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"Trading without stops guarantees disaster" "Technical Analysis is worthless" "Your largest drawdown is always in the future" "Always trade in the direction of the long term trend" "Buy and hold stocks is the optimum strategy for an investor with a >30 year horizon"

Average front month volume over the past 3 months is more than 30K contracts per day; in that environment a desk that knows what it's doing can execute an order for 750-1000 contracts without too much difficulty. Someone trading ONLY this market and holding positions overnight might trade 1...

Quite a few CTA's agree with and follow procedure (B). However, today, in 2006, very few follow procedure (A) since it rules out trading global markets. N.America futures markets begin to open at 0700 Chicago time; Asian futures markets begin to open at 1630; and Western European markets begin...

Jan Platinum traded 2000 contracts on 11/1 and 3800 contracts on 11/2. You could get filled on a 20-lot without getting drilled.

1. I am trading it on more than 50 markets, draw your own conclusions 2. With you? After reading (this thread)? No.

Um, why not test it on the historical data of IBM's stock price, or INTC, or SPY, or RMBS, or other interesting but decidedly non-random data?

I'd do the obvious thing: put together the various possible combinations, try them out, and see how they perform. Why rely on an opinion when you can get experimental results instead? (An opinion such as "Negatively correlated systems are always preferable to zero correlated systems" is...

You might enjoy researching "Shannon's Demon" on the web. It's an algorithm for making money from a stock whose price is a random walk.

Wealth Lab Developer

Unfortunately they use a ridiculous definition of an "Expert" when counting up "Profitable Experts" in their contest. Their Rule II.1 says Anybody aged 18 or over is eligible to participate in the Championship, irrespective of occupation, citizenship or gender. I guess that means John Mark...

I do it on a portfolio of more than 50 commodity markets. Admittedly some of them are a bit thin (volume of front month less than 10,000 contracts per day) so it becomes slightly worrisome if you're trading more than 250-500 contracts per ticket. If you risk 1% of equity per trade, and your...

There's a pretty easy way to create very negatively correlated strategies: by design, ensure that whenever strategy A is Long, strategy B can be Short or Out, but it cannot possibly be Long. Ensure that A and B usually have opposite positions, and never have the same position. The most...

Well that's a bit of a misunderstanding right there. On the first day, Yolanda's assistants flip 100 coins and Yolanda goes long 1% of her account for each coin that's a Heads, short 1% of her account for each coin that's a Tails. If all coins fall Heads, she's long 100% of her account: she...

I agree, the only thing it is good for is an exercise in probability theory ... an exercise which demonstrates that it is possible to create scenarios where adding more uncorrelated strategies isn't beneficial. More is not always better. I am also glad that you noticed the possibility of...

Some don't agree with the opinion that typing the letters "y o u r e w r o n g d u d e" automatically guarantees correctness. Anybody can type them and attach them to any other remarks whatsoever. They in themselves are not convincing, they confer no special authority. Especially when they...

Lots of people say that the act of taking a directional position (shorting a stock, going long a futures contract, buying a currency forward contract, etc.) is identical to making a prediction. If long you are predicting there will soon occur an exploitable upmove. If short you are predicting...

Why not just count the dots? Figure out what timeframe interests you for correlation studies; in my own case, I'm interested in monthly correlation. Make a scatterplot of System A monthly returns on the horizontal axis, and system B monthly returns on the vertical axis. Now count the dots...

If you perform the very experiments that you suggest, you will find that Zack does not have a superior risk/reward profile.

Thank you for pointing out an ambiguity. Since ET doesn't allow edits to the original message after 1 hour, the clarification is shown below. I have added the phrase "every Monday", the additions are in blue text. By the way this is a perfect example of the Axiom of Oddiduro! (shown in this...

Um, that's rather a confident statement. However I think you wrote "trading" when you actually meant to write "momentum trading". There are numerous other approaches besides momentum trading, some of which go by the namesPullback buying: when the price falls, you buy* Seasonal trading: Sell...