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travis, I'm not clear on what problems you see with backtesting here. Can't you backtest scaling-in/out pretty much as you would any system, by specifiying conditions for buying and selling and how many contracts to trade?

I realized after my last post that the real advantage to scaling-in is the reduction of losses while waiting for the trend. In my example, the all-in advantage is 15 points. This would be neutralized by 6 two points losses prior to the trend. The all-in profit would be 1.5; the scaling-in...

Interesting, chaostheory. Appreciate the explanations. I can see that there is a psychological advantage in scaling. As you say, it doesn't really feel the same. So far as the pure question of profitability goes, though, a comparison of strategies (to the extent that one can compare...

Isn't scaling out gradually on retracements and scaling back into the trade on continuation just the same thing as exiting from a trend with a fixed position and later seeing the trend suddenly continue (psychologically speaking)? I mean, it's the same problem: when to exit, when to reenter.

Well, I've used both for extended periods (with IQFeed) and found both to be good. The market profile on R/T is much better than Ensign's, if you're into that. The "feel" of the Ensign interface appeals to me more than R/T, and Ensign's what I would recommend on balance. Not that that's much...

I bought one of the Commodity Pool packages with the idea that it would help guide me through what needed to be done and save some legal fees, since I was just doing some small scale stuff. It was of some help, but three-quarters of the package was really just padding, in my opinion. I...

Well, I bought something from them a few years ago. Much too expensive in my opinion, but otherwise ok. I guess it depends on what you're trying to do.

yep...can't trade.

http://www.atimes.com/atimes/Middle_East/HB14Ak02.html

http://mam.econoday.com/calendar/US/EN/New_York/year/2006/month/02/day/13/daily/index.html http://www.cbot.com/cbot/calendar/month http://www.dailyfx.com/index.php?option=com_events&Itemid=41 http://biz.yahoo.com/c/e.html

Have you looked at Homer and Sylla, "A History of Interest Rates"? Also, http://www.thechartstore.com has data from 1914 forward. Also, the Bureau of the Census has historical data 1900 to 2002 at http://www.census.gov/statab/hist/HS-39.pdf. You can see from what they don't have for the...

About 65 trades/year. I'm quite happy with this system. It pays for my damn fool daytrading.

I thought eCBOT was going to implement native stops on October 9....

64.29% profitable Profit factor 7.7089 W/L 4.3105$ W/L 4.0543% Modified Sharpe Ratio 0.6942 Avg DD 3.16% Worst DD 8.21% Max consecutive wins 8 Max consecutive losses 3 Actual results from the last 126 trades in my Eod system.

No, that order won't work. You will have to enter a buy order above the market-clearing price to be sure of a fill. Of course, you will not be sure what that price is. And your order will itself influence the price. Most continuous stock markets and electronic futures markets open with...

mcurto is right. There's no reason to wait until the last minute to roll. Actually, you can place a spread order to make sure you get a position in the new month that rolls you into the new month at a proper offset, and if you don't wait until the last minute, you have a very good chance...

Yes, either one. The exact time is not critical. The important thing is that there is (usually) no reason for a speculative trader to be in a contract on first notice day and beyond.

You are definitely at risk if you are long on first notice day. However, on the CBOT, if you receive a notice of intent to deliver, you can avoid the obligation by selling new contracts and passing (though the clearinghouse) the delivery notice to another long against your new short position...

Uhh, actually, no. I looked at the contract specs on the CBOT site, and, for some reason, they do not even mention first notice day. It's one of those things I "just know." Probably from studying for the Series 3 exam years ago.

More generally, the next contract goes to top step at the start of first notice day, which is the last business day of the month preceding the first calendar day of the delivery month.