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Profit, I really don't see how having a stop can hurt a trader with a good system. Even if the stop is triggered, there is always time to get back in once the flow resumes in your original direction. Why should someone feel the pain of a huge draw down when a stop and reentry can easily solve...

Thanks for the reply. I studied many time-scales data, but I couldn't find a consistent pattern between lot size and slippage. Your feedback is valuable.

Many thanks to all for the quick replies. Cheers.

Vielen Dank!

Gents, any recommendation for the maximum lot size in a single intraday market order without too much market impact in any of the following emini's YM, NQ and ES? My guesses are 10 for YM, 20 for NQ and 100 for ES. Please correct me if I am wrong. Many Thanks.

Great thread guys. If the trading system has an indicator for the direction of the order flow, operating as Trader B is more profitable. On the other hand if the trading system is based on price action alone and does not reveal information about the current direction of the order flow...

I found this cbot-hosted presentation on Trading Taxes highly informative: http://mediasrv1.cbot.com/02062007_green Good luck.

Sure, here are other topics they would be interested to see in your presentation: 1) Return (PnL) Histogram 2) Equity curve 3) Drawdown Statistics 4) Sharpe Ratio (correctly calculated) 5) Average No. of trades perday 6) Win/Loss Win/Total ratios 7) Margin to Equity Ratio (Leverage)...

It's a pickle. Unfortunately there are many reputable firms, even GS, which ask you to present your model in front of their Quants in order to generate new ideas. I don't mean to discourage you but remember that if you join big banks they make you sign a paper that makes them the sole owner...

Check out Robert Green's Trader Tax, he talks about your options "www.greencompany.com". This cbot presentation is also informative: http://mediasrv1.cbot.com/02062007_green Good Luck!

You nailed it. The problem is that unless our return distribution is stationary (i.e., having the same mean and stddev) over time, all of the theories in quantitative finance including Sharpe Ratio, Portfolio Theory, and Options pricing (e.g. using Black-Scholes) fall apart. To overcome this, we...

Raymond, you notice that the Sharpe Ratio calculation is based on the assumption that the mean of the return histogram grows with "time" while the risk i.e. stddev grows with "sqrt(time)". This assumption only holds for histogram that is unimodal and "looks" Normal. If your return...

This has the formula and a link to an interactive chart at the very bottom: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_true_range_atr

I think they use high-frequency data to generate their signals. I've also heard they hold positions for 10-20 minutes, if justified.

Quantitative Finance curriculum should have courses on CAPM and portfolio optimization. Aside from basic portfolio theory, I'd suggest you to read "Market Models" by Carol Alexander to understand important concepts such as conditional volatility, collinearity, multidimensional regression and...

The answer to your 1st question is NO. Although the histograms are NEVER perfectly Normal, they must have only mode and not many fat tail. The value of Sharpe ratio is completely subjective. You should always ask how it is calculated and whether you can see the histogram of the returns before...

Sharpe ratio calculation can be really tricky. This is one general way I'd do it. Depending on your preferred time frame, record your daily, weekly, or monthly returns. Let's assume you are a day trader and have logged your daily returns for many months/years: 1) plot a histogram of...

You may find the following thread a good place to get an idea what is involved. http://www.elitetrader.com/vb/showthread.php?s=&threadid=118059

ProfitTakgFool, your point can be actually observed in the ATR data if you plot the growth of ATR vs. chart time scale, i.e. the slope of the ATR curve. See the attachment! Looking at the chart you notice that the ATR growth (i.e. slope of the curve) is greater than ONE (power growth) within...

Great discussion. I'd also like to emphasize on considering the location of stops and limit orders (if any) w.r.t. the levels. I'd also like to share an observation I made recently. From the beginning of 2008, I've noticed that I am getting stopped out more frequently than last year. I know...