Search results

There are a fair number of traders who's performance is on display on the RAPACapIntro website, in all cases the NAV is provided, and helps gauge how serious traders are with their strategies. I would suggest Cornix to join these traders (MT4 or IB required, I believe), or short of that, at...

Trade-list attached - I don't use the Kelly fraction, so I wouldn't be able to compute the SAS for this system, but if you don't mind doing it and sharing the result that would be great. I trade this system using a 50,000 account for 1 contract.

Take 10 strategies, do a manual ranking of them based on your gutfeel / preferences / etc, then look for formulas that will rank them accordingly. Include CL always-in / 1 contract in the mix if you want.

I think the "one size fits all" concept doesn't work in trading, especially getting down to the details of a trading strategy. Each instrument has its own personality, which reflects its dominant players trading habits. Stock indices (& corresponding ETFs & futures) aggregate their...

How about posting an Excel spreadsheet with automated calculation for a trade-list ?

I don't see why your entry should have any impact on your stop placement. I certainly would preach the contrary (your stop placement can have an impact on your entry level). Are you trading discretionary or systematic ?

I went through that for years doing discretionary trading, and I knew it was for the lack of confidence in my trading plan (my subconscious mind was so right :). I started to backtest systematically my trading ideas, soon using automation because frankly, manually backtesting is not practical...

If you study volume a tiny bit, on CL you'll see that the proper time for rollover is at the close, 2 business days before the last trading day. I use the offset between the new contract daily Pivot (H+L+C) and the old contract daily Pivot as my rollover offset. In my experience, it is far...

You might not be new to trading, but it certainly sounds like you are new to algo trading. The answer is "merge backadjusted".

Ninja certainly can do a continuous backadjusted contract - in theory. In practice, every-time I connect to any variation of IQfeed (that is, Kinetick end-of-day, or Kinetick/IQfeed live, even connecting to the server to download MarketReplay data), my rollover database get overwritten with...

IMHO, and after doing most every mistake one can make when developing automated systems :) ... 1. for CL, backtest from 2007 (CL transitioned from pit to electronic in the fall 2006), this should give you about 3000 trades if your system trades twice a day - this is a sound basis to analyze a...

It might be a matter of semantics, but in any game I can think of at this time the amount bet is the amount you are willing to lose ... as a result, system 3 is identical to system 1. I would suggest you normalize all these scenarios so that the maximum loss is the amount bet.

On the 1st part of your question, there is clearly no "standard" way of computing Sharpe ratio, otherwise no-one would be confused :) There is a big difference between using daily returns & using monthly returns ... sure, daily-based has a finer grain than monthly-based, but the "large"...

When you have multiple sub-accounts, by default they are all accessed through the same TWS instance. Your IB sim account remains accessed through a separate TWS instance, but needs to be on the same PC to get live quotes. If you need your trading split on multiple PCs, you need to add users...

I strongly suggest renting a VPS to minimize the power & network failure events. For about $100 / month, you get peace of mind + ability to access your trading platform from anywhere in the world. I use a VPS from SpeedyTradingServers, very much happy with it (mine is hosted in Chicago, but...

A large part of the problem, IMO, is that a large number of tradable patterns actually generate high-frequencies, making HF noise filtering more of a liability than an asset. For example, V tops & bottoms, flag/range breakouts, gaps, etc. Moreover, when those high-frequencies are not...

Over the past few days, I have been searching for repetitive patterns allowing for medium frequency trading (10-20 trades / day on 1 instrument) (CL). I am using a 100-volume TF just like for my lower frequency strategies, but using faster settings, to generate about 10-times more datapoints...

If you can show me how to do that consistently, I am all ears ....

My automated strategies P/F are all in the 1.3-1.7 range, I don't have many of them (only 3 live at this time), and 2 of them trade ultra-low frequency (< 5 trades / week), which essentially means drawdowns can last for months. The last once has better frequency (~ 2 / day), but huge P&L swings...

A simple formula is: Capital = 3*MaxHistoricalDrawdown + Margin The 3 multiplier puts you on a reasonably conservative foot, using 2 instead of 3 for that multiplier is quite aggressive.