Search found 16 matches

by Josh M.
Sun Dec 21, 2003 1:31 am
Forum: Forex
Topic: Mechanical FX Systems
Replies: 10
Views: 13474

Hmmm.... Interesting response. You created this forum subject, and when I ask a question, you deny me (all of us) an answer. I'm sure you have your reasons and I respect them. Maybe I asked the wrong question.... Would you be willing to discuss anything concerning your short options system? GR GR, ...
by Josh M.
Fri Dec 12, 2003 9:42 pm
Forum: Forex
Topic: Mechanical FX Systems
Replies: 10
Views: 13474

The options system does very well and completely dynamic adjusting to the market. Good trading.
by Josh M.
Fri Dec 12, 2003 2:43 pm
Forum: Forex
Topic: Mechanical FX Systems
Replies: 10
Views: 13474

Greetings, I'm only trading options on equity futures at this time but have modified the model to work statistically in all other markets. I have yet to get hard evidence of option writing in fx but look forward to that research eventually.
by Josh M.
Fri Sep 12, 2003 11:39 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40240

I would think it extremely rare, though, for the difference between one contract and another in any market be 20% of the underlying. In which case under most circumstances change of atr/c would be rather small.
by Josh M.
Thu Sep 11, 2003 1:50 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40240

I think the us of a straight atr for a stop is extremely useful in backtesting where a dollar stop would be useless. Converting the atr to a % is excellent for analyzing the characterstic of a market. For example the atr % for the sp increased when globex was introduced. As someone said, different t...
by Josh M.
Fri Aug 15, 2003 3:20 pm
Forum: Forex
Topic: Mechanical FX Systems
Replies: 10
Views: 13474

Mechanical FX Systems

Does anyone have any insight into what type of mechanical systems have potential in fx?

Also, does anyone have any experience shorting options in the fx market?
by Josh M.
Wed Aug 13, 2003 4:35 pm
Forum: Testing and Simulation
Topic: S&P 500
Replies: 14
Views: 9301

For the oddball '03 could end up being another '99. 'Be interesting to find out what happens after the shake out.
by Josh M.
Wed Aug 13, 2003 4:26 pm
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 10601

I also would say I'd rather the parameters not be split to accomodate the short and long side. However, if I were going to do it one of the reasons is in my experience equity markets tend to fall much faster than than they rise. Positively correlated here is the increasing of atr levels as the marke...
by Josh M.
Tue Jun 03, 2003 1:55 pm
Forum: Forex
Topic: Forex Experts?
Replies: 2
Views: 5452

I'd like to chime in if possible. I wanted to start a new topic but its not permitted however I think it will fit in here somewhat. I'm about to look into building an options trading system similiar to the one i use in futures for a currency hf in my area and am investigating the characteristics of ...
by Josh M.
Mon Jun 02, 2003 5:22 pm
Forum: Testing and Simulation
Topic: Do commodities vary in the short term?
Replies: 7
Views: 5172

Josh, The reason for using a single (or, a limited) set of parameters across numerous traded instruments is to ensure that the mechanical trading system employed is robust. This method of avoiding curve-fitting is independent of the type of system (slow or fast; volatility-based or not; etc.). Anot...
by Josh M.
Mon Jun 02, 2003 11:51 am
Forum: Testing and Simulation
Topic: Do commodities vary in the short term?
Replies: 7
Views: 5172

I think for long term trend following you are correct in regard to not using market specific parameters. In short term trading I think it is prudent if not necessary though. Unless a short term system uses volatility to adapt it will most likely need different parameters for different markets imo. R...
by Josh M.
Sun Jun 01, 2003 7:41 pm
Forum: Testing and Simulation
Topic: Do commodities vary in the short term?
Replies: 7
Views: 5172

I'd say one system with the same parameters in different markets is very possible with the most simple of methods. Where is this info on crabel?
by Josh M.
Sun Jun 01, 2003 5:02 pm
Forum: Testing and Simulation
Topic: Do commodities vary in the short term?
Replies: 7
Views: 5172

After years of testing my conclusion has come to this: different markets have different character. This is similiar to what was said in the thread you reference and I feel it is true. Therefore as a system developer I had to add another facet to my evaluation of markets, that being whether or not th...
by Josh M.
Thu May 22, 2003 8:04 pm
Forum: Testing and Simulation
Topic: System Diversification
Replies: 11
Views: 7692

diversity

I echo many others in saying system diversity is key as it is the only free lunch in the markets. I would say, though, trading a congestion and trendfollowing system at the same time may be difficult and give a net flat position much of the time.
by Josh M.
Mon May 19, 2003 3:44 pm
Forum: Testing and Simulation
Topic: Improve Risk:Reward by using different time frames?
Replies: 20
Views: 24656

Hi Sir G. In the world of 3 minute bars how many points would an entry have to lose before your friend is convinced the initial move requires an immediate exit?
by Josh M.
Mon Apr 21, 2003 12:15 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52394

Greetings. It is nice to be here with such talent. I think the tone of this forum is largely correct that diversification for system trading is necessary to be successful over long durations. Good Trading.