cjforex

BlueHorseshoe you are right. I misinterpreted. With respect to position sizing, you are absolutely correct. They are different issues. My apologies.

It's not just small traders who make the error of over reliance: allaboutalpha.com/blog/2013/01/23/the-superstition-of-mean-reversion-jpmorgan-edition/

I think risk management, and position sizing are intertwined. Quite inextricably. Here are my seven cents worth: Trade small. No, trade tiny. Trade over many, many systems. Manage your systems, dynamically distribute your money based on their performance (position sizing). Try to find systems that are not correlated. Try the best you can. It's not easy. Distribute your funds based on their relative correlation. So not too many eggs in a correlated basket. 2:1, 3:1, 1:1 has no meaning beyond expectancy. Learn and understand expectancy, then expect it. When you don't get it, reduce the funds that system gets till you do get it. Trade tiny. Trade tiny. Trade tiny. Want to trade more money, find more systems. Trade tiny.

Another consideration with respect to a holy grail, and blowing up accounts is the reliance on a single approach. With a single approach traders are inclined to bet too heavily per trade. Since all systems, and I mean all systems draw down, when betting heavily, the drawdown, even minor ones can be deadly. When you can place trades, and each individual trade has no significance to you (because the trade size is very very small) and you can spread your risk among many trades, and many approaches, two things happen: 1. Your account drawdown becomes smoothed. This is because the drawdown of one approach is usually mitigated by the draw-up of one of your other approaches. 2. That $99 system actually has a chance. Every system has good times, bad times, and kick you in the teeth times. The question is can you ride out the bad times so the system can realize the good times. Only if it has a small portion of your account, and if it is among other systems that can mitigate it. The last crumb of this diatribe is management. There is a BBC show I think is called Traders. It's on YouTube. It's where they do an experiment and hire 10 people off the street, and train them to work in a trading room. 3 part series I think. Watch it. Then BECOME the manager. They constantly evaluated each trader. Gave some traders more money, gave others less. They constantly adjusted, and they started small so no trader could kill the account. Emulate it. So whether you have the ability to create your own "employees" or you need to buy them for $99 each, get them. Lots of employees. Then BE the manager. Don't bet the farm on some new employee of the street.

When I was originally taught about moving averages I was taught to look left. When price approaches a moving average, look left. If you see corresponding support in price action, expect support from the moving average. Ie confluence means more players will act on the same price action giving more credence to your expected behaviour. No matter what the ma. Cheers! -cjforex-

But I do think this is because news is deliberately released outside normal trading hours for most of the more dangerous news. -cjforex-

But emini is traded new York day as standard session, and I always remember it referred to as night session. -cjforex-

You need to download a tool and test it systematically. I sit on my home internet all the time and rarely notice it going down. Install a free tool like ServersAlive and have it ping every 5 seconds out, save log, and log up and down. Then you will see exactly how many times per day it goes out. You can leave the tool running and measure a solid week. You might be surprised how many times it goes up and down without you even noticing. There is no such thing as a "better" retail internet feed. Before I began trading remotely, I had three internet connections, Cable (cheap for speed and main connection), DSL (expensive, so as a backup, buy the cheapest tier), and my cellular as worst case scenario. Cable especially has latency issues during different times of day. So measure, know, and never be surprised. CJForex

A few other things people forget: 1. Latency is a double edged sword. Your latency is the delay for a quote to get from the broker to your platform, whereas the price may have moved during that travel time (first edge). Then there is the time to transmit your order (second edge). 2. What is the latency during your peak trading hours. If you are on a shared retail connection like cable, there are times of peak usage when latency can get much larger. How frustrating is that. 3. How often does it go down during the day, and for how long. Often more than you think. Imagine trying to exit a position and your internet goes down. Ugh. CJForex

I explored something similar when I was trading futures. My conclusion at the time was that start of standard day session excluded most major news announcements which contained significant volatility and movement which was mostly absorbed before standard open times. When I shifted to currencies I saw a similar phenomenon when a major event happened in London market, there was little volatility left for New York session. As if the ripples of the big splash had settled down by then. CJForex

I have had to use ticks/trades as a proxy for volume. I abandoned it as it doesn't perform the same. My next course of action was to access futures data where volume is reported. Ie. Use futures data to make trade decisions, then execute on the forex platform. I never followed through as my research took me in a different direction. But if volume is your thing, that's the way to go. Good Luck! CJForex

What's the formula for zlma? In tradestation? Have you tried it on a CRB? Cheers.

That moving average correlation makes lots of assumptions.

There has been some interesting math relating to this exact question. The process goes something like this: 1. Assume that whatever you were trying to evaluate as a prediction method got lucky by random chance, and given enough chances, could get lucky with random data. 2. Set this as your null hypothesis. 3. Prove it's not true. Disprove your null hypothesis. The latest math solving this problem even had a patent issued and was incorporated into analysis software for the financial markets. Google: white's reality check bootstrap data-snooping Use combinations of the above words to see papers related to the topic. The process of the solution is not that difficult, and there are lots of clever methods including beating the monkey. If you are in the business of evaluating strategies then it's useful stuff. Something i am very interested in as well if anyone wants to swap ideas. Cj

I forget where I was recently reading, that to the human eye, we expect randomness to look like a relatively even distribution, sort of like white noise. Whereas true randomness does have periods of predicted trendiness (to our eyes). Sometimes even expected, prolonged trends. That being said there were recent extensive academic papers and proofs showing the effectiveness of various technical analysis methodologies. If anyone cares I can dig them up. -cjforex-

Isn't this similar to the old "tape reading"? -cjforex-