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Actually I have. If I were trading using stops there is no question the es is better. For now paying $62 for sl and comm per round turn is pretty good for me. I also could adapt quickly to a big electronic contract.

I trade 100% mechanically in futures and options. The results are in line with historical testing and I keep a close eye on slippage. In the big futures indexes the average slippage for the sp is $26 and for the nd is $58. I use different entry techniques to mitigate slippage in different...

Sharpe ratio also works for me with intraday data. As far as dumping the trades from Tradestation into excel, how do you get rid of the dates in the column in the performance report? The Sharpe ratio, in my view, has to be taken into account along with other performance figures.

Thanks for sharing. What is your technique, T/A, Congestion, Trendfollowing, DT'ing? Good trading.

CB, as an option seller I watch the vix pretty closely. 5-10% moves are faily common when the vix is > 25 as there is quite a bit of fear in the market. Compare this to 3/02 and you'll see much lower vix levels and % moves. The bottom line is this: when the market is falling, fear is created...

I believe this is correct. The Vix measures fear more than volatility. If volatility is to be measured, then an ATR or something similiar should be used.

You better believe it. Looks like my premonition was somewhat correct. Thanks for the details. In my experience the volatility skew has made the otm puts worth more than the comparable otm calls so in the long stock scenario you must be buying puts further out. I might be mistaken though...

So much for intuition. What if you only played it when the entire market participated in the move? Perhaps this would filter out the bad trades.

My guess would be that your system would for the most part still work even with companies going broke. Especially if it was a situation with the entire market oversold, less so if it is company specific. Let me know if you need a couple of years of Enron ascii.

Besides a long only system, as clearly a company going bankrupt will lose money for shareholders, what systems did you have in mind?

This would have to be a play off of option pricing as there theoretically is no risk and no profit in being long the underlying and short a synthetic at break even on the same issue with strikes at the place of underlying entry.

Grew up in Kailua, great place.

There is a good deal of valuable info here but the one thing I would add is to get a good, agressive and reputable attorney firm to represent you. When attorney's take on clients they are also taking on the risk because they are now giving legal advice. If someone files a suit and the...

Nope you are right, short and short faster than you'd go long.

Valid questions. System traders tend to constantly explore ideas but stick with what they know to work in the immediate term. My theory has been 'quick to test but slow to implement'. There is no harm in learning through testing but learning through trading is most likely going to be...

The breadth issues are valuable to me in trading. What would be great to have but is quite difficult to find would be breadth data for the sp. In years such as '99 with divergence much of the breadth data was less accurate.

Correct, and often 35 non qualified investors are admissable also. It is rare to find non qualified investors to make the minimum investment though. There is a trade off for the hedge funds flexibility and freedom, it is not advertising and exclusion of the general public, which is largely...

I feel system trading is the way to keep the long term perspective and the emotions in check. It is nearly impossible though, if the trader had no hand in the development of the system.

Do you have details Wally?

This idea is actually used often in the long term. There are a number of firms that have a built in stop to shut the company down after x% of initial capital is lost. On a monthly basis though, funds may not want to be limited to a maxdd in that time frame. If the monthly dd's are too large...