Search found 109 matches

by stopsareforwimps
Wed Jul 31, 2013 3:35 am
Forum: Testing and Simulation
Topic: Synthetic Stock Data: how to "correctly" simulate
Replies: 5
Views: 3687

[quote="AFJ Garner"]Below you will find a screenshot of the latest version of my random data generator. ... What does that mean in practical terms? It means that with an assumption of zero drift, you can expect the price series to be mean reverting in the long term. ... The trends are of course mean...
by stopsareforwimps
Fri May 24, 2013 9:41 pm
Forum: Trader Psychology
Topic: poll for character/temperament types
Replies: 35
Views: 44316

It's possible that INTJs are attracted to mechanical trading systems more than other types. But it is early days. Let's see what the poll says mid week from now. What I find interesting is that it were the introverts who were first to respond to the poll. Maybe there are significantly more introver...
by stopsareforwimps
Sat Mar 16, 2013 11:58 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

Thank you. There goes the afternoon (reading the new entries in FAQ).
by stopsareforwimps
Thu Jan 31, 2013 12:09 am
Forum: Testing and Simulation
Topic: Master ETF list to emulate futures universe?
Replies: 14
Views: 5580

again I would assume crap hitting fan and bad liquidity to smaller players should somewhat be reflected in the historical data series during the worst parts of 08, unless they were back-editing the data records. Is that a bad assumption? If you compare the volatility of the ETF versus the underlyin...
by stopsareforwimps
Wed Jan 23, 2013 7:24 pm
Forum: Money Management
Topic: Question about turtle rules on maximum units?
Replies: 7
Views: 5095

Single Market >>> 4 Units for Maximum Units Closely Correlated Market >>> 6 Units for Maximum Units Loosely Correlated Market >>> 10 Units for Maximum Units Single Direction - Long or Short >>> 12 Units for Maximum Units OK. N is the 20 day exponential moving average of the true range. Dollar volat...
by stopsareforwimps
Tue Jan 22, 2013 11:18 pm
Forum: Money Management
Topic: Question about turtle rules on maximum units?
Replies: 7
Views: 5095

Does anyone have any suggestions? Thanks in advance for any suggestions I don't have the answer to your question but you might also be interested in these threads Why isn'tTurtle profitable any more http://www.tradingblox.com/forum/viewtopic.php?t=7379&highlight=turtle "Dead Turtles" http://www.tra...
by stopsareforwimps
Thu Oct 11, 2012 6:43 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

I agree with the comments on Ed's FAQ - they veered far away from trading and very close to the therapist's couch. I wonder if that could possibly be partly because after so many years of trading and trend following Ed had come to the conclusion there was little more to be said than he had already ...
by stopsareforwimps
Wed Oct 10, 2012 9:59 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

I feel IF a System is Good - trader will have no problem in following it..Only when system is not good enough this problem arises Are you saying this based on experience, or expectation? Many good traders report that they have trouble following their system. Many trading books talk about the same p...
by stopsareforwimps
Tue Oct 09, 2012 4:48 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

I feel IF a System is Good - trader will have no problem in following it..Only when system is not good enough this problem arises Are you saying this based on experience, or expectation? Many good traders report that they have trouble following their system. Many trading books talk about the same p...
by stopsareforwimps
Mon Oct 08, 2012 10:43 pm
Forum: Testing and Simulation
Topic: Curve Fitting or appropriate market selection
Replies: 15
Views: 6699

Re: Curve Fitting or appropriate market selection

I have been able to dramatically improve both the live (but only recent past) performance, and backtested performance of my system, by not trading as many markets as possible. What I have tweaked is the following: 1)After testing every 10 year period from 1970 to now (1970-1980, 1971-1981, 1994-200...
by stopsareforwimps
Sun Oct 07, 2012 6:00 am
Forum: Testing and Simulation
Topic: Kurtosis and fat tails in IBM's price changes
Replies: 9
Views: 4133

This amazing result is the reason why the normal (Gaussian) distribution plays such an important role in statistics. It can be useful to be fully aware that not every base distribution converges to a normal distribution. It converges if the base distribution has finite variance, and even some rare ...
by stopsareforwimps
Thu Oct 04, 2012 9:10 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

reprogram our brains, so that we replace dysfunctional patterns from the past with more resourceful patterns Nurture versus nature is an endless debate with no clear conclusion in sight. Some things can change; others cannot. Some people (mostly academics in the social sciences and some feminists) ...
by stopsareforwimps
Wed Oct 03, 2012 10:30 pm
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

How long have you run the Tribe in your area? I was not particularly thrilled with mine. The leader seemed a little domineering to me. We have been running for a few years. The local tribe had been in recess for a while when I got involved. Sadly I am leaving town shortly and I will really miss tri...
by stopsareforwimps
Wed Oct 03, 2012 6:38 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

I am glad you have benefited from Tribe work. I participated in the NYC Tribe for about a year a few years ago. I did not seem to benefit much from it, but that does not mean it is ineffective for everyone. I am concerned that Ed may have blown up. Guess that's a k-not to experience. Because if Ed ...
by stopsareforwimps
Tue Oct 02, 2012 3:34 am
Forum: Trader Psychology
Topic: Seykota's FAQ
Replies: 38
Views: 18021

Re: Seykota's FAQ

Anyone know the status of Seykota's FAQ? http://www.seykota.com/tt/FAQ_Index/default.html He has been seen in public at least once since FAQ updates stopped. And he wrote the forward to a book in January this year. Beyond that I have been unable to find anything out. I went to one of his workshops ...
by stopsareforwimps
Sat Aug 18, 2012 7:55 am
Forum: Testing and Simulation
Topic: Drawdown Reduction Threshold
Replies: 11
Views: 3366

Which is perhaps the most important part. You could be negatively affecting your portfolio by prolonging the time it takes to get out of the DD by cutting down the size of your potential wins. Particularly if those wins are of a larger than normal size... If your returns are serially correlated, an...
by stopsareforwimps
Mon Jul 30, 2012 9:08 pm
Forum: Brokers
Topic: Interactive Brokers & Re-hypothecation
Replies: 19
Views: 19292

In fact you hope that these options will always expire worthless. Cost of this 'insurance' is of course tax deductible. I checked the spreads the other night. In fact I nuked my paper trading account by buying $10k worth of $3 OOTM options "at market". The spread on the longest $3 put was 10c-$1, s...
by stopsareforwimps
Fri Jul 27, 2012 1:36 am
Forum: Testing and Simulation
Topic: Asset allocation plus momentum , correlation
Replies: 10
Views: 6353

Re: Asset allocation plus momentum , correlation

The progression from exhibits 1-5 is certainly very interesting to see incrementally though. Yes very interesting reading. Interesting how Markowitz diversification is used to good effect here, when its results have often been underwhelming in the real world. Interesting also the short term horizon...
by stopsareforwimps
Tue Jul 17, 2012 8:56 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13200

stopsareforwimps wrote:Everyone in this industry is affected.
IBRK blames decreased participation by the general public, in part, for missing estimates.

http://www.reuters.com/article/2012/07/ ... P020120717

IBRK options

http://finance.yahoo.com/q/op?s=IBKR&m=2012-12
by stopsareforwimps
Tue Jul 17, 2012 8:51 pm
Forum: Futures Markets
Topic: Does Anybody Feel Safe?
Replies: 34
Views: 13200

Assume 1.5 blowups per 12 months from the 2 page FCM list of 52 FCM's who look ok to us [1.5/52 = 2.88% = the chances our FCM goes bust]. ... I therefore am targeting 13.85% per year at the same level of risk." You could take your annual returns and randomly reduce 3% of them by 40%. I suspect you ...