Search results

Every little bit helps...now if we can get 14,000 ET members to do the same.:D

I hope you're wrong. I've got 6 separate long positions going into the close. Somebody quick, enter 3 2000 lot buy contracts on the emini. I promise I won't sell at 940.

I didn't want to trade but thought the train might be leaving the station and I sold the ES at 84650. When it consolidated around 84500, I was happy to be out with 1.5 pts. Trying another short now...looks like it may take us to new lows.

Anybody seriously considering this, should check this out: http://www.quatloos.com/Tax_Protestors_Page.htm

Dow Futures spiked up above 8050 also! Haven't heard about any of those trades being broken. Just another way for the CME to stick it to the CBOT.

SPH3 peaked at 85400 @3:11. Seems to me that should be the break trade point. Why give a windfall of 6 pts. to the arbitrage guys?

Got the details now. Three errant trades of 2,000 lots each were entered into the system. Everything above 860 is cancelled. The originator is eating the losses on all fills up to 860.

Globex Control Center sent out a notice at 3:23 CST. All trades above 86000 are busted...exchange related problem...

At 15:07 Central Time someone put in a buy order for 6000 emini's. There were 614 up ticks during that minute. Previous minute total volume was only 460 contracts. Someone miscalculated the depth of the market.

Need to add George Washington University to the list. http://biz.yahoo.com/prnews/030203/flm002_1.html

You're treating the 2 trades as 4 separate series of two trades. You're also resetting your account equity after every 2 trades. Would you really add or subtract money from your account after every two trades? If so, then yes, the expectancy would breakeven. If you combine the 4 series of...

All I was showing was that by using the % of equity as a sizing strategy, it adds a negative expectancy that has to be overcome by the expectancy of the strategy. There was more about this in another thread and I put together a little spreadsheet that shows the more you risk per-trade the...

You're right that the equity curve preference is personal. From a managed money standpoint few managers would argue that is moot, however. Investors have fled funds with erratic equity curves and shown a preference for a smoother equity curve. I think the orginal post was in regards to a...

If you set the returns the same for two different methods, then there are two variables to achieve the result (forgetting about compounding for a minute), 1). Frequency of trades 2). Expected profit from each trade. Return = # trades * expected profit per-trade In my first post I had the...

Actually they aren't the same. Here's a example using the assumptions I used from above with 3% risked per-trade instead of 1% (to show the effect a little stronger). Here's a cycle of 10 trades using each method to show that the higher win % with the same expectancy and same % of equity risk...

If both strategies have the same expectancy, the same number of trades, and you're using a % of equity for your risk sizing method, then the higher win % is superior. It will have a lower DD, higher return and a better risk:reward ratio. Here's two identical strategies: Method A % win...

You might want to take a look at Stock Trading Wizard: Advanced Short Term Trading Strategies by Tony Oz It's no longer in print and looks like it's going to become a classic.

I'd start by trying to find evidence of squeeze events happening in a market. Say 10 years of events in the coffee market. Once identified, work backwards to see if anything in the data was predictive. I've found that throwing in all the data that might be useful and using a Genetic Algorithm...

Here's some stuff to start with: http://archives.math.utk.edu/topics/probability.html The Analysis of Time Series an Introduction by C. Chatfield Statistical Data Analysis Handbook by Fancis Wall Probability and Statistics by Athanasios Papoulis [B] I treat all data for a symbol...

I do lots of time series analysis. Most of it is original work, but some of it comes from ideas outside of trading (like weather forecasting and immune system reponse). Here's a book that's coming out next month that I think will be of great value if you're interested in this kind of work...