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Frankly I'm reminded of this quote: "When I use a word," Humpty Dumpty said, in rather a scornful tone, "it means just what I choose it to mean—neither more nor less." (my emphasis) From your OP "Harris thinks any statement about the future is a forecast. Most people would disagree." ...

I don't agree with you. If you didn't believe that a trend would continue you wouldn't put a position on. Having a position on means you're making a forecast about what you think will happen to prices. A long position means you are forecasting prices will go up, and vice versa. Not entirely...

Trend following CTA's made out like bandits in 2008. So medium speed trend following in futures would be good. GAT

It's been about a month since my last update; I've actually been back from holiday a few days but a month is an easier reporting period to deal with. I discussed in a previous post what action I should take whilst away. In the end I didn't do anything... and for nearly all the time I didn't...

Driverless cars are, apparently, very close to commercial reality. I don't know about you but there is something pretty scary about a computer being completely in control of a complex process, which could have catastrophic consequences if it went wrong. That might seem a strange attitude. After...

Great analogy Because very few people can drive an Fi car. Short term trading is harder. Too many people think it's easy money and end up losing GAT

Not many people are able to do both well. There was a long thread on this subject quite recently. ....

The reason they buy or sell..... Low PE or strong 12 Month RSI for example. Value guys would buy more on a pullback, position traders should sell when stops are hit. Of course the old joke is a value investor is a trader who is sitting on a loss they don't want to cut...

It looks very complicated (multiple languages is asking for trouble) My setup is IB for execution and data, and my own python package for both implementation and back testing. I spend 10 bucks a month on data. More information on my blog qoppac.blogspot.co.uk GAT

Yes but on a volatility adjusted basis it would be insanelying expensive. I would avoid front euro dollars at all costs ....

The following futures markets have the smallest median bid-ask, normalised by price volatility. NASDAQ, CAC, AEX, S&P 500, FTSE, EUR, GBP, BTP, SOYBEAN, GAS, JPY, AUD, SMI, GOLD, ASX, BUND For retail sized trades that is the best measure. US 10 year, incidentally, is about a third more than...

Oh sure it's trivial to write code that recognises a systematic pattern. My suspicion is that most people using patterns aren't doing so systematically though. Probably the most succesfull ones aren't. I've tried to properly test systematic patterns. So I've coded up things like you said, or...

Canary Wharf anyone? I know someone who trades here http://www.level39.co/membership Cool place, though pricey. GAT

I use moving average crossover, breakout rules and measures of contango - perhaps what you'd call 'indicators'. I'd be interested in anyone using patterns to trade systematically, since it seems to me quite hard to write down a line of computer code to recognise these patterns in a systematic...

No worries I'm flattered GAT

Something like ewmav with span 16 - ewmav with span 64 on daily data, volatility normalised. Decay parameter A=2/(S+1) https://docs.google.com/spreadsheets/d/19YNLkKd9fKHf8YgiqYOfFIzI1TOBB6kxVSLHNHpS_y4/edit?usp=sharing I don't use a seperate stop for exits, just a continous forecast, but it...

I had a quick look at http://www.metastocktools.com/downloads/turtlerules.pdf (been a few years since I did). It's a very simple system, and all of it makes sense. Without backtesting it's hard to say but I would imagine this would still work okay. I'd make the following changes if I was to...

I have no edge. I expect to get a sharpe ratio of perhaps 1.0 from my trading. That's a lot less than plenty of people on this site claim (although most don't put SR up, but I'm inferring it). I guess they have edges. I don't believe I have an edge. I use a combination of 8 very simple rules...

So you don't know R right now, but are thinking about learning? My two cents worth is I wouldn't use R for this kind of application, and I'd spend my time learning something else. Although in theory there is no issue, I've found there are problems with the way R allocates and then doesn't free...

Thanks! I do tend to go on a bit....