I've seen guys who cut size in drawdowns do mipuch worse. They whip saw their account into much larger overall drawdown.
I've also seen the opposite.
As far as I know, ralph Vince never really made it.
This entire issue needs to be reframed.....instead of same old proposition.
Search found 20 matches
- Thu Aug 23, 2012 11:43 pm
- Forum: Testing and Simulation
- Topic: Drawdown Reduction Threshold
- Replies: 11
- Views: 7238
- Sun Jul 08, 2012 12:45 pm
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 22013
- Mon May 28, 2012 8:35 pm
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52748
- Wed Nov 16, 2011 11:24 pm
- Forum: Trader Psychology
- Topic: (Timely) Larry Williams Quote
- Replies: 4
- Views: 7261
@dph
I love that quote. Its so true. I also know friends who are in mf. Cme will have to make good on the shortfall or else they going to ruin the long term credibility of futures trading. Everyonenis only going to deposit bare minimum to cover margin. Fcm,s will be sending out 10x more margin calls then...
- Fri Nov 11, 2011 1:03 pm
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22813
- Fri Nov 11, 2011 12:16 am
- Forum: Testing and Simulation
- Topic: Will somebody please do this research? / has anyone already?
- Replies: 45
- Views: 22813
Follow the money
Follow the money, ie who has been doing well, and that should glean some insight. As far as I know, hft traders are doing best over last 5 years. I'll just list some blink statements. 1. News data feeds have compressed trends 2. News data feeds now have tags on them which can be automated into strat...
- Wed Nov 02, 2011 4:48 pm
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9503
- Wed Nov 02, 2011 3:56 pm
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9503
There was no firm figure for it, but it was big enough to cause concern. It's a case by case issue. The idiosyncratic details of your strategy will also effect it. Id love to be shown differently, but until then I would never base any conclusions on perp contracts. You gotta use raw contracts or som...
- Wed Nov 02, 2011 12:21 pm
- Forum: Testing and Simulation
- Topic: Dead Turtles
- Replies: 92
- Views: 97875
Afj Garner brings up great points. A rougher ride is almost the rule, not the exception. When you deciding on your strategy, you also have to consider that there is high probability that you will do some tweaking to the strategy. I don't know any trader that has not made at least a few changes over ...
- Wed Nov 02, 2011 12:03 pm
- Forum: Testing and Simulation
- Topic: Contract month selection and rolling parameters
- Replies: 14
- Views: 9503
- Wed Oct 19, 2011 11:42 am
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13228
- Wed Oct 19, 2011 11:04 am
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13228
- Tue Oct 18, 2011 7:43 pm
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13228
Good question. As I stated it usually inflates back test results, but not always. It depends on the strategy itself and it's look back and holding periods. I've seen many examples of this phenomena, particularly in smaller markets. I'd never trade any backtested strategy on continous data without lo...
- Mon Oct 17, 2011 11:56 pm
- Forum: Testing and Simulation
- Topic: Turtle System for Tradestation 9 Easy Language
- Replies: 16
- Views: 13228
Easy language code is very simple for this. What part you need? Why wouldn't you use TB? TS has no portfolio level testing unlike TB which was built with portfolio level testing as a priority? Extreme diversification is a must for turtles who want to survive over the long term. I hope you aware of d...
- Tue Oct 11, 2011 10:02 pm
- Forum: Testing and Simulation
- Topic: How do You De-leverage
- Replies: 7
- Views: 6355
You've also got to consider strategy evolution into the mix. When you back test deleveraging strategies it doesn't consider real life strategy evolution. I doubt few traders use all the same strategies over many years. I come up with at least a few new strategies every year and stop using older ones...
- Fri Oct 07, 2011 11:24 pm
- Forum: Testing and Simulation
- Topic: Market filter
- Replies: 10
- Views: 7173
- Fri Oct 07, 2011 10:54 pm
- Forum: Money Management
- Topic: How to manage position sizing for option?
- Replies: 5
- Views: 8092
Use ultra share ETF s and,or futures. If you thinking about buying options to get your exposure you are in for a lot of problems. By leverage issues, I assume you are going to be a buyer of options. short sellers of option premium use little leverage. I've been trading a long time and I've seen some...
- Thu Oct 06, 2011 11:06 pm
- Forum: Money Management
- Topic: How to manage position sizing for option?
- Replies: 5
- Views: 8092
- Thu Oct 06, 2011 4:23 pm
- Forum: Testing and Simulation
- Topic: David Harding Quote
- Replies: 9
- Views: 9705
I presented along side David in 2002. He had heat maps showing parameter combinations of moving average systems. I'm sure he has evolved as we all do, but he still a momentum guy. His track record better than most TFs, as he extremely well diversified in the true sense. Like Dalio said, after approx...
- Wed Oct 05, 2011 1:23 pm
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 49319
Idiosyncrasy in markets
Hello, My 1st post, I hope I post this right. Good points on the age old problem of profit targets and trend following. Profit target testing assumes all markets behave the same way. A long held belief for back testers. Generally, I agree. Micro wise, smaller Markets more prone to rogue moves. To ta...