets (aggregate portfolio).

The reason seems obvious enough: trend following rules favor a particular type of uptrend ...

Risk percentages aside, the principal of it seems natural. Take more risk now, less risk later. It's considerate of the idea that the system's worst case might be just ahead.

If it's useful in the first place, the most useful way to trade the equity curve might be day one. Start with higher risk ...

Hidden genius in Mark Johnson's old PGO system:

Bet a variable percentage of equity on every trade

Make the variable percentage equal to 2.0%, times "A" where "A" is an "aggressiveness" factor. When the account is small, we will be aggressive. When the account is big, we will be unaggressive ...

The long-only question is compelling. The obvious clue is that if something can go up an infinite amount but has a limited downside by nature, why participate on the short side if there are enough long trades to put the capital to work? It seems much more likely that "good" volatility can occur in a ...

A perfect storm of enthusiasm, inflation, credit expansion, and government intervention to stem the mania has created a stunning downward spiral in Vietnam. This is a country that has great prospects and will continue to benefit from its natural resources and proximity to China. A turnaround might ...

The question I aimed to raise by pointing out unlikely DD's: What are the things that improve sustainability most with trend following? The three that stand out to me are conservative leverage, diversification among markets, and diversification among strategies (which, with little evidence, I feel ...

TradeStation's portfolio management and conditional abilities don't compare to TB's modular approach. TradeStation was once an innovative and competitive testing environment (one of the first retail packages) but they started to go downhill when the software became a sales platform for the brokerage ...

It's a good point that assignment of "good" and "bad" to particular periods requires a clearer definition of the strategy on account of the different ways there are to follow a trend. The media refers to hedge funds as returning something for a particular year but the statistic isn't very useful ...

1994 is the worst period for long term trend following in my testing. Stock markets were consolidating, interest rates were reversing, and on average things were flat for the rest. Too much leverage was fatal in this period, and funds that experienced losses saw a client exodus like they'd never ...