DugDug

After last year. I more fully appreciate... 1 - the requirement to plan a trade and stick to the plan (hence less trades and only those ones that work for me. It was not necessarily trades that cost me when I did not stick to my plan, but those trades that I entered into without a plan.) 2 - losses are just a part of the business (it does not necessarily pay to try and avoid losses, sometimes its best just to accept them as part of the plan. (minimise them -yes) - there is no need to continually look to improve things that work. If you treat losses like business costs, would you expect a business to be profitable without having any costs at all?)

see my response to your other post.... everyone has a different method of building continuous contracts (I dont know about ninja, or MC in terms of building contracts in the systems as I import my own data separately - off which it cost me a lot of time and money to get it to the manner I like - so no you can not have it as it would not necessarily suit you, its data that costs money and vendors don't want people just buying it and passing it on.)

1) I would suggest just posting a question in one place - that way it makes more sense to anyone trying to help you. 2) Everyone's continuous contract WILL BE DIFFERENT - it depends on when you roll, how you adjust etc; 3) understand why you need the continuous data. If you are comparing two data streams that you already have in a test - then you dont need to adjust the data yourself. Understand how the data adjustments work, why and this should answer a lot of your questions on how to. (we did a lot of work in excel for it and its easy for this sort of stuff) There is a website providing information such as unfair Advantage - CSI data and esignal that i know off to start. I have some cut and paste notes that I made previously (probably from these sites) ....read and learn. Back Tested Data Information essay.doc

if the CME allows crossings of a buy order and sell order at the same broker, then it sounds like a typo whereby the operator of the order was meant to cross a smaller lot size?

"When it comes to stocks, I am mostly "long only," and if I short, it is usually by being long puts. I look for stocks breaking to new highs, preferably all time highs. I do like to buy pullbacks to prior breakout levels as well." Also - long term trend traders typically have issues with stocks due to the nature of the pullbacks. Even the SP500 does not work that well for a lot of models. I ran a test once showing a long only trend trading system had returns similar to a long short one, except with a lot less volatility. However it means you are practically tracking what an index does while avoiding some of the bear markets....where is the fun in that? Makes sense to just go long stocks - just from the point of view that they do tend up wards over time dues to earnings etc. They also tend to have good pullbacks to support as well....so I could not agree more. Two things to keep in mind is 1) if the market or sector is in a downtrend even good stocks will get dragged down 2) if taking profits and being active - then I found due to the nature of stocks (just from experience) that its best to do so when they are rallying and it looks like they will never sell off.....my mistake was always to let them run - thinking "these things are never going down again in our lifetime" - then finally selling them at a small profit or at breakeven....thankgod for the big winners. This has a lot to do with institutions rebalancing between defensive, growth etc; Has anyone ever looked at vector vest - I think this helps rank the best stocks in the best sectors etc;? I have only seen adds for it. Looks like some good work by Dinero - in and out consistently....

Also ties in with the idea a lot of systemised managed futures traders go with of continually adjusting their models for the type of market and the volatility of the market at the time. While some traders are purists and claim that a robust system needs to be maintained over the long run to be any good - through good and bad times - others realise that certain markets and systems work well together. (I hear with recent volatility reductions in both implied and historical volatilities that many option trading firms are felling the pinch as well. Changes in volatility definitely affects traders opportunities and mindsets.)

NO. You should be aware of it, but there are plenty of markets that are in contango and will trend up..... crude oil over the last year is the first example that comes to mind. if you are short term trading it should not make much of a difference,, and I would not even let it confuse the matter for you. This is largely only relevant if you are having to roll and maintain a position, over the entire period of such a long term move. Make sure you understand how to price a future - why it is different to the spot, and how the spreads work over time and contract months. (If you are really interested then google back adjusted and continuous contracts - esignal also has some info on their continuous contracts, and I had cut and paste some notes from somewhere in my files in the attachment. There is a lot of info regards the best worst way to do things....never a right way!.) Back Tested Data Information essay.doc

" I hoped my losers didn't go any further against me and I feared letting my winners run, worried that they would turn and come back on me. Now I hope the winners run in my favor and fear letting losing positions run against me." Very good quote - you will see this thought repeated by a lot of top traders who basically run with the idea of trying to avoid the losses and letting the profits look after themselves. (especially from people who are not day traders - but it can be applied to both.) I always thought that hope was a dirty word to be avoided, but in your context its very valid. Good luck with the thread, I am sure writing things down will help you clarify ideas, thoughts and plans.

Thanks very interesting....basically it looks like you are better off buying on open and selling on close for less volatility and continuous but small gains of less than 10% over 8 years. Seems to me that in a bull market buy and hold beats everything...go figure. does that include commissions? How do you have a futures contract that excludes dividends - if I assume you have just taken the historical prices? I would have thought thats factored in as part of the Fair value calculations? As something extra interesting - its worth looking at how the analysis works in separate bull and bear markets. its amazing how many up and down days you get in both. I did it once before on the Australian market and it was about 50-50 in a bull market - it was just in the magnitude of the size of the move for the days that is important.

Yep - the farmers have been too successful, the analysts expectations too low. Watch all the reports for those people who knew it would happen. I hope they put their money where their mouth is. It cost me a little (a lot ) as I had been building a position - buying and selling and staying long, based on the price action which is what I follow more than the fundamentals. I am now out, and looking to see what happens now. (it can continue to plummet - look at Oct 08, Jul 09) Would I do it again - yes. For the moves I was hoping for - and have received in other instruments. It just shows the importance of not having a position, that while it hurts (doesnt every loss?) it does not mean you are ruined.....or even so badly hurt that its tough to recover. Also shows the importance of correlation and portfolio concentration - look at wheat, rice, soybeans etc; (maybe not as relevant for day traders here, but still important to keep in mind for those who are not)

Doh! looks like some USDA - I mean who the hell are these guys? Who do they think they are? are going to spoil the corn party, as they think there is plenty of it around. This is going to hurt.:doh:

Hi, in answer to the first question - basically yes the second question -How do you avoid losing out on the roll if the spot price doesn't move your way? see the first answer. Seriously though. This is only really relevant if you are a longer term trader, and have to roll. If you are day trading, dont let it confuse you too much. Over the long run, it could be argued that the backwardation and contango cancel each other out. So long as you constantly stay long and roll. The reality is that if you are a long term trader it depends. Sometimes it works in your favour, othertimes its against....many longer term traders actually participate in longer dated contracts rather than the front month all the time, for this reason. Have a look at the attached charts - the first is a continuous back adjusted contract for nat gas, the second is a continuous non adjusted contract. (There are many ways to adjust depending on days, rolls etc - dont get top caught up in that) (the charts also end on different dates, but the point I am trying to put across is...) The point is - if you had been shorting Nat Gas all the way down, the contango worked in your favour, by approximately 3.70, as every time you rolled, the contract fell as much as the spot + the contango amount. If you had been going long, you lost that amount. simples....(compare the merecat)

Hi MM - you should be happy, given the way you follow your plan (congratulations and well done) you are the rat and hence are smarter than a group of Yale students. :haha:

Please take this as being helpful not nasty - but If you are new to trading and expected not to have losses and have not worked out a rough guide to how many losses you may have, and how to deal with them, then I (and I am sure most others will agree) would suggest you learn some more about your chosen hobby.....read, read, practice, practice. This will help you 1) understand the market, understand the style you have adopted 2) work out what if - if there is anything wrong with your strategy and 3) end your confusion - or at least minimise it. Alternatively - blow your money and stay confused. 4 wins, 4 losses - as expected when flipping a coin. If you are trading momentum - read about trend trading styles, CTAs, google turtle trading, trend trading, etc You may find you could expect to have 30% winners, and 70% losses.

I have been watching this for a while....along with Wheat, which has been performing better. For me - All the commodities are running which makes it seem more bullish, people are worried about inflation, the cold weather, etc; I also have been reading a lot of info about people worried about supply issues with regards commodities this year, which mean that buyers may get a little desperate, and sellers may not be in a hurry to sell. CTAs may start to switch shorts to longs if it breaks above 425 levels. I also like that this is the third time at it, which for me means if it does break up, I would let it go. Apart from all that.....as fundamentals , smundamentals if the price does not confirm it. I have attached the same chart, with some very simple ideas attached - trend line, fib extension targets. While I think there could be a small pullback - a rejection of a break eg; to 410, I would definately not wish to be short this.

1) As a UK resident can I open a stock account in GBP and the deposit will remain in GBP even if I trade in foreign currencies stock? i.e, there is no currency risk on the deposit, there is currency risk on the P&L denominated in foreign currency? YES 2) I need GBP 6,250 minimum (equivalent of USD 10,000) to open the account? ASK IB 3) What happen if the account falls below GBP 6,250 due to a loss or withdrawal? ASK IB 4) The only cost to run the account will be commission to open/close positions and monthly fee of USD 10 or are there any other costs? (NB: I only need to see a live price on the ask price and the bid price and their related volumes to trade. I don’t need any depth level 2 or graphs, so costs should be kept to a minimum). IF YOU WANT LIVE PRICES YOU WILL GENERALLY NEED TO PAY FOR LIVE PRICES. FREE PRICES ARE GENERALLY DELAYED BY 20MINS - SEE OTHER THREADS FOR MORE INFO 5) Example: The account is opened with GBP 6,250, the yearly cost to buy 1100 european stocks(from Belgium, france or Italy) on 1 April 2010 at EUR 5 each and selling them back at the same price of EUR 5 on 31 March 2011 would be as follow: 1100*eur 5 *0.1% to buy the stocks + 1100*eur 5 *0.1% to sell the stocks + 12* USD 10? Are there any other costs? SO YOU ARE BUYING 5 INSTRUMENTS AT A COST OR 1100 EURO EACH????? OR ARE YOU BUYING 1100 INSTRUMENTS AT 5 EUR EACH???? Will the account show the following: Deposit balance GBP +6,250 Commission : EUR -11 (1100*eur 5 *0.1%+1100*eur 5 *0.1%) Monthly fees: USD -120 Profit/loss = EUR zero Or do they convert the commission and monthly fees in GBP, or just the EUR commission in USD and the monthly fees stay in USD? SORRY - BUT YOU ARE JUMPING ALL OVER HE PLACE - WHERE DID USD COME FROM?? FEES FOR EURO TRADED STOCKS SHOULD BE IN EURO.

You are really getting into trend trading with this type of analysis. I traded a lot of stocks and used this as a great way for looking at stocks and it allows a lot of visual context to be applied - eg; what's the market, the industry the sector doing? Is this a re- tracement, or actually real support. I have been trying to systematise the systems a little, and the trend trading fits this to a tee. Its a whole other avenue similar - but different to the turtle trading rules.

While moving averages and VWAP are different - as MA is based on price, and no volume, one issue that might arise for both, but particularly the VWAP - is the dark pools and other areas of unreported liquidity, OR volume that is based on some algorithm whereby the trade and volume is not really reported until after the close. Particularly with stocks. Whereas PP are realy just based on the recorded prices at the exchanges. As per every system/tool I guess its a matter of using either as a tool and finding something that makes sense, is repeatable, profitable and not subject to too many variables, such as recalculation variables dependant on when the counts start. (this always makes me stear clear of many things such as angles and slopes on a chart - in my book they are ridiculous as you can just change things to suit yourself and make anything look good)

"US listed securities, then wouldn't the entire principle be exposed to currency risk?" This is an interesting one as a lot depends on how you get the financing /margining from the broker. Without going into too much detail. example; base currency GBP. Buying stocks in USD scenario 1) you are required to fund the whole amount in USD, hence the FX exposure is to the amount required to buy the stocks. scenario 2) the broker loans you the money on margin, hence the FX exposure is to the amount of the margin + any PL on the trade. (This is how IB basically deals with it - you then get charged interest on the borrowed amounts of the margin amount, and its the PL and this margin that is expsoed to the FX risk - not the whole amount) scenario 3) everything gets translated back and quoted in the GBP base currency with no FX exposure. (this can be more costly depending on how many transactions etc and is generally up to the investor to hedge the exposure out if the broker does not do it automatically - however the PL as it moves will produce a FX exposure as the prices move.) Every broker may do it slightly differently and it is definitely up to each investor to work it out themselves. When looking at this accounting remember to keep in mind there is a difference between the actual positions held at a broker and the cash balances. ie; you can have cash balances in different currencies - and hence FX exposures whilst having no positions. From what I have seen from most brokers who over cross border services, generally its only the margin and PL amounts that are exposed to FX as this is reflected in the cash balances shown in USD, EUR, AUD etc;. I hope this helps and does not confuse. Hi Blowfish - yes it was a complement.

I actually thought VWAP (volume weighted average price)---(this is the same thing) was introduced by institutions in order to measure how good a brokers executions were over the day. So while I guess it might an offer of where you would expect some reversion to the mean to occur throughout the day - it seems that a Moving avg would do much the same thing? whereas a PP is looking for turning points in the market.......kind of very different. maybe you could combine the two? look to enter as a reversion to the mean, after a pivot point! (or possibly I am missing the point)

(Its rare I get to correct Blowfish as he is such a good source of knowledge...) But you can actually enter trades into IB without a market subscription. They will give you a few warnings saying they advise against it, but it definitely possible. I have done it a few times with some stocks listed on the ASX in Australia and also some futures and stocks in the USA. WARNING: I would strongly suggest you have it as a limit order, already know roughly where the prices are trading, and be very very careful, as you dont want a typo....even with a limit order. Re: the inactivity and IB, I think it is $30pm if you dont pay a minimum brokerage ($10pm) for use of the platform....so even if you dont subscribe to an exchange. Funny thing is if this is the case its cheaper to buy and sell a few times a month, even if you break even.

StockMarcus - I cant add much more than the others except to say that make sure you are comfortable from a risk loving/averse point of view with whatever system/method for position sizing you adopt......otherwise you will not stick to it (when losses occur), and you will find it harder to grow your contracts as you grow your account size. good luck

also you wrote.... Do large positions after having been established actually have market manipulating power and if so, what is the supporting evidence? Or is the playing field level, no matter the size? You have answered it yourself.........its about manipulation - the illusion. Just because someone says or shows they are bidding for volume does not necessarily mean they are a buyer. They are probably trying to push the price up to enable them to sell it. It is a level playing field in that you can choose to participate or not, choose your own style and strategy and choose to incorporate volume, indicators, price action, fundamentals - or all of the above. eg; check out http://www.traderslaboratory.com/forums/f34/price-volume-relationship-6320.html Yes - people are always trying to manipulate prices to suit their positions. upticking, downticking, bidding and offering - big and small players.....etc; etc; Larger players would not want to give away what they are trying to do until they are set in their position. Usually whilst the bigger players can support prices - to a degree, they are generally in the position of having to buy and sell when they can, so they will sell into buyers, and buy into sellers. Ultimately - the market will still go where it wants to - not because one contract traded at a price, or a 1000 traded there. Thats why people use averages, VWAP, typical prices, weekly averages etc; Regards sales people......For any person who proclaims they know where the smart money is, the big players etc......I think thats rubbish. example; long term trend traders have great returns on sizeable portfolios over the long term. Yet they are probably wrong on 70% of their trades. Are they smart or dumb? If you are a salesperson with the ultimate trading system - guaranteed to make money- that uses volume analysis (or anything else) and you sell it to people. Is that smart or dumb? One last thought - the Hunt brothers - Silver market in the 1970s

Personally I agree volume is neutral as for every buyer there is a seller - there are never more buyers than sellers - just more aggressive ones. I think Thalestrader summed it up nicely, and I think that volume needs to be seen in context and may be used as an additive filter - but you cant trade off it. I can give a few examples that volume definitely caused the market participants to be confused/mislead, and is usually the top or bottom, regardless of the volume. One - a normally liquid stock, ( in the good old early days though I am sure it happens today) showed no sellers, only a rash of buyers jumping over themselves. There are no trades, hence no volume. Being naive at the time, I sold stock. It turned out to be the high for about two years and collapsed quickly. But volume was very low with many buyers, no sellers. two - a normally liquid stock had one massive seller over the course of a month, selling volume at a limit price. For days, people bought and bought. Finally when the market thought the order was over the stock popped, for about 30 mins, it then proceeded to collapse, eve though the original seller had actually finished. Volume was very high, with one seller, and many buyers. three - There was an stock whereby the option traders were all lining up to buy the stock at a certain level. The volume would have normally covered about two months turnover and provided support. It did for a day or two, but then once more aggressive sellers stepped in the buyers were no longer there. Potentially massive volume, but only transacted at a lot lower price where the many buyers and sellers actually agreed to transact. (I am sure of many other examples - particularly concerning stocks as there is a limit based on the issued shares of a company - unlike futures.) The point being that it was the context and the market price that ultimately set the agenda, not the volume.

Something similar to look at is the Guppy Multiple moving average. I don't look at it - or any other indicators really. But would like to add to something you mentioned earlier. I think there is a lot of value in applying a filter to take the second or third signal in something, and not just as a binary indicator to be taken every time it triggers. The nature of the markets is that trends take time to develop and to reverse. (even short term ones) However I also think that other filters are worth using in determining which systems to use dependant on the market context.... eg; a bull market pullback rally is different to a bearmarket rally, and hence maybe the first signal should be taken. (Sorry I dont really do too many indicators, but do apply these heuristic rules of thumb while trading, and while they sometimes mean you miss trades, they also mean you have less false breaks.....so its a comment more as food for thought.)