Search found 16 matches
- Sun Dec 21, 2003 1:31 am
- Forum: Forex
- Topic: Mechanical FX Systems
- Replies: 10
- Views: 16514
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, ...
- Fri Dec 12, 2003 9:42 pm
- Forum: Forex
- Topic: Mechanical FX Systems
- Replies: 10
- Views: 16514
- Fri Dec 12, 2003 2:43 pm
- Forum: Forex
- Topic: Mechanical FX Systems
- Replies: 10
- Views: 16514
- Fri Sep 12, 2003 11:39 am
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51917
- Thu Sep 11, 2003 1:50 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51917
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...
- Fri Aug 15, 2003 3:20 pm
- Forum: Forex
- Topic: Mechanical FX Systems
- Replies: 10
- Views: 16514
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?
Also, does anyone have any experience shorting options in the fx market?
- Wed Aug 13, 2003 4:35 pm
- Forum: Testing and Simulation
- Topic: S&P 500
- Replies: 14
- Views: 13042
- Wed Aug 13, 2003 4:26 pm
- Forum: Testing and Simulation
- Topic: Stat analysis of curve-fitting
- Replies: 16
- Views: 14640
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...
- Tue Jun 03, 2003 1:55 pm
- Forum: Forex
- Topic: Forex Experts?
- Replies: 2
- Views: 6467
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 ...
- Mon Jun 02, 2003 5:22 pm
- Forum: Testing and Simulation
- Topic: Do commodities vary in the short term?
- Replies: 7
- Views: 7146
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...
- Mon Jun 02, 2003 11:51 am
- Forum: Testing and Simulation
- Topic: Do commodities vary in the short term?
- Replies: 7
- Views: 7146
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...
- Sun Jun 01, 2003 7:41 pm
- Forum: Testing and Simulation
- Topic: Do commodities vary in the short term?
- Replies: 7
- Views: 7146
- Sun Jun 01, 2003 5:02 pm
- Forum: Testing and Simulation
- Topic: Do commodities vary in the short term?
- Replies: 7
- Views: 7146
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...
- Thu May 22, 2003 8:04 pm
- Forum: Testing and Simulation
- Topic: System Diversification
- Replies: 11
- Views: 10430
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.
- Mon May 19, 2003 3:44 pm
- Forum: Testing and Simulation
- Topic: Improve Risk:Reward by using different time frames?
- Replies: 20
- Views: 31759
- Mon Apr 21, 2003 12:15 pm
- Forum: Testing and Simulation
- Topic: Portfolio Selection
- Replies: 57
- Views: 67603