Search found 19 matches

by si
Sat Oct 15, 2005 3:38 pm
Forum: Testing Software
Topic: STARTING FROM SCRATCH IN BACKTESTING
Replies: 14
Views: 9927

BARLI wrote:0.1% drawdown and 100% winning months. 32.72 MAR?
:?:
by si
Sun Apr 24, 2005 12:48 am
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 11416

Re: Synthetic Contracts

Most markets haven’t traded long enough to provide enough trades that a developer can use as a statistical basis for evaluating the robustness of a trading approach. Just as important, as the market data gets older it stops being representative of current conditions. What is your basis for these ...
by si
Sun Apr 24, 2005 12:43 am
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 11416

In thinking about the points he makes about the data being market like, I wonder how complicated his idea will be to implement. The book will give you some ideas to explore and point you in the direction that Mandelbrot wishes to persuade others to pursue: multi-fractal modelling. I do not have the...
by si
Sat Apr 23, 2005 5:13 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 11416

Roger Rines wrote:I’ve just ordered a used copy from Amazon in the UK. Amazon in the US doesn’t even know about the book.
I think that is due to the spelling -- "behaviour" in UK versus "behavior" in USA.
by si
Sat Apr 23, 2005 5:06 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 11416

The link to amazon is here: hardcover I read the book some months back. Here is my broad understanding of the main theses of the book as my notes show from then: 1. A plot of frequency of price changes shows too many points at the ends, and not enough in the middle. Such fat tails follow a power law...
by si
Sat Apr 23, 2005 12:24 pm
Forum: Testing and Simulation
Topic: Synthetic Contracts
Replies: 15
Views: 11416

Re: Synthetic Contracts

You may benefit from reading Benoit Mandelbrot's book "On (Mis)behaviour of Markets". He talks about his two-step generation of synthetic data, and tries to precisely define the term "market-like".
by si
Mon Jul 05, 2004 12:27 am
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 11747

... the day that most trading will occur through mostly never overriden computer based systems, assuming that such a day will come? "Large" traders are ultimately constrained by client behaviour. Can client deposit and withdrawal of funds be controlled or modelled by computers? Or is it likely to b...
by si
Sat Jun 19, 2004 4:10 pm
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 7725

Forum Mgmnt, Thanks. Those are the posts I refer to. I was beginning to wonder if it was all a hallucination.

Now on to making sense of it. :?

--si.
by si
Sat Jun 19, 2004 3:55 pm
Forum: Money Management
Topic: Long/Short market neutral exits
Replies: 15
Views: 9986

Actually, Martingale will always win when you have unlimited margin and infinite liquidity. :twisted: Yes but win how much? As the losing streak gets longer, more and more money is chasing less and less profit. But if you have infinite money then presumably the rate of return is not really a bother...
by si
Sat Jun 19, 2004 2:29 pm
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 7725

Thanks Ted for the response. The resources get filed away into my ever-increasing ToRead list. ;) I am sorry my post was poorly worded but I understand the issue well enough to be able to discriminate between the two. Essentially doubling when down, means that increasing amounts of capital are chasi...
by si
Sat Jun 19, 2004 6:46 am
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 7725

Martingale or Anti-Martingale

I have seen claims, I forget where, that the popular bet size variation methods that we like to call anti-Martingale (reduce size on loss, increase on win) are really Martingale methods in disguise.

Can someone explain this or provide a pointer to another resource describing this?

--si
by si
Sat Jun 19, 2004 6:37 am
Forum: Money Management
Topic: Long/Short market neutral exits
Replies: 15
Views: 9986

I think Leonardo's point is that if you have 10 losses in a row on a 50/50 coin toss, then a martingale is betting 2^10=1024 to gain 1, if that.

Shakyamuni,
It's difficult to tell whether you are being serious or sarcastic. Let us all try to not let this board lose its signal-to-noise ratio.

--si.
by si
Fri Jun 11, 2004 2:44 am
Forum: Custom C++ or Java Platforms
Topic: Advice for gaining ATS experience through real trading
Replies: 5
Views: 6962

blackjack!

My very serious suggestion: If you really want to improve your abilities to trade when you have sufficient capital in the future, learn to play blackjack by counting cards. Leonardo, this is a fantastic suggestion! I remember doing precisely this some years back, to evaluate personal emotional resp...
by si
Fri Jun 11, 2004 2:08 am
Forum: Custom C++ or Java Platforms
Topic: Advice for gaining ATS experience through real trading
Replies: 5
Views: 6962

Just paper trade.

My purpose here is not to make money or even hope to keep my stack at the same level (I guess that even if things go smoothly I will lose half of my stack in a few weeks). :roll: Your request is confusing. If I understand right, you want to discover and debug your software errors by trading with re...
by si
Fri Jun 04, 2004 6:36 am
Forum: Trend Indicators and Signals
Topic: stalking the first big trend when starting out
Replies: 11
Views: 11941

I do believe that one could get a start the same way again. Leonardo, your detailed post is very informative. The key, when you are trading small, is to pick a trend and ride it, pyramiding all the way with eyes open. As you say you bounced about in silver, beans, wheat before settling on cotton. S...
by si
Fri Jun 04, 2004 6:22 am
Forum: Stocks
Topic: Market Volatility
Replies: 7
Views: 7794

( This is not meant as a flippant answer ) Leonardo, Do not worry. I am not easily flipped out. :wink: To the original poster, I would say: ask yourself whether you are trading in order to learn more about market fundamentals -- the "why" questions. That road does not lead to a pretty place. --si.
by si
Wed Jun 02, 2004 11:31 pm
Forum: Stocks
Topic: Why don't these guys trade stocks?
Replies: 11
Views: 12449

keep % risk small, if you can use a big account you can risk 1/2 % or even a 1/10 of a percent on each entry (you want to be able to cast a wide net, buy everything thats moving up, then start to hone in on the real winners I think this is key, given the high margin setup and too many choices. Othe...
by si
Wed Jun 02, 2004 10:46 pm
Forum: Stocks
Topic: Market Volatility
Replies: 7
Views: 7794

The level of the index does NOT imply the level of volatility. 10% volatility is 10% volatility, no matter what the level is. The markets can fluctuate 10% if the Dow is at 10,000, just as it can when it was at 1,000. I think Enigma's question is : To have the same level of fluctuation, a one tick ...
by si
Wed Jun 02, 2004 8:44 pm
Forum: Stocks
Topic: ;-)
Replies: 9
Views: 9112

Bernd wrote:ETFs might be a way to go. But the contract size is pretty large for the capital I can use to trade.
ETFs trade at stock-like valuations : eg, the S&P500 Depository Receipts (ticker:SPY) is right now at about $110