Search found 121 matches

by ksberg
Thu Mar 10, 2005 10:27 pm
Forum: Custom C++ or Java Platforms
Topic: Using functional languages such as Lisp in your engine?
Replies: 2
Views: 5003

As would I :-) Not quite the same thing, but I started out in coding a trading system in Smalltalk . There's a great deal that can be said about having a flexible language base where functions are first class citizens. In short order one can create very compact and powerful tools. Anyone using funct...
by ksberg
Thu Jan 13, 2005 9:41 pm
Forum: Data Providers and other non testing software
Topic: Compressing tick data
Replies: 2
Views: 3570

If you've access, knowledge, and a setup for Java, you can leverage the built-in ZIP compression for file IO ... import java.io.*; import java.util.zip.*; ... try { FileOutputStream fos = new FileOutputStream(fileName); GZIPOutputStream gos = new GZIPOutputStream(fos); // ... write your output gos.c...
by ksberg
Fri Dec 17, 2004 12:18 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 11649

Tools

P.S. I think that much of the lore of trading reflects the constraints of the tools in common use. I suspect your question comes more from the limits of products like TradeStation that don't allow you to do portfolio-level simulation than because the approach you are attempting to take makes sense ...
by ksberg
Wed Dec 15, 2004 12:31 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 11649

Re: Optimal-f in a portfolio

Optimal-f concept is independent of the 2% risk per trade rule; Optimal-f is a rule unto itself. To make a comparison, let's say you were trading 30 markets. The simple equity allocation is 1/N, or 1/30, which is 0.0333 of total equity per market. With this level of capital, Optimal-f could be as h...
by ksberg
Tue Dec 14, 2004 8:33 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 11649

Not Kelly

Without reinventing the wheel I will post the solution illustrated in Ed Thorps paper that can be found everywhere on the web. I respectfully disagree with the positions put forth about using Kelly for trading. The statistical axioms under which Kelly may be correctly applied have been ignored. If ...
by ksberg
Mon Dec 13, 2004 9:42 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 11649

I would very much appreciate it if you or someone can explain this to me. I suspect that it has something to do with optimizing the risk/reward of the total bankroll as opposed to the individual games, but I don't have a clear grasp of what's happening. Thanks. I'll assume that you trade a portfoli...
by ksberg
Mon Dec 13, 2004 12:59 pm
Forum: Testing and Simulation
Topic: Cointegration vs correlation
Replies: 4
Views: 4609

Related?

One can google around and find a number of interesting papers, most of them econometric, and many of them directly related to markets (e.g. currencies, metals, interest rates, ags). The CATS and RATS software pops up in a number of papers and places, as do some other implementations and algorithms. ...
by ksberg
Tue Dec 07, 2004 12:12 am
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 11649

Optimal-f in a portfolio

Ok, I'll bite :-) ... since you mentioned Optimal-f, take a look at page 159 in Portfolio Management Formulas . This section introduces optimization at the portfolio level, but for now let's just deal with f, the "optimial" fixed fraction. The book example shows 3 systems, where each considers a per...
by ksberg
Sun Dec 05, 2004 12:39 pm
Forum: Money Management
Topic: Proper use of open, closed, and hybrid trade equity?
Replies: 2
Views: 3305

Trade Equity

The example you gave is serial (one market, one position). In this case you will never use OTE or HTE because they are equal to CTE. If you add markets to the portfolio then OTE and HTE make a difference since you will be entering positions in market B while holding a position in market A. Then the ...
by ksberg
Wed Dec 01, 2004 11:34 am
Forum: Money Management
Topic: FIxed fraction sizing conflicts with % risk sizing?
Replies: 4
Views: 4764

After reading your reply over a few times and other reading, I think I understand now. If I am not mistaken, you are saying that the Kelly ratio is one way of determining the "Account % Risk" in the formula you've given. So using the numbers from my example, the position size would be = ($1,000,000...
by ksberg
Wed Dec 01, 2004 2:13 am
Forum: Money Management
Topic: FIxed fraction sizing conflicts with % risk sizing?
Replies: 4
Views: 4764

Re: FIxed fraction sizing conflicts with % risk sizing?

Hello, I apologize if this is a beginner question, but I seem to be confused about how fixed fraction position sizing (e.g., Kelly ratio) is supposed to work with % risk position sizing. I have spent some time searching the forums but did not find an answer. It seems to me that the two conflict wit...
by ksberg
Sat Nov 27, 2004 1:05 pm
Forum: Testing and Simulation
Topic: Data set up for backtesting
Replies: 9
Views: 7673

Assuming you have lower liquidity and therefore potentially higher slippage relative to trading the front month, what additional benefits specifically accrue from trading non-front contracts ? [...] One aspect of robustness, that helps me avoid curvefitting, is the application of consistent rules a...
by ksberg
Sun Nov 21, 2004 8:51 pm
Forum: Custom C++ or Java Platforms
Topic: What language then...i am confused
Replies: 14
Views: 14488

... even a simple concept such a TimeSeries can have a number of issues, for which there are no straight answers. You're spot on. One time-series issue that took a bit of re-work for me was supporting intermixed tick and time series data. Tick data challenges the assumption that time is equally spa...
by ksberg
Sat Nov 20, 2004 11:04 am
Forum: Custom C++ or Java Platforms
Topic: What language then...i am confused
Replies: 14
Views: 14488

Trading design and evolution

Shiney, congrats on the milestone. Wow. I think one could write volumes on evolution and design, and most of it is independent of computer language. One sign of a good design is how it supports evolution. Bernd's point is that you should expect a trading platform to evolve, but how do you plan for e...
by ksberg
Sat Nov 13, 2004 6:48 pm
Forum: Custom C++ or Java Platforms
Topic: C++ Platform Design - Speed vs. Complexity
Replies: 16
Views: 16742

Question: How do you deal with the problem of continuity in stocks? Do the commercial systems handle this problem well? For example, besides the simple problem of survivorship (sometimes a security simply ceases to exist) there is the problem of a short-term symbol name change (e.g. while delisting...
by ksberg
Sat Nov 13, 2004 1:48 pm
Forum: Custom C++ or Java Platforms
Topic: What language then...i am confused
Replies: 14
Views: 14488

Evolution

Bernd, nice and concise rationale, and thanks for sharing the fact that things change. The evolution is something I can relate to. I found that each decision to switch it has been more than a "port", since my trading platform ideas evolved as well. Usually the switch enabled me to re-think the appro...
by ksberg
Sat Nov 13, 2004 11:30 am
Forum: Custom C++ or Java Platforms
Topic: C++ Platform Design - Speed vs. Complexity
Replies: 16
Views: 16742

Building power plants

There is another dimension that he alluded to that must not be overlooked either: the level of abstraction. This has nothing to do with time, but with the what it is that you will be able to achieve using language/tools/libraries X, Y or Z. I started C++ more than 15 years ago, and I wouldn't consi...
by ksberg
Fri Nov 12, 2004 3:45 am
Forum: Custom C++ or Java Platforms
Topic: C++ Platform Design - Speed vs. Complexity
Replies: 16
Views: 16742

Re: Other approaches to custom platforms

... I'm not sure the issue of speed makes too much sense in determining the choice of certain tools, and especially the choice of programming language. ... . The issue of speed and choice of tools are always relative to what you're trying to do. In this particular forum thread, we have at least the...
by ksberg
Thu Nov 11, 2004 1:35 am
Forum: Testing and Simulation
Topic: How to pick the most suitable values among three parameters?
Replies: 4
Views: 4575

Pixel Averaging

BTW: Thanks for the article Kianti. Interesting read. I believe there are reasonable approaches related to graphic image manipulation, namely the family of techniques for pixel averaging. What does this have to do with trading? Nothing, but your scores are related by a 3-dimensional grid given by st...
by ksberg
Sun Oct 10, 2004 2:49 pm
Forum: Testing and Simulation
Topic: Simulation w/ Fees
Replies: 3
Views: 3746

Re: Simulation w/ Fees

Does anyone simulate including fees? The performance fee, on the other hand, is a little trickier and has to implement a high water mark. In reality, the fees are deducted at year end - but this needs to be reflected in the daily NAVs. Yes, I have a module dedicated to management fees which is part...