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m4a1, That looks like a decent model. Personally, I feel more comfortable with something that trades more frequently. You need a good deal of discipline to trade a model day in day out that might only generate one or two signals a month. Also, I much prefer models that trade from both sides...

Here's some thoughts on NG COT data that I put together lte last year. It might provide a few clues. Small Spec These guys are always net long. Since 1991 they have been net short only 1 week (Dec 2001). Their positions are very stable which suggests there is very little speculative retail...

setharb, The NG market has been around since early 1990, but it was really thin for quite a while. I've been trading it for about 5 or 6 years. One way to smooth out your equity curve with a volatile market like NG is thru position sizing. I use a measure of volatility as the denominator in...

m4a1, Nice work - you've identified what appear to be some important characteristics of the NG market. If you were considering incorporating them as filters or rules in a system, I would take the next step and validate your findings with empirical evidence. End-of-day system refers to your...

m4a1, Very interesting. I take it these are end-of-day systems? In the interests of context can you disclose them? bolter

Nice try guys but the largest hedge fund in the world is actually Goldman Sachs. Of course they don't label themselves as such. But anybody who has read their financial reports will recognise their business model for what it is.

44yotrader, I became a 46yotrader yesterday, and I have the hangover to prove it. Probably not. Unless you're doing meaningful business with these guys they won't do you any favours. It will be interesting to see how the introduction of an electronic market impacts liquidty, volatility and...

40 something, Interesting thread. I've been trading NG for quite a few years and it can be a very profitable market. I trade it end-of-day with a fairly simple system that works a treat. Here's the equity curve (trading a single lot - no compunding or MM): <a href="http://tinypic.com"><img...

imamicph, It's impossible to comment on whether you're results are the result of over-fitting or not, without understanding the process you went through to obtain them. I will say this however, it is virtually impossible to develop and test a system on a single instrument without...

downriver, Heat is a real issue for me also. I've only got 5 monitors, i'd like to add another 2 but it would be like working in a sauna. I'm in the tropics so you can imagine what it's like after-hours when they turn the A/C off in my building. Forget about it. I turn individual...

Oddtrader, K-Rock, Thanks guys, I will check out these additional threads. bolter

GTG, Go to the top of the class my man. http://www.elitetrader.com/vb/showthread.php?s=&threadid=51893&perpage=6&highlight=frequency&pagenumber=1 Many thanks, bolter

tireq, The thread got bogged down on this very issue. Most of the posters failed to understand the subtleties of running a short book in one account and long in the other. I don't wish to rehash this issue in this thread. Let's find the original thread and then you can decide for yourself...

I'm trying to find a thread that was floating around some time ago. The premise was trading both sides of the market concurrently using two accounts. Long in one account and short in the other. I've searched high and low for it without success, and I can't remember who started it. Thanks...

Understood - thanks.

5Pillars, Thanks for your reply. I think I've figured out your logic. Your paying bro on an additional 9 RT's in order to lock in profit as the market moves in your direction. This will also ensure you're carrying a minimal position in the event the market reverses and doesn't return to these...

5Pillars, Thanks for throwing out this bracketing concept. I was having this very discussion with someone last week so your posting is quite fortuitous. I'm not a TradeMaven user so can you clarify something for me please. The Sli orders are obviously Stop Limit orders for entering...

toe, I can see you've been busy. Glad to hear things are going well. PM me sometime and let me know what your up to. Cheers

Nice work toe. Where have you been hiding? bolter

He's running a Market Wizards fund for the Fortune Group in the UK.