Traders' Roundtable

Thank you very much for the pointers, which were the real gift. Now, if people weren't able to google them down, as I did, I wonder what value they will get from someone else effort to dig them out.

You may find this useful.

A not so short while ago, I did some web research and chose a CTA that I could trust and would statisfy my criteria.

It turns out that this CTA is down about 30% since inception, yet I have no intention, at all, to jump ship. All the reasons I had to chose them then, still hold today:
they use ...

[...]My point (& question) being, wouldn't the stop loss order have to be "on the book" if prices are not being monitored during the day?
The distance of your stop, and whether to have them "in the market" or "in your head" are two orthogonal issues.

Many here can report about their stops being ...

What is an effective method of placing stops in a system where you don't look at the prices until the EOD?
A very simple answer is to estimate the amount of slippage you'd get on your stops, and factor that in your position sizing. In your $50 example with a stop at $48.50 and a close at $47 your ...

[...] but I suggest that it might not be a good idea to post a proprietary research piece up on a public forum such as this without JP Morgan's permission, given the copyright.

As someone working for one of JPM competitors, I can attest that such "research papers" are meant to be read by the ...

My point was that the so-called "patterns" are probably deceptive. And if I had an algorithm to spot "double-tops" as easily as the eye does it, my contention is that it would be as ineffective as humans are in actually making use of it.

Assuming this was possible, you would run into all sorts of ...

Not to be teasing, but ... Isn't the answer contained in the question?

Let's put it that way: it is probably as easy for the eye to spot the patterns you mention, as it is for the same eye to miss the crucial "anti-pattern" that voids the first ...

Not to mention the fact, as Dr Elder puts it ...

Unless you have other strong interests in life (reading, having fun with friends, playing some instrument, painting, writing, acting ...) I would suggest that you need a day job to escape the boredom of watching prices that don't go anywhere 90% of the time, even if you can afford not to get a ...

An alternative method (and it might be what Sluggo was hinting at) is to assume you are to trade each market at the very instant the signal is issued by your system. Obviously, for back testing purposes, this requires that you have access to intraday data, but this is probably the only method that ...

SL, I apologize in advance if you feel like I am putting words in your mouth. I am not, but what follows is how I perceived your post, right or wrong... :arrow:

When I first read SL post I could sense some kind of emotion between the lines that I'm all too familiar with. In a nutshell: you've ...

Well ... I "Googled TrendSimplicity, listened patiently to all 7 of the video demos (where the guy utters the word "simply" three times a minute, and teaches you how to open and close windows ...)

This system might be good. The question is, would I trade it? And the answer is a resounding: No ...

Not to be such a nit-picker but ...
[...]I'm only guessing here but I suspect that SL doesn't yet know exactly how he would handle this situation when trading his account real-time, [...]

Isn't SL precisely saying he doesn't know how to handle market selection in his post? And isn't he asking for ...

While the event system sounds great for "real time", I'm not sure I would want to generate 60,000 events each and every time I'd like to test 30 markets over 10 years ... (200 days * 30 markets * 10 years)...

Loading those data from disk in one go, and then processing 30 arrays of 10 years price ...

Does this tell anything about the weird lot that traders are? When everybody else is supposed to prepare to rejoice in familly, here we are, talking, breathing, smelling, eating trading on Christmas Eve

Have you used it successfully yourself? Any gotchas?
As far as mechanical trading systems go, the answer is no. I don't need the database concept to store and retreive even large market datasets even more so for huge datasets, when I come to think of it :idea:

Regarding market data standards you ...

Ksberg points on time are very convincing.

There is another dimension that he alluded to that must not be overlooked either: the level of abstraction.

This has nothing to do with time, but with the what it is that you will be able to achieve using language/tools/libraries X, Y or Z.

I started C ...

This is effectively optimising by proxy on your OOS data. You can only walk-forward on your OOS data once. After that it becomes in-sample data.
What an insightful remark! I knew this forum had great contributors :)

To me, this single observation just kills OOS forever. It is also calls for a ...

There is an answer which is so obvious that I surely didn't understand the question :?

Let's take a simple sequence of numbers:
20, 23, 28, 25, 26, 29, 27, 23, 21, 20 Then draw a mark each time there is a "trend" change:
20, 23, 28, 25, 26, 29, 27, 23, 21, 20 ...

Once or twice a week, when heading back home from work, I stop by a nearby Irish pub for a pint of Guinness. Just one pint, that's important for this story, as I am a slow drinker and it takes the best part of an hour for me to finish it, and I just don't fancy spending ages in a pub. During this ...