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Any volitility breakout system will have big drawdowns. Some systems more so than others depending upon the system's specific parameters. A good example is the Turtle System. It's a 100% winner if you can follow the rules. However, the rules are VERY hard to follow for most market...

Greetings Pabst, My post was not intended to refute yours. I was merely pointing out the opposite side of the same coin. And it's a good place for our young information seeker to begin his studies on this topic. In fact, I can hardly find much to disagree with in your responses in this...

Do yourself a favor, study and learn the concept of "Seignorage," and all of its implications. Once you understand this you'll begin to see how truly catastrophic an extending dollar decline can and will be to U.S. Dollar holders and more broadly the impact it will have on the American way of...

Greetings, I'm curious as what you perceive to be the differences between trading shares and trading futures. You obviously perceive that their are indigenous differences between the two tradables that make one more of a gamble than the other. What do believe that they are? Thanks...

I'm curious as to what your reasoning is here? This is not to bash you or anything. I'm sincerely curious. Dr. Zhivodka

Yes, what you say is correct. And yes, I am half asleep. :) I frankly didn't want to get into depth of answer that this question required. I should have kept my mouth shut and had my coffee and continued to watch this Michigan - MSU game.

You are just playing yield-curve spreads right? They both trade in .32's so the ratio is 1:1 Unless of course you're trying to a do some sort of duration spread. Which I don't think you are. But you would need to calculate the "cheapest-to-deliver" for both series and then use...

That's nothing, my father's percentage return can beat up your father's percentage's return. Not to mention, my shoes are faster than your's

You're welcome. So what are you researching? I'm always looking for developer talent. PM me if you wish to speak in private. Regards, Dr. Zhivodka

It's not the totality of the 14 bar range that may happen to have a 3 point range that you re concerned with. You're basically averaging the TR of the last 14 bars individually. The total range over the full 14 bars is irrelevant. So the 14ATR will be closer to the TR of each individual...

I show the 1 min-14 bar lookback of the ATR on the ESZ3 to be .775 on the bar you asked about. You can check this manually by noticing that NO bar over the last 14 as a range of greater than 1.0 so it's very unlikely that the average of that would be greater than 3.0 Wells Wilder published...

What size bar are you using? 1 minute or ....?

You've obviously never lived in a Ski town. :)

Exactly right. Sharpe ratio and Standard Deviation by themselves don't give you enough information. Semi-deviation is a better measure used to weed out "over-performance bias." However, once a fund has a sufficiently large asset base on which to trade "over-performance" is usually no...

I've heard there might be a new outfit in Incline Village, Nevada soon that will offer Futures, Equities, Options and FX to both Retail and Prop accounts. I also hear they're set up to offer great Joint Back Office (JBO) services to RIA'a and small to intermediate sized Hedge Funds, CPO's...

The very definition of unattractive are the financial (i.e. non-real) instruments of a debtor nation who's trying to reflate their economy. America is a House of Cards. The USD is toast. The Dollar price of Gold goes much higher. Regards, Dr. Zhivodka

The problem with quoting the records of some of these guys is that the commodity markets were wholly different in the mid '70's from what they have been up until 2001-02. Massive fortunes were made during the "WIN" years and before that during the Nixon price control years by simple trend...

...is that there's quite frequently NOT enough monthly fees to suffice a capital management concern. This lesson should be drilled in to the heads of any and all traders who deem themselves worthy of a fund. What we have here is a fund manager who claims to be successful.... however he's...

Trying to compete with $.30 per they're going to have a lotta ass to try to kick. Chicago had better wake up or they'll be put to bed forever. Regards, Dr. Zhivodka

I'm guessing that their management company is NY based. Many offshore funds have domestic management companies. But I like I said, it's just a guess.