Kiwi

All this stuff is bullshit anyway. If its not in the public domain its not going to sell for 995 if its real. Shame on you Sevensea. 995 is not peanuts if it feeds the scammers - it keeps the parasitic fukkers alive.

Oh Shawn, I suspect that your world view is about to get a good solid shaking. For a hint on the nature of that shaking you might consider: - which economies in the 30s suffered worse, exporters or importers? - if you ignore exports of minerals to china and india the aussie economy is a load of give away supported crap (every tax payer was given a $950 hand out to buy a chinese flat screen tv and help out the retailers). - finally you might study supply chains and how hard it can be to tell at one end of the supply chain what is happening at the other and react in time. On the other hand, the media (who most see as having pumped the dump) might all just be nervous nellies.

Agreed. If you don't stay above or below the noise timeframe then its going to be a challenge.

It might be that the markets participants react to point moves rather than average ranges (which is one of the ways of making it more self-adaptive). I've found that it is often better to know what is potentially "wrong" with your system and fix it as you go along. You might run a series of optimizations every two weeks and when you get significant variation you adjust your parameters (or something - perhaps you spend some time figuring out why it has changed).

My answer would be "you have to test it." If you get persistent trends then scaling could be a good solution. It depends whether the number of persistent trends you jump into outweighs the number of reversals you get because a second entry is "late." My own strategies are trend based and profitable. Adding is absolutely unnecessary ... much better to catch one of the early pullbacks with a full load than catch one partially loaded and add some half way through the trend. But if you had a solution that really worked (proven) then cool. IM experience scaling in and out has much more to do with smoothing the discretionary experience as any form of optimization of results. But there are lots of ways to skin the cat - just define a strategy and test it.

I don't think I believe that "most trend following systems utilize fairly aggressive pyramiding of winning positions to produce acceptable returns. Without this approach to MM they are unlikely to perform well." I've seen a few trend following systems (aberration, gsx, etc) and they didn't use pyramiding. Gsx still gets extremely good returns; I don't have and thus don't know aberration. Pyramiding seems to be more common in discretionary trend following though. Locking current profit in and adding to your exposure with another position is attractive in some ways especially with macro trends that are likely to persist over multiply liquidity increasing cycles. But adding does have the issue that you are now part way though the trend rather than entering at the bottom like your first entry so equations change.

The Trend Dynamics course introduces the concept of NTL .. Non-trend Liquidation. When you plan a "with trend entry" you look for the point that you'd expect price to reach if you are wrong and the trend is reversing ... the NTL point ... and you plan your entry so that you can exit xx% of your position at that point and the rest becomes a free ride plus if, as you anticipate, the trend actually does continue. This really is (imo) the ultimate trend following course ... and yet they plan a half off at the NTL (and if you don't have a decent NTL then you probably shouldn't enter or should put on only a part position). Food for thought.

Thats now a 3 year old document Cory. If you use something like Interactive Brokers ECN Forex most of the arguments are void and forex can work better for you than futures especially outside of US RTH.

Where is a moderator when you need one. Now we not only have every reject semi-guru from ET and T2W, we have twats like this one. James, until someone removes his posts from this thread, removes his ratings and preferably removes the twat altogether I am gone from TL. Its bad enough that you let spidy and rumplestiltskin post their twaddle but twats like this are the last straw. Bye for now.

Its an interesting observation DugDug. In my work I now seek two different types of setup (context factors + trigger + post trigger entry + stop and profit capture). One is "get into trends on the timeframe reasonably early and then hang on for the big one." The other is "find the high probability of an xx move for a yy stop" situation and take a quick high probability buck. They are very different. One thing to think about in the first category is a high probability non-trend liquidation point where you can take half off to create a free trade for the long run rider. Thales clearly does this effectively although hes to fast to be+ for my liking if he was going for really long holds. At ff this is advocated for some systems where the NTL has an expectancy of under one --- but I suspect the real positive for it is that it gives the holder that "free ride" feeling that lets them hold a position long enough for the few really big pay offs. Also, if you get at all mixed up about what you are doing you are likely to join the 95%.

and you'd have to agree that this thread has been a premiere example of intelligent analysis. or not. One of the few things I really hate about Traders Laboratory is that when you add a worthless post to a worthless thread ... you can't delete the sodding thing. Happy Wednesday everyone!

Interesting. Have you yet done any work comparing the predictive efficacy of your current imbalance measures with other approaches?

Its spam. You can see the same postings on Elite Trader and anywhere else that they're foolish enough to let him pollute the boards.

Interactive Brokers. No hand holding. Not terribly enjoyable customer service. But a real trading platform that can deliver you the options you need. You will have to do your homework though. If you're only a beginner at this stick with the likes of scottrade.

Doesn't it just reduce US based forex companies. Its like all the anti-corruption legislation. US businesses in the gulf, india or indonesia become uncompetitive unless they add a middle man who pays the bribes ... and if they do they'd better be able to "prove" they didn't know. The holier than thou ... and can impose it on others ... didn't stop the french and it sure won't stop the chinese. Goodbye US competitiveness.

Interesting series MadSpec. I'll be interested to see where you take it.

LOL. Shes only 9. You wait until shes 13-15 and you'll find out what a drama queen is ... it is coming to a room near you. :rofl:

I suspect they leave because they decide that their continued presence is not attracting much business. And that they can't stay long without giving away a lot free. They might also get bored with where its going or not going. They are in business after all.

Just to show what I meant ... the joy of multiple timeframes. Once upon a time I traded euro on globex ... in my experience you needed to drop to 1m to catch the strong breaks.

What percentage of breaks out of the chop zone are this strongly directional? If the answer was high I suspect you'd want to drop down a to 5m or 1m to find a 123 to anchor your trade after the breakout??

Its all a matter of why you're doing it. If testing long term systems you are trying to approximate the actual results. So in 2000 I would have told my broker "roll at open" and he would have. So I'd use opens. Now I'm interested in creating a contract where the S&Rs from the recent past are meaningful. But only to an extent ... so I don't overdo the work side of it. I build my contract as it goes but if I have to start fresh I do exactly the same thing ... I put both contracts up then follow the process above to set the adjustment on the first one. Then I do it for the continuous + the next month and so on

Here's an old explanation of the various back adjusting options by a guy from the TS2000 forum's, Bob Fulks. FWIW my personal approach is: 1. swap to the new contract when the volume is/will be higher that day 2. look at the opening, closing, and some recent highs and lows to seek a consensus price. 3. adjust the old contracts based on this. Why do I use consensus rather than open or close? Because I care about Support and Resistance and if the swing highs and lows suggest a different adjustment then its probably right for S&R comparisons. My 2c. . cntcontr.pdf

Not possible unless it came with the OS and core software (although it will take more than 30m if I had to go back there). I do run clam from time to time and all my backup images were pre-checked. So, I'd have to be damned unlucky to achieve that result .:haha:

On this one, jon got it right but its closer than one thinks. So, annually, what is each worth if you could risk 1% on each trade and compound it? The formula is: (1 + (fraction risked * (expectancy-1) )) to the power of number of repetitions Fraction risked = 0.01 (1% as a fraction) Expectancy-1 = 9 for the first and 0.3 for the second Number of Repetitions = 12 (1 per month) for the first and 750 (3 per day) for the second So if we took no risk every day Result = (1+(0.01*0))^250 = 1 .... no change So if we took 1% risk every month for a 10 expectancy (get $10 back each time we risk $1) Result = (1+(0.01*9))^12 = 2.81 so at the end of the year we'd have 2810 if we started with 1000 So if we took 1% risk 3x a day for a 1.3 expectancy (get $1.30 back each time we risk $1) Result = (1+(0.01*0.3))^750 = 9.45 so at the end of the year we'd have 9450 if we started with 1000 Much better? But what would have happened if we'd taken the risk only once per day. So if we took 1% risk 1x a day for a 1.3 expectancy (get $1.30 back each time we risk $1) Result = (1+(0.01*0.3))^250 = 2.11 so at the end of the year we'd have 2114 if we started with 1000 Frequency is important

That is almost the same as mine (but not as good (I'll explain why in a second)). Same: P(w)*S(w) = Won Money P(l)*S(l) = Lost Money and E = 3.25 That sounds good! A good strategy, right? but, a better definition of expectancy is "How much do you expect to win if you risk $1"? To find out "how much will I win if I risk $1.00" you have to divide ((Pw*Sw)-(Pl*Sl)) by the amount you risk each time. So for your stats First Result = (0.35*130)-(0.65*65) = 3.25 ... but how much was risked to earn an average of 3.25 per trade? Well, at the least the risk is the average loss (I use max loss in testing systems). So in this case E = 1 + [ ((0.35*130)-(0.65*65))/65 ] = 1.05 So, at best, you only get $1.05 per $1.00 risked. I like strategies that return better than 1.35 per dollar risked so a strategy that sounded good at 3.25 is unclothed at 1.05. I guess one is "What do you expect per trade?" but I prefer the other one "What do you expect per dollar you risk?" Horses for courses. I don't recall where I finally got that equation ... perhaps tharps money management book ... possibly on the net.