Search found 20 matches

by Howard Brazzil
Mon Sep 22, 2003 10:35 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40258

Hey guys, I've been miquoted twice now, and it makes what I wrote sound like a contradiction: MISQUOTE: It just so happens that "N" is used both to size positions, and to place stops. Neither has an impact on how positions are sized. Stop in N can be changed from 2.0 to 4.0, or even 8.0, with no imp...
by Howard Brazzil
Sat Sep 20, 2003 2:07 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40258

ATR, stops, positions size, etc.

You said, "even with no stop." How do you plan to size your positions? ...You see after all you’re stops matter; the size of your position depends on the stop ‘you’ pick. Hi Menelik, I believe you've hit on a common misconception, which is that "position sizing depends on the stop you pick." ...
by Howard Brazzil
Sat Sep 13, 2003 6:48 pm
Forum: Trader Psychology
Topic: Which is harder for you folks?
Replies: 9
Views: 7543

Learning

I have vivid memories of my childhood violin teacher's instructions. "Every time you play a passage wrong," he would say, "you have to play it right 10 times to unlearn the mistake." His advise on learning a piece of music was for the student to listen to a good recording of it over and over, and le...
by Howard Brazzil
Wed Aug 27, 2003 12:49 pm
Forum: Futures Markets
Topic: Margin calculations
Replies: 3
Views: 4361

SPAN

Before I start digging around, you wouldn't happen to know where I could get examples of code (any language but Basic would be good) for writing my own Span calculation modules, would you? Hi Vince, I'm not aware of any code out in the public domain, but I haven't done a thorough search. Can the ca...
by Howard Brazzil
Wed Aug 27, 2003 11:27 am
Forum: Futures Markets
Topic: Margin calculations
Replies: 3
Views: 4361

Standard Portfolio Analysis of Risk ("SPAN") was developed by the Chicago Mercantile Exchange in 1988 for calculating customer margin requirements, and has become the futures industry standard. 1,2 SPAN is CFTC approved, and is currently used by more than 30 exchanges and clearing organizations worl...
by Howard Brazzil
Wed May 14, 2003 2:12 pm
Forum: Money Management
Topic: Research papers
Replies: 5
Views: 5535

Hi enigma, Much of academic finance deals with portfolios of assets that are bought and held, or the selection of securities that may comprise an asset class; managed futures would typically be represented as a single asset stream that is held as part of a larger portfolio. Studying the bet-sizing r...
by Howard Brazzil
Tue May 06, 2003 12:48 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52411

Warren Buffett reels off a good, pertinent quip at the recent stockholder's meeting: Buffett: "A few mistakes that are correlated will overcome a lifetime of savings: you will make a few cents on the dollar when you're right, but you'll lose incredible sums if you're wrong.... There's nothing as dea...
by Howard Brazzil
Tue May 06, 2003 12:14 pm
Forum: Testing and Simulation
Topic: ;-)
Replies: 16
Views: 9749

It was my wife who said: "You can't spend all your time testing systems. You have to start trading once and collect some experience." She said also: "You are always trying to be safe. With your testing of systems you are trying to avoid risk and to be on the safe side". She made me think... Dear Be...
by Howard Brazzil
Thu May 01, 2003 5:48 pm
Forum: Stocks
Topic: Stock data
Replies: 7
Views: 7041

re: Stock data

Hi Forum Mgmnt, Do you mind taking a minute to specifically address the issue of survivorship bias? When testing a momentum strategy, for instance, I can't help thinking that the absence of (now delisted) companies such as Netscape, and Ascend, just to name two, could have a significant impact on re...
by Howard Brazzil
Thu May 01, 2003 5:20 pm
Forum: Trader Psychology
Topic: I Hate Myself
Replies: 19
Views: 19320

re: I Hate Myself

Hi Toby, I think we've all experienced the same level of frustration at one time or another, so don't sit around and beat yourself up over it! But do take the time to absorb and seriously contemplate what Sir G and Kiwi were kind enough to offer; namely, good advice and good food for thought. It's p...
by Howard Brazzil
Thu Apr 24, 2003 11:57 am
Forum: Testing and Simulation
Topic: Confirming Robustness
Replies: 10
Views: 6578

Robust and Adaptable

How about the scorpion as a model of robustness adaptability? They've been around for a while, too. In fact, a rancher friend recently told me that scorpions and cockroaches rarely inhabit the same locale because (beside having diametrically opposed climatic preferences), scorpions will dine on roac...
by Howard Brazzil
Tue Apr 22, 2003 3:50 pm
Forum: Trend Indicators and Signals
Topic: VERY long term trends.
Replies: 6
Views: 7524

re: VERY long term trends

There are some enormous moves in nearly all markets...With a very big picture mindset, I can see great potential for strategic position accumulation over a very long period of time... There are whales to be ridden. I am pretty sure the idea of chasing these VLT moves can easily be dismissed by some...
by Howard Brazzil
Mon Apr 21, 2003 6:48 pm
Forum: Trader Psychology
Topic: Interesting study on predicting prices
Replies: 3
Views: 4428

re: Interesting study on predicting prices

Great post, yp. Thanks.

There was an excellent section on actuarial versus subjective decision making in James P. O’Shaughnessy’s What Works on Wall Street. The 2nd chapter, entitled “The Unreliable Experts: Getting in the Way of Outstanding Performance,â€
by Howard Brazzil
Sun Apr 20, 2003 3:11 am
Forum: Trader Psychology
Topic: Mindset: being who we believe we can be
Replies: 9
Views: 7898

Mindset: being who we believe we can be

[quote]I believe that if we have desires beyond where we currently are… that we aren’t where we want to be, we have somehow limited ourselves.
In your minds eye, think of ... whoever it is that you “believeâ€
by Howard Brazzil
Thu Apr 17, 2003 5:33 pm
Forum: Stocks
Topic: Interesting article about stocks fraud
Replies: 8
Views: 8865

re: story about future traveler

"Unfortunately, Yahoo!, a primary news source for many people on the Internet, reprints some Weekly World News..[but]...doesn't convey a strong 'bogus' warning to readers who don't notice the original source is the Weekly World News"

http://66.165.133.65/humor/iftrue/insider.htm
by Howard Brazzil
Thu Apr 17, 2003 2:56 pm
Forum: Market Psychology
Topic: How does market psychology affect trading?
Replies: 3
Views: 9792

re: Very Good

Thanks, SirG.

That's Samurai Trader's Maxim Number One from Zen in the Markets, by Edward Allen Toppel. I should have attributed it earlier.

Excellent book, by the way. It got bylines by Milton Friedman, Jack Sander, and Leo Melamed.

- Howard
by Howard Brazzil
Thu Apr 17, 2003 12:28 pm
Forum: Testing and Simulation
Topic: Computing the MAR Ratio - Using what sort of drawdown?
Replies: 4
Views: 8064

re: Computing the MAR Ratio

Yes - TR calculates MAR as CAGR / MaxDD, and as yp said, it uses the closed daily MaxDD of total equity. I read somewhere recently that hedge fund rating agencies typically use end-of-month data points to calculate MaxDD, whereas CTAs are subject to MaxDD scrutiny on a daily time-frame. Can anyone c...
by Howard Brazzil
Thu Apr 17, 2003 2:27 am
Forum: Market Psychology
Topic: How does market psychology affect trading?
Replies: 3
Views: 9792

re: How does market psychology affect trading?

Is market psychology important only when you are not trading a mechanical system? Doesn't a system take the psychology part out of it? George, There are a number of psychological factors which shape any investment decision-making process, many of which can exert an influence even in the design and ...
by Howard Brazzil
Wed Apr 16, 2003 3:54 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 13841

Maximum Adverse Excursion

I’m curious to find out if anyone has had success employing the concept of Maximum Adverse Excursion. My understanding of the concept is that it is a practical application of the adage that, "The best trades never go very far against you." The literature I saw on the matter some time ago implied t...
by Howard Brazzil
Wed Apr 16, 2003 1:28 pm
Forum: Testing and Simulation
Topic: Fixed Fraction vs. other creative money management methods
Replies: 6
Views: 12911

Several of my preferred systems seem to perform better and better (higher and higer reward/risk ratio) as I increase heat, using a constant-percent-risk betsize protocol. Unfortunately the drawdowns get bigger than I can psychologically stand. That's an interesting observation, and one of the few e...