Search results

Well, if you override your trading system, you shouldn't have one in the first place. Of course it requires that you have backtested it through all kinds of market sentiments for several years, that still makes it much less mentally taxing than just go for something unproven.

So...obviously you need to reduce your position size and increase your share of cash to reduce net leverage, all of which is determined by volatility in your past trading performance...

I also agree. Unless you can generate very steady returns with stocks, don't even think about futures. Tip: start out with the ETF SPY, once you have a system which achieves a Sharpe ratio higher than 2.0 multi-year through upturn, downturns and sideways movement, you are ready to switch to real...

Hi all, I installed the latest IB TWS version as I was informed that the API won't work with earlier versions after Apr 31st, but now it seems impossible to disable the auto log-off function which was possible by manually editing the tws.xml configuration file in the past, anyone has any...

Automate the trading.

I think you might take it too literally - in essence what it means is that you increase order size in case of profit and scale back in times of losses, so as to maximize long-term geometric returns and minimize the risk of ruin - this is all trivial and intuitive and cannot really be rejected...

What do you suggest instead? Martingaling?

You are correct - no US corporate or income tax applicable for you.

Lots of descriptions, but what about the PnL?

I agree!

As Warren Buffett once famously said: I knew that charting didn't worked once I turned the chart upside down and got the same result. Whether he's right or not, I leave that unsaid...

5 ES contracts with 10k and 1k stop loss? Are you suicidal? Do the maths: in you case, a 0.2% drop in the index, which would be caused by nothing but noise, would close you out, meaning that your equity curve would be a steady downward staircase function ending at 0 after two weeks. As my usual...

What's the big deal? You only have problems if you try to compete with them, i.e. at sub second frequency. Most HFTs are market makers and hence ADD liquidity.

Knowing when a "high" price is too high is absolutely crucial, meaning that predicting regime switches is more important than predicting prices.

Could not agree more!

Real estate bubble crash or credit crunch starting in China. Yes, I live in Shanghai.

Regime switching and properly determining when NOT to trade. I now generate annualized return in excess of 80% with Sharpe ratio of 2.0.

I think this whole discussion shows the subjective nature of charting, and why so few (if any) can make any money out of it in the long run...

Excellent example on how extremely poor moving averages are for making predictions - yet it's mind blowing how CNBC pundits still refer to 50- an 200-day MAs - I'd bet they've lost so much money that their only income today is to sell poor advice to others.

Not sure why it doesn't get through, send e-mail directly to loco_barocco@ymail.com.