Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
I assume You could simply pull up a monthly chart of each symbol and apply a volume indicator for it. I know Tradestation allows this. I’m not sure if the volume indicator will show accurate volume stats but you might try there and compare to the CME website
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,055 since Dec 2013
Thanks Given: 4,397
Thanks Received: 10,220
I think its Robert Carver in his book 'Systematic Trading' that discusses the speed of signals of Trend following and the cost on the system. Depending on the market he definitely believes there is a minimum lookback you can use and still expect to comfortably cover trading costs.
Some of the old school trend followers are stuck in their mindset about trading costs and seek to limit entries, exits and rollovers as much as possible. And this has served them well. I had a private conversation with one of the original Turtles whom held this belief. In 1999 the cost of a round turn telephone trade was in the $100 rangeplus slippage. The cost of trading futures have never been lower historically. But obviously you need to have an eye on costs. If you compare margins from trading to any other industry- we have this crazy effort to make margins astronomically high, like those seeking a 4:1 Gain to Pain ratio.
The average Dunkin Donuts franchise - gross sales are 1.2 million and net profit is in the 200k range (that's why franchise owners own multiple stores). This translates to ~ 17% margin (which is higher then the industry average). But that 200k is all but almost guaranteed.
So if you had a system that generated $800,000 in winning trades and $650,000 in losing trades, the Pain to Gain ratio is 1.33, or crudely a ~19% profit margin. According to some, like Jack Schwagger, isn't impressive at all, but what if, historically over the past 6 years, that system never had a down year, would that change our opinion of the system?
The SG Short Term trading index are for CTA's with trades held less then 10 days (2 trading weeks) and shows a profit of ~10.5% YTD. Apparently the constituents of the index are still providing a return even with short look backs, and the associated costs. Which in my thinking attests to the efficiency of their trading signals. Just my thoughts......
I can appreciate and understand the fact you're not willing to share the function with the entire community, but can you explain -perhaps in general- what the _szHIHILOLC function does?
Yeah but DD net is after all expenses am I correct?
While CTA's net is after all trading costs (commish/slippage/data fees), but not overall business expenses (office salaries, insurance, promoting, etc).
I believe you're right- also most CTA's results are also net after fees (maintenance and performance), but when you do the math of managing 2 billion returning 20% with a 2 and 20 fee structure (which from what I understand is getting more and more rare) that's some big money for office, clerical, back office and compliance expenses.
Baring that in mind, the point of the original post is, as individual traders, we shouldn't expect to make RenTek type returns and /or compare our results with industry acceptable metrics .............
And moreover, acceptable returns for us- can fall inline or surpass other industries where people make a living ......