Barclay CTA Index
Maybe trend-following makes a comeback in the 2020s? :)
4 trades so far this week with an avg of 12hrs per trade.
lately, been opening trades at futures open and profit target hits mid-morning (hard to...
I think Clenow uses a 3x ATR (100 day) trailing stop in Following the Trend to mimic a CTA-style fund.
here u go bud
2018 results, posted this in the SP500 thread already:
If he was holding both ES and NQ at the same time, leverage would be about 2.3 for a 100k account. Closer to no leverage if he was only holding...
Makes sense to me that electronic trading would smooth out this edge.
Yeah it's humbling as a trader to realize that your edge could evaporate...
I mentioned it mainly because of its recent massive fall from grace. A year ago, it had the highest 3 year Sharpe of any equities mutual fund that...
Closed my NQ position at 1:29 today with no issues. However, my entry order last night at 5:00 got rejected several times until 5:07 when it...
There's no "scientific" answer to this question.
William Eckhardt said in 2011 that he requires 1800+ trades (including backtest) before he goes...
Yeah I traded the open on NQ. I was getting weird 10 second pauses which I thought was IQFeed going out. Turned out to be "CME Velocity Logic"...
Barron's publishes a yearly top 100 list based on 3 year annualized return.
Is it time to buy yet friends
I'll believe it when I see it.
Interesting to note that BofA did accurately call the February drop the week before it happened:...
People have really gotten calls from CME to check on this? Even non-pros?
No commission fees?
Also, how much slippage are you including?
Not an answer to your question, but here's an interesting comparison of K-Ratio, Sharpe, R-squared, etc. I found a while back:...
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