littlemog
Active member
- Messages
- 106
- Likes
- 3
I think I'm asking in the wrong place... oh well.
anyway, it's hard to say which is cheaper for your question. I'll probably go with futures given that for spread and interest on rollover it's going to cut less deeper than interbank. that valid?
anyway, it's hard to say which is cheaper for your question. I'll probably go with futures given that for spread and interest on rollover it's going to cut less deeper than interbank. that valid?
GammaJammer
Guest Author
- Messages
- 1,246
- Likes
- 830
Depends on whether you only factor in explicit costs or whether you also look at stuff like legging risk, opportunity cost etc. It's not a hugely straightforward question to answer once you start doing that. People spend a lot of time on this stuff.
Adamus
Experienced member
- Messages
- 1,898
- Likes
- 97
Aaah, but we hav vays ov making you talk.
Mechanical systems are admittedly difficult, but deep down, everyone knows there is an algorithm out there waiting to be discovered, that will sell the high of every bar and buy the low.
Oh whoops I've been reading too many trade magazines again.
littlemog: try the trading blox forum. 50% oriented towards trading blox software discussion though. but it's also not nearly as active. maybe someone moderates it and just deletes the kind of chaff like you see here.
Mechanical systems are admittedly difficult, but deep down, everyone knows there is an algorithm out there waiting to be discovered, that will sell the high of every bar and buy the low.
Oh whoops I've been reading too many trade magazines again.
littlemog: try the trading blox forum. 50% oriented towards trading blox software discussion though. but it's also not nearly as active. maybe someone moderates it and just deletes the kind of chaff like you see here.
I would suggest it depends on your size.If you are doing small, I would use the futures market in the more liquid pairs (AUDUSD, EURUSD, CADUSD, CHFUSD, GBPUSD, JPYUSD). As a former forward FX trader, I can tell you that we made a truckload of free money doing overnight and short term FX rolls for clients. If we were making that money, the client is paying it.
In the futures, you only have to cross the spread on the way in and the way out. It is usually a point or two......not much. If you hold a spot FX position for 3 weeks, you have to pay the spread on the roll 15 times......I can tell you that the guy on the other end of that is happy to see you!
I say stick with the futures until volume becomes an issue for you. Then, go to the interbank market as you can get more done.
Any thoughts?
AP
littlemog
Active member
- Messages
- 106
- Likes
- 3
aye thanks for pointing that out. i think no one can disagree that systems are difficult, else we'll have seen more chatter and interest than talk about head and shoulders or whatever. i think i was just a bit angsty the other night. 
thierry911
Junior member
- Messages
- 21
- Likes
- 0
You would be surprise how system by themselves are simple.... In order to be robust and make money on a long period they need to be simple.
Where it gets complicated its on the money allocation and the positin size.
Where it gets complicated its on the money allocation and the positin size.
thierry - Give me a winning system, I'll take care of money allocation
Really, if you have a winning algorithm, just allocate 1% of money on every trade. This is definitely the easiest part of any system. And if a system requires complex money management, it is usually not really profitable (Martingale?).
Really, if you have a winning algorithm, just allocate 1% of money on every trade. This is definitely the easiest part of any system. And if a system requires complex money management, it is usually not really profitable (Martingale?).
thierry - Give me a winning system, I'll take care of money allocation
Really, if you have a winning algorithm, just allocate 1% of money on every trade. This is definitely the easiest part of any system. And if a system requires complex money management, it is usually not really profitable (Martingale?).
FXCode,
I couldnt disagree more.
I developed a winning system, with average money management rules, and it performed ok. I then worked tirelessly to improve the money management rules, and roughly doubled the performance measures (the usual measures, Sharpe, MAR, etc,etc) of my system.
You can do a lot better than merely risk 1% per trade. You can pyramid into trades, scale out of trades, adjust risk to an individual market's volatility, etc...etc.
You seem to suggest that risk management is a easier part of the system....I suggest it is the second hardest part of a system. The hardest part is being able to stick the system once you have researched it. The risk management rules are the second most important, and hardest to calibrate to the traders personal tolerances. While the entries and exits are the easiest, and least important (while still essential) part of the trading system.
Your thoughts?
AP
well written.
100% agreed.
I believe you can make money even with a random entry, as long as your money management rules are solid...
thierry911
Junior member
- Messages
- 21
- Likes
- 0
Yes I agree that s where I spend all my time....Allocation.... scale in and out etc.....By the way I risk alot less than 1% per trade. and to me money mangement and position sizing.. are the 2 ingredients which makes the difference. not the fancy entries or exit.. etc....
littlemog
Active member
- Messages
- 106
- Likes
- 3
Adamus
Experienced member
- Messages
- 1,898
- Likes
- 97
If your entry is random, you better have a good exit.
I think you're putting money management and exit strategy into the same pigeon hole.
You have to have an edge to make money. If you are saying your money management rules give you the edge, then that's really an exit strategy.
Your entry and exit strategy must be profitable before you try ramping up the leverage.
Oh and what I meant to say - if your entry and exit are both random, then you have no edge and no chance of making money, whatever your money management.
Last edited:
Stewenson133
Member
- Messages
- 77
- Likes
- 4
try wilmott dot com /index.cfm?NoCookies=Yes&forumid=1
high quant
high quant
