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Exploit the fact that you (mizhael) are a hedge fund manager with a multi million dollar account at an FCM, Newedge, which only accepts institutional business. There are no penny ante retail scum newbies @ Newedge. Diversify. Create continuous futures contracts four different ways...

The Quant Finance group at LinkedIn is pretty active http://www.linkedin.com/groups?home=&gid=90917 HOWEVER they usually give the cold shoulder to gimme gimme newbie newbies who beg for guidance.

You could always try this http://tinyurl.com/2vtkjjs

Do what YOU think is right, ignore the recommendations of others. It's not their money at risk, it's yours.

The purpose of testing on historical data is to give yourself confidence that a strategy will perform acceptably-to-you, in the unseen future. This rests upon the often unstated assumption that market price behavior in the unseen future will strongly resemble market price behavior in the past...

http://bit.ly/aUckhg http://bit.ly/6qnzd5

One way is to purchase capability from vendors. You can find LOTS of vendors at trade shows such as (FIA Conferences) or (MFA Forum) or (others). VWAP is a very popular product, there are many vendors. Another way is to hire a consultant. Ask Newedge to recommend a few of them. Ask...

I enjoyed "The Dhandho Investor" by Monish Pabrai Amazon link. Beware: he's a Buffett worshipper; if that puts you off, don't open the book.

Or, discard those backtest results and start over. Test using a fill price that you KNOW how to reliably achieve. For example, you know how to reliably achieve the VWAP ... so develop, optimize, backtest, and walk-forward test using VWAP as your fill. You can think of other examples as well.

What have you tested (so far)? If your test results let you confidently say, "X doesn't help much" (or "X doesn't help at all!"), what are some values of X from your research? What are the three ideas in this area that you are going to research next?

This is the one that I happen to like: http://www.barclayhedge.com/research/indices/cta/sub/sys.html If you pay the $5000 per year subscription fee, you can access many, many other indexes, from (of all companies) Morningstar.

Edit the source code of each strategy and introduce an externally supplied input value, named Doomsday. If Doomsday is equal to 1, exit all positions immediately and do not enter any new positions. If Doomsday is not equal to 1, operate normally. To turn off a strategy, merely change its...

Do some computer modeling. If the strategies are mechanical trading systems, backtest them together, trading out of a shared pool of capital. If the strategies are discretionary, model them using random number generators with appropriate frequency distributions, and test out the idea of...

The risk free rate is the interest from short term government bonds ("T-Bills"). To beat it by a couple percent, buy a diversified portfolio of longer-term, slightly riskier bonds. You could mix in a small amount of "High Yield" (aka "Junk") bonds too. There are numerous ETFs that provide...

An Examination of the Shrimp Futures Market By Josué Martínez-Garmendia and James L. Anderson ABSTRACT Two shrimp futures contracts have been traded in the Minneapolis Grain Exchange (MGE) since the beginning of the 1990's. At their inception, these two contracts were considered a...

See if you can find it using internet search engines. I'll check this thread next month -- if you haven't found it by then, post an "I can't seem to find Wealth-Lab" message & I'll post the URL.

I assume you are referring to White Sugar #5 in London on the NYSE Euronext LIFFE exchange ? Here is the chart of August 2010 London White Sugar #5

Have a look at Wealth-Lab and other places where lots of mechanical trading systems are measured. You'll find an entire category of systems that don't use stops; often they are described as "Market Orders Only" types of systems. The simplest example is a Channel Breakout Pure Reversal...

You could add a new Exit to your system. Something likeIf((position is not Flat) and (todays volatility > 1.1 * (60 day average of volatility))) then exit half the positionor If((position is not Flat) and (todays volatility > 1.5 * (volatility on the day of trade entry))) then exit all of the...

If you're a programmer, or have a programmer who works for you, it's not all that difficult to create your own program that "designs" trading strategies. If you don't want to invest X dollars of money, buying someone else's program, you have another option: invest Y hours of time, writing your...