Traders' Roundtable

......but the curve is after deducting 2% management fee and 25 % incentive

Forum Mgmnt,

Thank you very much for your prompt answer.

Best, Helmut

Copied from elitetrader-Forums ›› Technically Speaking ›› Strategy Trading ›› Original Turtle Rules - Discussion with Murray Ruggiero
..........also you use a different instrument portfolio than the original turtles used. that's okay, because some of those markets don't exist anymore ...

Today in the morning I get a message regarding my research on slippage telling me and I believe this message in system design you have to be very very carful and very very cautious - basically I believe this.

... and I think my fellow traders, system designers and hedgefund managers have a problem ...

If I use the 8 % slippage value on a more short term futures system with 51 more or less liquid markets I get in TB 2.1b2 rd. 17 $ slippage per round turn. :P 8)

And with in mechanica´s info-package used trading cost assumption ("Trading Costs: slippage and commission set to equal the dollar ...

Now let us look at the slippage estimates from attain (attain´s slippage averages to rd. 65 $ round turn )- I am still wondering about c.f.´s 8 % slippage assumption because - what slippage has to be calculated with trading size????

Best regards as ever Helmut

Chris,
I generally test with 8% slippage.
If you have a good broker, this corresponds pretty closely with what I have seen in real orders. Sure, at times, I'll get much higher slippage, but there will be many times when you get no slippage.
If you have a lot of systems that only use stops at ...

Thank you all for your time and effort!

I attach a graph showing max margin/equity ratio %, avaerage margin/equity ratio and CAGR% of one of my systems as a function of leverage.

As far as I see all examples of the performance of trading systems (created with trading blox) presented in this forum are with the global parameter leverage set to 1. As my experience shows that even the total risk profile shows you a tolerable heat, the margin to equity ratio could reach values ...

But does that mean I cant ask the same question to 20 different people until I am satisfied. This is not "How many miles to california from Seattle.?" This seems to be a question based on perspective. Althought, I was kind of expecting something like this:

"Hi marc. The turtle system is up 22 ...

I am getting more and more amused reading the same questions over and over again. Some would like to learn from others some are ignoring the answers and advice they get .....

From the WEB page: "Independent Trader Averages Returns of 80% to 120% per Month - Read our customer interview with yp Shramenko, who used TradingSolutions to achieve returns of 80% to 120% per month. "

I am speechless........

I uprade my Unfair Adavantage Version from 2.81 t0 2.84. I use for research listed and unlisted stocks. Version 2.84 stops working and a pop up window recommends calling CSI Marketing.

I learn that CSI has many customer complaints but management decision is irreversible --> I can write a e-mail ...

I check the values in my CSI Data - yes because of the dividend the values become negativ.

I think because this stock has almost no volume - thats why the market is not efficient????

Rdgs, Helmut

I think using a database costs performance. Think of running a stock system over all listed and delisted stocks (Nasdaq - 7500)??!

I use TB and it has out of obvious reasons no SQL database. It uses files (metastock or ascii) and etc. for futures a additional data dictionary.

Now compare the ...

TB is a tool for system trading and it doesn´t intend to be a second tradestation or metastock. It is nice that TB has some graphics, but you can´t draw a trendline.

Example screenshot is in the TB help file:

Again what is frequent. 1 trade per day or 1000 trades per day?
Rdgs, Helmut

Tom,

I am wondering what a high frequency trading system is (markets - futures, stocks, forex; intraday -EOD; capital requirements etc.). I recommend being more specific.
Rdgs, Helmut

Yes, it is possible. There is a instrument property instrument.totalPositionRisk.

If you would like to do a lot of research and you don´t know your system yet then I think you should go with veritrader because the speed is .... wow.

And I think the programmable version 2.0 will come soon.

I tried TR, use wealthlab and even bought tradersstudio. I would say don´t go with ...