Search found 1001 matches

by sluggo
Fri May 13, 2016 8:56 pm
Forum: Money Management
Topic: How to determine the position sizing?
Replies: 2
Views: 6927

Re: How to determine the position sizing?

Many people seem very happy to pay Dr. Van Tharp a consulting fee to help them decide their position sizes. Have you investigated this possibility?
by sluggo
Wed Jan 20, 2016 9:50 am
Forum: Futures Markets
Topic: Switching from "In the money" to "Out of the money" option?
Replies: 1
Views: 3342

Re: Switching from "In the money" to "Out of the money" option?

Think up five or six different possibilities, code them up, and try them on historical data in backtesting. Choose the two whose backtest results please you most, and trade half of your capital using method1, half of your capital using method2.
by sluggo
Tue Nov 10, 2015 7:17 pm
Forum: Futures Markets
Topic: Rolling when trading weekly time frame
Replies: 2
Views: 3679

Re: Rolling when trading weekly time frame

In real life with real money, I recommend performing your rollover trades on the correct and proper day to roll, even if that day isn't a Monday or a Friday or whatever criterion you used previously when you built your weekly data series. Only the top ten or fifteen super-liquid futures markets have...
by sluggo
Sat Nov 07, 2015 7:59 am
Forum: Testing and Simulation
Topic: Solving for how many trades/day to achieve a certain % of profitable days
Replies: 3
Views: 2490

Re: Solving for how many trades/day to achieve a certain % of profitable days

ZOOPY12: " ... a win rate of 25% and the average wins are 3.8 times the size of the average loss ..." IRVLLC: "... your expected return is negative. You are expecting to make 95 cents per dollar risk. Not to say you won't have positive runs on occasion but clearly it is a losing proposition." SLUGGO...
by sluggo
Tue Oct 06, 2015 9:42 pm
Forum: Testing and Simulation
Topic: Solving for how many trades/day to achieve a certain % of profitable days
Replies: 3
Views: 2490

Re: Solving for how many trades/day to achieve a certain % of profitable days

It seems to me that you can't set out to measure that without making some kind of an assumption about the trader's position sizing algorithm. To name one famous example, if you have an infinite bankroll then "Martingale" betting, where you double your bet after a loss, might be worth considering. So...
by sluggo
Mon Jul 20, 2015 4:18 pm
Forum: Trader Psychology
Topic: Trader Psychology
Replies: 7
Views: 7148

Re: Trader Psychology

On page xv of Ralph Vince's book The Mathematics Of Money Management , in the section called Introduction, he says It requires discipline to tolerate and endure emotional pain to a level that 19 out of 20 people cannot bear. This you will not learn in this book or any other. Anyone who claims to be ...
by sluggo
Sun Jul 19, 2015 11:03 am
Forum: Trader Psychology
Topic: Trader Psychology
Replies: 7
Views: 7148

Re: Trader Psychology

An idea that's been around a long time is the two-buckets-of-equity method. It makes an assumption: the psychological pain of losing "the market's money" is much much less than the psychological pain of losing "your money". So you bet big with the market's money and you bet small with your money. Pr...
by sluggo
Tue Jul 14, 2015 3:28 pm
Forum: Money Management
Topic: How to determine the position sizing?
Replies: 2
Views: 2199

Re: How to determine the position sizing?

Maybe one possibility to consider, might be to calculate the optimal-f for this situation, then run some what-if scenario simulations at (0.5 * optimal-f) and (0.25 * optimal-f), just to see the kinds of drawdowns it might possibly suffer. When I google for the phrase "optimal f," several of google'...
by sluggo
Mon Jul 13, 2015 1:06 pm
Forum: Futures Markets
Topic: Where to find Open Interest for NQ and ES?
Replies: 1
Views: 1300

Re: Where to find Open Interest for NQ and ES?

At which exchange do you want to know the open interest?

Does that exchange have a website?
by sluggo
Mon Mar 30, 2015 8:24 pm
Forum: Testing and Simulation
Topic: Dual Momentum Gary Antonacci
Replies: 14
Views: 13071

Re: Dual Momentum Gary Antonacci

If this post does not yield the desired results, please permit me to suggest that trying again with a more explicit title might help. WANT SOMEBODY TO CODE AN IDEA IN BLOX FOR ME gets the point across nicely, and presents several opportunities for you to mention compensation. If you are willing to p...
by sluggo
Tue Mar 17, 2015 9:13 am
Forum: Testing and Simulation
Topic: Can one approximate TE DD from CE DD and MAR?
Replies: 3
Views: 2052

Re: Can one approximate TE DD from CE DD and MAR?

I think there might be a couple of problems with your proposed formula. Problem 1: MAR Ratio is (CAGR / Worst_Drawdown_Ever). And Worst_Drawdown_Ever might have occured several years ago. On the other hand, Closed Equity Drawdown and Total Equity Drawdown tell you how much pain you're suffering toda...
by sluggo
Sun Feb 22, 2015 12:32 pm
Forum: Testing and Simulation
Topic: US Stock Rotation System
Replies: 7
Views: 5058

Re: US Stock Rotation System

Sometimes it benefits you AND your employees when you give them little side-projects that expand their knowledge. For example, you could give one of your employees the project "Estimate the CAGR and the MaxDD of the equity curves just posted by Anthony Garner". My employee turned in the following pa...
by sluggo
Tue Jan 13, 2015 11:31 am
Forum: Money Management
Topic: When to increase position sizing?
Replies: 4
Views: 3164

Re: When to increase position sizing?

I suggest you invent four or five position size increasing rules, and try them out in backtesting simulations.

Identify the two rules whose backtest results please you the most. Trade half of your money using rule A, and the other half of your money using rule B. For diversification.
by sluggo
Wed Nov 12, 2014 6:47 pm
Forum: Brokers
Topic: Would broker follow any winning traders for making money?
Replies: 4
Views: 4879

Re: Would broker follow any winning traders for making money?

I suggest you first become a profitable trader before worrying about this. After you are a consistently profitable trader, if you are paranoid about copying, you might intentionally take some losing trades in addition to your winning trades. Take enough losing trades to discourage copiers but not en...
by sluggo
Fri Nov 07, 2014 10:25 pm
Forum: Money Management
Topic: Portfolio Heat applied to Day trading
Replies: 1
Views: 3597

Ted could kill himself after realizing he is so ignorant that he is using Van Tharp vocabulary words like "expectancy." Ted could kill all of his family first, including Fred, before killing himself, after realizing he is painfully ignorant. Or Ted could implement an idea or two based on "cut your l...
by sluggo
Wed Oct 08, 2014 11:48 am
Forum: Futures Markets
Topic: How to protect your Short CALL?
Replies: 2
Views: 3484

I suggest you do an internet search for the phrase "option spread"
by sluggo
Fri Aug 15, 2014 11:40 am
Forum: Data Providers and other non testing software
Topic: Volume data in CSI - how stable are the estimates?
Replies: 10
Views: 3857

Suppose the long term average rate of retroactive-volume-changes in CSI Data is approximately 12 changes per year; one change per month. Would that be a tolerable number, for you and your trade execution team? It's unlikely (~25% probability) you'll see any retroactive-volume-changes in 1 week of ob...
by sluggo
Wed Jul 02, 2014 2:21 pm
Forum: Futures Markets
Topic: How USDCAD relates to Silver?‏
Replies: 15
Views: 6568

sluggo wrote:Scroll down the Index and you'll see there is a "Forex" area
Here is a screen capture image
by sluggo
Wed Jul 02, 2014 9:59 am
Forum: Futures Markets
Topic: How USDCAD relates to Silver?‏
Replies: 15
Views: 6568

Why did you post this message in the "Futures Markets" area of the Forum? Scroll down the Index and you'll see there is a "Forex" area -- which seems to be the actual topic of your request-for-help.
by sluggo
Tue Jul 01, 2014 12:10 pm
Forum: Futures Markets
Topic: Which index is more popular on commodities?
Replies: 3
Views: 1929

I don't know about other traders, but I personally have traded a whole bunch more GSCI futures contracts, than any other commodity index.

Here is the contract specification