Search found 15 matches

by kmulford
Wed Feb 04, 2004 10:22 am
Forum: Money Management
Topic: Accuracy of worst drawdown
Replies: 10
Views: 9407

Chris, This is an excellent topic. My belief is that the appropriate way to look at drawdown is subjective. If the suit fits, wear it; if not, try on another one. I look at Monte Carlo simulations, paying close attention to the distributions of possible paths. I also use heuristics to change the pro...
by kmulford
Fri Sep 12, 2003 9:01 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40240

Menelik, ATR is a price based gauge of volatility. It is a measure of *historical* volatility. A $5 ATR for a $10 stock has exactly the same historical volatility as a $5 ATR for a $50 stock. One is not 5 times more volatile than the other, historically speaking. The $10 stock does not have a 10% AT...
by kmulford
Tue Sep 09, 2003 8:13 am
Forum: Testing and Simulation
Topic: Portfolio Selection for System Development
Replies: 4
Views: 5030

Darran, I believe that we all bring biases into everything we do. In trading and testing, I bring a bias toward trading interest rates and (for those who get the joke) FX. This bias derives chiefly from a long career, recently chucked, on Wall Street in bonds (mortgage derivatives, actually). So, I ...
by kmulford
Fri Aug 01, 2003 8:45 pm
Forum: Money Management
Topic: Trading several systems at the same time
Replies: 6
Views: 8635

Re: Trading several systems at the same time

One of the things I've fooled around with, is simultaneously trading several extremely-similar systems at once. I wanted to see whether small diversification in entry date/price and exit date/price, would smooth out the equity curve. Mark, Thanks so much for this simulation idea. Recipes will get a...
by kmulford
Wed Jul 16, 2003 6:37 am
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 10601

Monte Carlo simulations can help here, though this method brings its own baggage. Taleb's book "Fooled by Randomness" is good to get a sense of the method. CSI has MC functionality in its Trading System Performance Evaluator (TSPE) that might be worth a look. You can read about it on their website: ...
by kmulford
Thu Jul 10, 2003 5:55 pm
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 14707

Re: How does CSI data deal with the rollover?

Doesn't CSI sell contiguous prices? Why would you bother with any other data than CSI ? I use CSI. My concern is with the problem of biased time series (inflation, for example) that may overstate profitability of the trading sytems I test over past data. CSI linearly adjusts prices via its detrend ...
by kmulford
Thu Jul 10, 2003 4:02 pm
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 14707

Detrending

Detrending methods can be used to remove an upward (or downward) bias in time series of prices, including continuous, back-adjusted series. This technique may remove any inflationary bias, for example, that might falsely imply that buying is better than selling. Does anyone on this forum use detrend...
by kmulford
Mon Jul 07, 2003 9:39 am
Forum: Testing and Simulation
Topic: Pre-flight check list
Replies: 4
Views: 3787

Red, A very thorough analysis is not necessarily analysis paralysis, though the danger definitely, seductively lurks. In fact, thorough analysis is the foundation of a trading method that will, by virtue of its scope, make you comfortable with the resultant method, perhaps removing (but certainly mi...
by kmulford
Wed Jul 02, 2003 7:42 am
Forum: Trader Psychology
Topic: Please Understand Me: Character and Temperament Types
Replies: 21
Views: 20143

Thank you, gentlemen. Damian, the framework sounds interesting and worth a thorough perusal. I appreciate your taking the time to make the case for the book. Forum Mgmnt, I have read Jung (and Freud and May and many others) in grad school and can find no better justification than Damian's descriptio...
by kmulford
Tue Jul 01, 2003 7:34 am
Forum: Trader Psychology
Topic: Please Understand Me: Character and Temperament Types
Replies: 21
Views: 20143

Damian,

Do you recommend reading the books in sequence, or do you think one volume has more value than the other?

Also, can you talk a little about the process that the book recommends? I wish to learn more - I am deeply skeptical of self-improvement psych books.

Best,
Ken
by kmulford
Mon Jun 23, 2003 9:02 am
Forum: Testing and Simulation
Topic: Long Term vs. Short Term Strategies
Replies: 8
Views: 7165

Trading multiple systems

A new topic? Using two or more different trading systems, each with positive expectancy, should provide a trader with more opportunities to trade and, thus, realize on the positive expectancy of the systems. Has anybody had any experiences they would like to share regarding the construction, testing...
by kmulford
Mon Jun 23, 2003 8:29 am
Forum: Trader Psychology
Topic: Dos and Donts of Drawdowns
Replies: 23
Views: 22917

These suggestions are from the perspective of the long term trend follower trading in leveraged financial instruments (e.g., futures). The most helpful advice is to understand your personal risk preference/ avoidance profile. This requires experience and a strong capacity for truthful self-examinati...
by kmulford
Mon Jun 02, 2003 8:40 pm
Forum: Forex
Topic: VeriTrade Turtle Edition with Forex?
Replies: 7
Views: 7655

Re: Data and stuff..

For data , after months of shopping, I've settled on Olsen. http://www.olsendata.com/index.html?standard_datasets The Olsen data are very expensive; however, they have done extensive scrubbing. Check out their book, I believe the title is "High Frequency Finance." They detail how they filter data, ...
by kmulford
Mon Jun 02, 2003 2:06 pm
Forum: Testing and Simulation
Topic: Do commodities vary in the short term?
Replies: 7
Views: 5172

Josh, How does one avoid curve-fitting when determining one market's personality? Is post-dictive error a problem with systems made to fit a single commodity's (financial future's, currency's, etc.) personality? In constructing your TYPE of system (slow or fast, in grades; etc.), test your ideas not...
by kmulford
Sun May 25, 2003 8:30 am
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 14707

Backtesting with backadjusted time series

How does one handle commission costs in historical testing across backadjusted time series? Presumably, for long-term trend following systems, a long (short) position may carry over a number of different contract months/years. Commissions are charged on the rollover. Should one simply goose-up the c...