Search found 36 matches

by leonardo
Sat Nov 27, 2004 2:20 pm
Forum: Testing and Simulation
Topic: Data set up for backtesting
Replies: 9
Views: 7620

Roll Dates People engineer trading systems so as to make money most efficiently. Unfortunately, some researchers have made roll-overs part of their curve fitting, usually accidently. I think it has become less of an issue as data streams used for testing have become more standardized. If it can be ...
by leonardo
Wed Nov 17, 2004 8:42 pm
Forum: Trend Indicators and Signals
Topic: stalking the first big trend when starting out
Replies: 11
Views: 11963

Thanks, Ghostrider : With the current shifting picture of world economics, similar risk/reward situations seem to be developing right now in a lot of physicals. Software has never been better. Testing has never been easier. There have never been so many diverse products to trade. Maybe our next gene...
by leonardo
Sat Nov 13, 2004 1:31 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75195

Re: How good is my system

..., I tested how robust a given system was by optimize it over a large range of values and measuring the returns and standard deviation of returns across the range of parameters. We wanted to see an average positive expectation greater than the standard deviation at minimum. I've applied this conc...
by leonardo
Wed Sep 08, 2004 12:59 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36570

Re: drawdowns

.... In short, HOW do I know when to know when the system is broke .... a 1 or 2, 6, 9 month drawdown. The flip side is the system is working when higher equity peakes are made, daily, weekly or monthly; -OR- when to hold and when to fold. Frank, San Diego A very good question that many have had to...
by leonardo
Tue Sep 07, 2004 2:10 pm
Forum: Futures Markets
Topic: A swan strikes
Replies: 15
Views: 10631

Utility theory raises its head again. As has been mentioned elsewhere in the forum, the rewards one receives ultimately comes in the form of a trade-off. Someone may be able to improve the reward vs. drawdown ratio with skillful handling, but at a time and opportunity cost to whatever else they coul...
by leonardo
Fri Sep 03, 2004 5:29 pm
Forum: Futures Markets
Topic: A swan strikes
Replies: 15
Views: 10631

Today I had sells in the bond market to execute if the market fell substantially; which it did. Since these were initiations, I treated them like stop-limit orders and got filled (actually filled better than my original sell price) when the market gyrated up after its nasty thrust down. Like many, I...
by leonardo
Mon Aug 30, 2004 9:21 am
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36570

However markets will always trend I have no doubt so I believe you need a system that can capture this and I also believe that it will be the players who can accept the 30 % plus drawdowns that will survive since the majority of current system traders are always looking for ways to minimise the dra...
by leonardo
Wed Aug 25, 2004 9:38 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36570

As an example, I've attached quantiles and histogram for MaxDD trial over a 14 year study.... You also get a sense of where the distribution is centered, and a taste of black-swan events way out on the tails (pretty sobering!).... Why do this? Well, I don't get this level of insight from existing t...
by leonardo
Tue Aug 24, 2004 1:41 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36570

Just a note: Whatever a person uses to cause them to enter a trade is a system. Obviously, some systems better lend themselves to testing than others. That doesn't necessarily mean they are better because they're easier to test. Systems don't care at all if they're in drawdown, or if they're making ...
by leonardo
Tue Aug 24, 2004 10:39 am
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36570

I spent about 6 months designing and backtesting and came up with a system with 20 year max drawdown of about 24 % . Am down 13.4 % in 11 days ... any advice .. It possible that your system having this quick drawdown is completely within its normal probabilities. You can do an existence check on al...
by leonardo
Sun Aug 22, 2004 2:41 pm
Forum: Trader Psychology
Topic: Meditation
Replies: 32
Views: 30497

Remembering to breathe between sips of my coffee creates a perfect atmosphere for centering on my trading during trading hours.:lol: Remembering to breathe between sips of my whisky sour (20 year old scotch) helps center me after the trading hours. Only one centering beverage necessary.:wink: Leonardo
by leonardo
Thu Jul 22, 2004 12:12 pm
Forum: Money Management
Topic: There should be a limit
Replies: 3
Views: 4128

Utility theory strikes again. If your individual trades are risk-adjusted appropriate to the money you are managing, being down $1 million one day and being up $2 million the next is no different than being down $10,000 one day and being up $20,000 the next for an account 1/100th the size. Money man...
by leonardo
Fri Jul 02, 2004 5:44 pm
Forum: Trader Psychology
Topic: dealing with whipsaws
Replies: 14
Views: 18027

If I miss a trade--see it too late or didn't place a stop in time--I take the trade anyway with a lower risk position. Example: if I was supposed to have on 5 contracts at 1.2316 with $2000/contract risk, I will put on 3 contracts higher (Like 1.2375, the "missed" sensation fully in bloom) with prot...
by leonardo
Fri Jul 02, 2004 1:21 am
Forum: Trader Psychology
Topic: dealing with whipsaws
Replies: 14
Views: 18027

Or you could do what the traders in Chicago do.

Drink lots of beer. And then take the next trade.

:lol:

Leonardo---
by leonardo
Fri Jul 02, 2004 12:31 am
Forum: Testing and Simulation
Topic: Journey to turn the worst system into the best one!
Replies: 12
Views: 8858

The worst system you could trade: The doubling-up system, the martingale. Doubling up after you have a $500 dollar loss expecting the market to just have to retrace just a little bit to make up the loss and your specified profit. Starting the buying process only when there is a downsloping 50 day mo...
by leonardo
Thu Jul 01, 2004 11:56 pm
Forum: Testing and Simulation
Topic: Further thoughts on Backtesting
Replies: 19
Views: 11775

I wish to include my few cents worth. I believe in mechanical methodologies for attacking markets, and believe that you can create a fairly durable system which will work over long periods of time. In addition to my own usual forms of trading I trade a very old system which I received when I was 25,...
by leonardo
Sat Jun 19, 2004 12:29 am
Forum: Money Management
Topic: Long/Short market neutral exits
Replies: 15
Views: 10001

shakyamuni If you keep doubling down with this methodology, you are eventually bound to win. This metod is a gaurenteed winner- there is no need for any testing. It could take up to a trillion dollars to make $100,000 with that method. I would rather risk the $100k to make the trillion. Leonardo---
by leonardo
Fri Jun 11, 2004 2:26 am
Forum: Custom C++ or Java Platforms
Topic: Advice for gaining ATS experience through real trading
Replies: 5
Views: 6985

My original post was rendered moot due to facts which were made clear by a later posting :oops: I will include the later part of my post for those who might like to find an alternative way to improve some of their trading abilities in an inexpensive manner: My very serious suggestion: If you really...
by leonardo
Fri Jun 04, 2004 9:35 am
Forum: Trend Indicators and Signals
Topic: stalking the first big trend when starting out
Replies: 11
Views: 11963

An extremely low risk setup in the cotton.

I knew that once cotton left its range it meant it wasn't going to look back. The subsequent trend would be durable and "rideable".

Leonardo---
by leonardo
Thu Jun 03, 2004 1:19 am
Forum: Stocks
Topic: Market Volatility
Replies: 7
Views: 7800

I think Enigma's question is : To have the same level of fluctuation, a one tick move when Dow is 1000, corresponds to a 10 tick movement when Dow is 10000. Why aren't people still trading in the same absolute amounts as they were earlier? ( This is not meant as a flippant answer ) Because markets ...