nodoodahs,
If you size positions using a volatility adjusted algorithm, then your position sizes will automatically become larger when volatility is low and become smaller when volatility is high.
Sebastian
Search found 7 matches
- Sun Oct 05, 2008 10:18 pm
- Forum: Money Management
- Topic: Position Size, Volatility, and Trend
- Replies: 4
- Views: 5765
- Mon Jul 07, 2008 2:38 pm
- Forum: Stocks
- Topic: Auto Execution for All US Equities
- Replies: 3
- Views: 7630
- Mon Jul 07, 2008 1:25 pm
- Forum: Stocks
- Topic: Auto Execution for All US Equities
- Replies: 3
- Views: 7630
Auto Execution for All US Equities
Hi guys, I have developed a long term, long only trend following program that trades all US equities (ie. approx. 13,000 tickers). I have backtested this system from 1991 using 64Bit blox which has been magnificent BTW and 8 gigs of RAM. I am wondering if anybody has done the same and/or knows of a ...
- Thu Jun 05, 2008 11:40 am
- Forum: Testing and Simulation
- Topic: Retracements, drawdowns and surfing the curve
- Replies: 4
- Views: 4387
- Mon Jun 02, 2008 1:02 pm
- Forum: Trend Indicators and Signals
- Topic: Pullbacks and LTTF methods
- Replies: 11
- Views: 13416
- Sat May 31, 2008 2:24 pm
- Forum: Trend Indicators and Signals
- Topic: Pullbacks and LTTF methods
- Replies: 11
- Views: 13416
Angelo, Im am interested to see why you feel that long term trendfollowers like Dunn and Henry are accurate proxies for the systems that Seykota is using now. I find it interesting that you do not mention the performance of long term trendfollowers like Eckhardt, Winton etc, Salem, Parker etc. whose...
- Sun Mar 16, 2008 12:28 am
- Forum: Testing and Simulation
- Topic: Eckhardt Trading Company equity curve
- Replies: 19
- Views: 13665