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http://www.elitetrader.com/vb/showthread.php?s=&threadid=66316&perpage=6&pagenumber=37 Kevin Schmidt's comments were interesting, I thought.

Hi there, To those with systematic trading experience, please critique my initial gameplan. This represents my plan to move from discretionary trading to systematic trading. I am currently at the research stage. 3 months, perhaps, from going live. I intend to research and trade, 100%...

Sure. Here's a daily chart of the DAX future. AM

Hi all, Here's a trade idea for today / right now in the DAX. A different stock index to the ES but, broadly speaking, similar principles apply. Looks like we're heading for a third down day, after two trend days lower. The weekly chart suggests we're still in an uptrend. On the back of...

Referring to the thread's original title: - Trend funds will be with us for much, much longer than 10 years. Because: - Broadly speaking, markets have exhibited trends and cyclical behavior for hundreds of years. Put differently, CTA investing is cyclical. - Loosely speaking, trend...

Hahaha.

I'm surprised you take such an aggressive/childish attitude to someone whose words are backed up by statistics. Especially seeing as they will save you money. What do you make of the logic of what he's saying? Or is your skin too thin/ head to thick to contribute something useful? AM

New kid, new kid, new kid.... :D P.S. Don't ask stupid questions.

Has anyone coded this strategy up in TradeStation etc to see if it exhibits positive expectancy? It would be a shame if it was a net loser over the last couple of years or more.

For the benefit of others coming fresh to this thread, it would be great if you summarise what you've picked up from it. Good trading. AM

Hi there, Currently involved almost exclusively in system trading. If you're interested in the area, the thread linked below is excellent. Perhaps the most valuable I've come across on ET...

Last post for today. A very interesting thread on the statistics of trading. http://www.elitetrader.com/vb/showthread.php?s=&threadid=33654&perpage=6&pagenumber=1

Via some web research... -------------------------------------- http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=16;t=005331;p=1#000001 & http://www2.oanda.com/cgi-bin/msgboard/ultimatebb.cgi?ubb=get_topic;f=16;t=002042;p=3#000031...

Just found this thread on ET. Some good discussion relating to MM. http://www.elitetrader.com/vb/showthread.php?s=&threadid=59325&perpage=6&highlight=variable%20fractional&pagenumber=1

Fixed fractional MM - another parameter? ---------------------------------------------- This is an embryonic idea so far. Curious to see what other people think: Is it not the case a *fixed* fractional value in MM terms is a basically an untweaked parameter? When would a *variable*...

Posting some current thoughts. If one looks at the test period's long and short trades separately, do they have different optimal ATR stop levels? If long and short trades behave differently, what exit strategies create the most value for each? How do Fridays behave differently to the...

Hey there. Good to see you're still here! Thanks once again for providing the catalyst for this discussion. Regarding non-stationary markets, it would be interesting to compile a quarterly analysis of the various factors to see exactly how they change over time. Your observation that...

Great. Interesting to see some effects vs the OR's position. My feeling is that this information should only be used to add to bet sizes rather than filter trades out. To further improve our understanding of the Context, I think spending time on estimating volatilty would be useful. Have you...

:D

Just checking, you're suggesting this is a good thing to have in practice, rather than being an illusory piece of statistical trickery?