Search found 11 matches

by CRM114
Sun May 15, 2005 6:05 pm
Forum: Trader Psychology
Topic: Overcoming bad habits acquired from day trading
Replies: 17
Views: 19067

Mark's method called ACD, its all explained in his book Logical Trader... From what I can remember from looking at this book, Fisher spends lots of time talking about his method but he never explains how to calculate his "magic number." I think he said it had something to do with volatility, and, a...
by CRM114
Thu Sep 23, 2004 5:35 pm
Forum: Testing and Simulation
Topic: System performance
Replies: 9
Views: 6994

sluggo wrote:Clinton-Nasdaq boomlet
Was that followed by the Bush bustlet? But then the market improved after everyone saw Bush's bottom.
by CRM114
Sat Dec 06, 2003 3:08 pm
Forum: Stocks
Topic: Market Structure
Replies: 0
Views: 4428

Market Structure

I just came across this interesting study of long-term memory in a stock market. Using data from the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as t^(-alpha) with alpha ~ 0.6, corresponding to a Hurst exponent...
by CRM114
Tue Sep 16, 2003 8:00 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 41123

Menelik, I'd like to better understand your reasoning. You have talked about having your own definition of risk. Please give an example or two of the kind of scenarios that you feel are better handled by your method than by the fixed stop. Also, when do you get out? If you don't use a fixed stop, ho...
by CRM114
Sat Sep 13, 2003 4:03 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 41123

I'm still trying to get a feel for this problem so I've been playing around with some stock data. I'm hoping to get some idea of what nasty surprises might be out there by looking at tomorrow's true range vs. today's atr (10-day average). Following Menelik's suggestion, I normalized both by today's ...
by CRM114
Thu Sep 11, 2003 1:55 pm
Forum: Money Management
Topic: Increasing leverage through LEAPs
Replies: 16
Views: 11900

Re: Increasing leverage through LEAPs

al2000 wrote:Using Interactive Brokers, the commission would be $78 ...
It doesn't really affect your argument, but I believe this should be $7.80.
by CRM114
Thu Sep 11, 2003 1:10 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 41123

Menelik, I agree with you that a simple-minded use of ATR is probably not the final word on risk control. The thought of price fluctuations of 50% will make most folks a bit queasy, although this might be the result of an unconscious bias of using a too-long-term perspective. I just wanted to get th...
by CRM114
Wed Sep 10, 2003 11:09 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 41123

As I understand it, the use of ATR is an attempt to measure the actual dollar risk per unit traded. If I trade the same number of shares and there is a $5 move then my gain or loss is the same whether the unit price is $10 or $50. So if I am willing to risk a total of X and I will get out if the pri...
by CRM114
Tue Sep 09, 2003 11:37 pm
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 20944

Is there any tools that could simulate a probability distribution with a <0.5 hurst coefficient, I think this would give us more realistic results. I can give you a procedure that will produce approximations of fractional Brownian motion. It's on page 495 of the book Chaos and Fractals by Peitgen, ...
by CRM114
Wed May 07, 2003 10:48 pm
Forum: Money Management
Topic: %Risk vs %Vol or Both
Replies: 4
Views: 4397

I think our mate Gordon the Moderator is prompting discussion threads and thought. damian, that was my first thought, too. However, after being conditioned by other sites, my second thought was that Bondtrader was in for some serious flaming. :twisted: What a pleasure it is to visit this site. It's...