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You don't remember the name of the firm do you?

I am having trouble understanding the results you get for the first option vs the second option. In the second option are you getting an entire equity curve constructed by randomly drawing from your distribution and in the first you are only getting a single value? I would prefer the...

May I ask what the full quote was?

spike, Thanks for inspiring some of us here. I have one question. You said you backtest by hand? Is that correct? Would you be better off programming your system to test it more rapidly and across more parameters. Also this may help with the adaptive elements.

cia600, can you point us to any sources to confirm that? Ugly Americans was the first thing I thought of when I heard Hawaiian hedge fund. Can you believe that guy made what 50 million on an index addition deletion trade? That made me realize success in some part is taking traditional...

I have to correct myself here. I believe what they meant by spread is not the typical pairing we picture. Aren't those margins specifically for trading different dated contracts, i.e. long this months contract, short the next, hence the "intra-commodity" aspect. Sorry, what was I thinking?

Those 20% margins seem lame. I have perhaps a silly question. I see that the intra-commodity spread margin rate is only 5%. Is that spread controlled to correlated assets. For example could I find a commodity which doesn't move at all, pair it with an index future, and get away with putting...

PuffyGums, those are my two favs. I lost my copy of Open Outcry. That movie is so good. I love the guy who's doing index arb talking 500 words a minute into the phone, stopping, jumping on the desk and yelling, 'Where the #$%@ is this guy looking?" to his wandering eyed clerk. Classic. If...

I never trust open prices too much on cash indices for backtesting for the reasons you mentioned. Try your same system on QQQQ or SPY data. They won't have the same problems.

Why not simply take the futures price since they always trade at open and calculate the anticipated cash index value by looking at fair value?

Waiting for trades is no big deal. You should be so busy it is almost a nuissance. Spend your days testing more and more ideas. Then as you get more proficient with programming you could automate the systems so you can let them run for you.

Runningbear, Any idea what makes the Aussie market so resilient over time? Is there something with their economy or resources? I noticed it was up big last year in a strong trend.

IGolf, What I meant by volatility I think was misinterpreted. Go study the concept of "ATR". Each stock has a unique Average True Range. Most stocks behave similarly, just altered for their volatility. You should tailor your approach to adapt to this volatility. For example make your...

Big question ... How much buying power are you big swinging youknowwhats throwing around to make this type of money? I'm impressed by the performance. I am just curious as to what type of capital is required as well as measuring the efficiency of your trading. Keep up the great thread!

IGolf, An 11 part trading plan that has never been backtested is not a good idea. Yes it is good to have monetary limits when you are starting out but remember to tailor these to the volatility in each stock. A fixed $X stop can either be way too big or way too small depending on how many...

Cutten, I love your thinking. If only I could study enough charts to know how difficult it might be. I will say though that there are somewhat repeatable patterns in crashes. Just check out Sornette's anti-bubble theory and how many times that basic downdraft to reinflate to downdraft pattern...

ig0r, you're only 18. Very impressive!!

I would suggest backtesting your own original trading ideas yourself in your spare time. Perhaps even partner with a computer science major when you go to school. Backtesting will save you time and money. Actually trading each new idea in real time is too costly in terms of time and money...

Can you try www.5perside.com? I know they have a lot of products including pit traded ones.

If there is no autocorrelation of returns then "trading the equity curve" by following the trend of the recent past will fare just as poorly as trend following in a market with minimal autocorrelation. Well put prophet!