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No, what I'm saying is in case 2 all you need to do is determine the themes, apply normal trade management skills, and diversify in time, approaches, and markets to control losses. I didn't think I could achieve superior results this way and thought it would end up like the one dimension long...

If you accept the first case you have to believe there is a high signal to noise ratio. Because of this, the opportunities for consistent profitability would appear as islands of opportunity in a sea of randomness. It would require large, indepth study to locate the islands and large periods...

Yes, I've fooled myself with the "perception is reality" argument. My work with my model on immunologic response has forced me to completely change my views on the markets. I used to think the markets were mostly random and chaotic with periods of stable recurring predictability. I couldn't...

With the info I have now, I would've done things very differently. I would trade 100% strategic and 0% tactical. By this, I mean I would diversify simple trading styles like trend, countertrend and rangebound over time and markets. I wasted too much time and effort on when to buy and when to...

My own experience with trading groups is the traders with less complete knowledge will fill in their gaps from the better traders and then take off to do their own thing. Nevertheless, if I thought free flow of information was possible without one or more jumping ship, I'd be interested in...

Haven't met a retail trader yet that has much trading depth. I've asked this question to many people. Only ones that knew the answer were experienced IB traders. Q: You're given strategy A to trade. It requires a minimum of $50,000 to put on its trades. You have $1 mill. in your trading...

Of all the index markets to trade, the Nikkei is the most tradeable. The short term trendiness is the highest its been since 1998 and the volatility is lower.

Just looks like all the moves are coming in bursts followed by large lull times. Even the Russell 2k is less tradeable (but better than the SP).

Not likely. Volatility and trendiness are both below historical averages...making the ES/SP less tradeable. T = Trendiness V = Volatility Numbers across top = number of days examined.

Here's a example. Years ago when the Stock Traders Almanac first came out one of the tendencies described was the last two days and first 5 days of the month being market movers. I verified the condition existed and persisted from month to month in the SP futures. I could have stopped there and...

Vast majority of systems fail because they're not based on a edge in the market. Most are based on fitting a method to the past data. Even with a walk forward test they're just wasting their time. Take the trades from backtesting....put them through a Monte Carlo process...save the 95% drawdown...

For years I traded the big SP with 6 numbers on a sheet of paper. The numbers arranged from lowest to highest were the high,low, and close for yesterday and the day before. I never saw a realtime chart before 1994. Just bid, ask, last, and change from prior close. Only had paper charts that...

Jason, here's something you can get started with (assuming you have 2000i) I've used it as a test to find out if someone has any trading ability. The idea is to beat the system by cutting the losses short. It's been profitable every year from 2001 to the present using 5 min. data and wins...

This article gives a little bit of an idea of the wide discrepency in payouts. I left a IB shortly after bonuses were paid for 2000 so things may have changed some since then. I don't believe the process has changed, however. We had FX arbitrage traders that made about 165k total comp. and Fixed...

If you're a risk bearing trader the total comp. is negotiated between the Sr. MD for the desk and the trader. A dollar allocation will be made for the trader with a expected return net of all expenses. Based on the amount of the allocation, the trader can be paid peanuts 100-300k or serious...

Trader's don't get a salary. Just a draw against anticipated profits. Support staff get salaries. Is that what you meant?

Your 1312 buy looks ok but I wouldn't risk more than 1.25 pts on it. No clear buy signals here.

Thank you for bringing this back from the dead. Actually what I posted was mostly a bunch of nonsense to see if anyone has done the math. There is no drag using fixed % MMgt. At the mean there is, but it is overcome by the compounding effect of using fixed % MMgt. And while drawdowns do...

Setup a Excel spreadsheet. Enter the closing price of the SP in column 1 for each day of the year. In column 2 enter the closing price of the RL for each day of the year. In column 3 at the bottom enter =correl(a1:a253,b1:b253) (253 is the number of days in the year) Multiply the number by...

For the year 2005 the daily correlation between the SP and RL was 92.7.