Search found 2 matches

by maler
Mon May 06, 2013 3:22 pm
Forum: Trend Indicators and Signals
Topic: Positive Autocorrelation and Trend Trading Success
Replies: 3
Views: 3833

Anthony, if you lag the 3 day return series by one day only,
you expect to get a high positive autocorrelation because of the common 2 days in each pair.
Would be interesting to see the 3 day return autocorrelation for a 3 day lag.
by maler
Thu Jan 03, 2013 12:21 pm
Forum: Money Management
Topic: What position sizing should be used?
Replies: 7
Views: 4723

Bruce Kovner said
“Whatever you think your position size should be, cut it at least in half.â€