Search found 57 matches

by shakyamuni
Fri Jan 07, 2005 7:55 pm
Forum: Testing and Simulation
Topic: Help with trading systems for illiquid market
Replies: 5
Views: 4021

All markets are illiquid if you're trading large enough size. If your typical order is >25% of the daily trading volume, that market is extremely illiquid for you.
:shock: 25% !

I’m hoping that I eventually have this problem in the S&P and TBond futures. :wink:
by shakyamuni
Fri Jan 07, 2005 12:31 pm
Forum: Trend Indicators and Signals
Topic: Insider Trading
Replies: 4
Views: 6569

"It is not well to be curious about all the reasons behind price movements. You risk the danger of clouding your mind with non-essentials. Just recognize that the movement is there and take advantage of it by steering your speculative ship along with the tide. " - Jesse Livermore
by shakyamuni
Wed Jan 05, 2005 12:26 am
Forum: Custom C++ or Java Platforms
Topic: What language then...i am confused
Replies: 14
Views: 14330

Hi David,

You might like to read the above postings by Bernd, ksberg, ShinyHappy, and Roscoe.
by shakyamuni
Tue Jan 04, 2005 12:01 pm
Forum: Brokers
Topic: Stop Order Acceptance
Replies: 17
Views: 14651

Another annoying thing about brokers is that they won't take my "Buy-Sell Market in Past" orders. This is where I look through historical charts and find trends, then tell the broker to get me in at the market at the inception trend, sell me out at the market at the end of the trend, and keep a nice...
by shakyamuni
Tue Dec 28, 2004 10:54 am
Forum: Testing and Simulation
Topic: Console.Writeline("How Do YOU Simulate?:Part II");
Replies: 8
Views: 4806

Console.Writeline("How Do YOU Simulate?:Part II");

It is interesting to see such a large number of forum members who develop and work with their own custom simulation applications. For those who are in this group, here is a poll of your language of choice. I left some languages out and included an "other" category. I also included some for a few lau...
by shakyamuni
Sun Dec 26, 2004 11:04 am
Forum: Testing and Simulation
Topic: How Do YOU Simulate?
Replies: 7
Views: 5304

How Do YOU Simulate?

I'm interested in seeing the breakdown of simulation platforms used by the members of this forum. What platform do you use? I will list some platforms I can think of, which I think includes most of the majors; but please chime in with your platform if its not included on the list. It would also be g...
by shakyamuni
Thu Dec 16, 2004 9:18 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 11575

Re: Optimal-f in a portfolio

The reason I don't have any attachment to the 2% rule is I've run the simulations I recomended above, and then I decided for myself. It makes a world of difference when you can inspect the information inside and out first hand. After that, you'll find the conversations about what you "should" do fa...
by shakyamuni
Tue Dec 14, 2004 9:59 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 11575

I agree with Kevin.
by shakyamuni
Wed Dec 08, 2004 7:48 am
Forum: Money Management
Topic: VaR
Replies: 21
Views: 17904

VAR
by shakyamuni
Mon Oct 18, 2004 2:49 pm
Forum: Testing and Simulation
Topic: Another question on starting off a new sysstem live
Replies: 2
Views: 2897

Good question, Chris.

The only way to know which approach is right for your particular strategy is to do some serious testing of different approaches.

Best of luck with your new strategy!
by shakyamuni
Sun Oct 17, 2004 11:38 pm
Forum: Testing and Simulation
Topic: add counter-trend part to a trend following system?
Replies: 4
Views: 3958

test it and see if it works.
by shakyamuni
Sun Oct 17, 2004 2:24 pm
Forum: Testing and Simulation
Topic: Some puzzle about Walk Forward Optimization
Replies: 6
Views: 4438

Of course, this raises a paradox, because you are unlikely to know that you don’t know what you’re doing unless you know what you’re doing.
by shakyamuni
Fri Oct 15, 2004 10:07 pm
Forum: Testing and Simulation
Topic: Danger of single market back test result
Replies: 11
Views: 10258

If you know how to design a robust trading system, then you can design one specifically to exploit a single market. If, on the other hand, you do not know how to design a robust trading system, then trading all the markets in the world won't be able to stop you from losing money.
by shakyamuni
Sun Oct 10, 2004 9:21 am
Forum: Testing and Simulation
Topic: Simulation w/ Fees
Replies: 3
Views: 3713

Simulation w/ Fees

Does anyone simulate including fees?
by shakyamuni
Tue Oct 05, 2004 8:10 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19210

Sluggo,

Please elaborate on the procedure that you propose. I don't understand what you mean.

Thanks
by shakyamuni
Mon Sep 27, 2004 4:15 pm
Forum: Stocks
Topic: Dogs of the Dow?
Replies: 5
Views: 6753

The Dogs of the Dow strategy doesn't appear to be closely related to market asymmetry and trading the short side of the equity markets. (Unless you are simply advancing the suggestion "don't go short!") Whether or not value strategies such as Dogs of the Dow or other methods have any efficacy as com...
by shakyamuni
Thu Sep 23, 2004 7:26 pm
Forum: Stocks
Topic: Asymmetry and the Short Side
Replies: 3
Views: 6199

Asymmetry and the Short Side

What methods do you find to be most effective for capitalizing on the short side of the equity market?
by shakyamuni
Tue Sep 21, 2004 10:41 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19210

Forum Mgmnt, I like the idea of the “Automated Robustness Checking.â€
by shakyamuni
Tue Sep 21, 2004 12:08 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19210

Kevin and c.f. have an interesting idea with these “Parameter Sensitivity Graphs.â€
by shakyamuni
Mon Sep 20, 2004 12:45 am
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19210

Robust Optimization

How do you fellows optimize a strategy with several parameters across a broad range of parameter values and ensure the robustness of the parameter set that you ultimately choose to trade? Below, I provide a little example as a survey and I clarify the discussion I am attempting to foster… Visually...