Search found 14 matches

by Mathemagician
Wed Oct 01, 2008 1:20 pm
Forum: Testing and Simulation
Topic: The short side and trend following
Replies: 41
Views: 20742

What is a 10-day Exponential Moving Average?

What is a 10-day Exponential Moving Average?

Thanks!
by Mathemagician
Tue Jul 08, 2008 2:46 pm
Forum: Testing and Simulation
Topic: Margin To Equity Ratio - useful or not!???
Replies: 29
Views: 21796

There are far more direct and effective proxies for risk (even relative risk) and suggesting that we use margin simply because it's there is not a terribly compelling argument, even when so eloquently expressed.

jj
by Mathemagician
Thu May 15, 2008 9:55 pm
Forum: Testing and Simulation
Topic: After simulation & Testing - How do you start trading a
Replies: 16
Views: 11500

If I can chuck my 2 cents in .. in a million years I would never start by putting all current positions my system holds .. sounds like utter suicide especially given in todays world all markets are fairly well correlated .. a good example would be .. my system has me long oil .. from 26 usd per bar...
by Mathemagician
Sun May 11, 2008 5:18 pm
Forum: Testing and Simulation
Topic: In your testing...
Replies: 2
Views: 2160

Re: In your testing...

levijean wrote:If you get a signal to buy 2 instruments, but can only take 1 for whatever reason, do you find it more profitable to buy: 1) the stronger of the two (based on some recent performance measure); 2) the weaker of the two; or 3) half position in both?
Doesn't option 3 kind of negate the dilemma?

M
by Mathemagician
Fri May 09, 2008 3:09 pm
Forum: Testing and Simulation
Topic: How to SPEED UP simulations by 2 to 50 times (or more)!
Replies: 12
Views: 6615

http://www.nvidia.com/object/tesla_computing_solutions.html NVIDIA Tesla is likely more appropriate for applications like these. It essentially turns the GPU into a highly parallel FPU. For $1300 you get 128 dedicated cores. Multiple Tesla can be linked. If one needs real-time information one needs ...
by Mathemagician
Sun Apr 06, 2008 4:54 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 9050

Step 1. Generate an honest and unbiased backtest (most people can't/won't do this)
Step 2. Use appropriate resampling techniques to construct confidence intervals at your chosen level of confidence
Step 3. Wait for the system to operate outside its confidence interval

jj
by Mathemagician
Sat Apr 05, 2008 12:54 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 9050

Are Ed Seykota's initials 'jj'?

jj
by Mathemagician
Sat Apr 05, 2008 12:27 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 9050

One should always be concerned about the performance of their system. That said, there isn't anywhere near enough information available here for us to comment one way or the other intelligently.

jj
by Mathemagician
Sat Apr 05, 2008 12:03 pm
Forum: Testing and Simulation
Topic: What to make of this chart?
Replies: 19
Views: 9050

Yes, the recent performance has not been good.

jj
by Mathemagician
Thu Apr 03, 2008 12:53 pm
Forum: Money Management
Topic: managing risk of 90 stocks/bonds portfolio
Replies: 8
Views: 6280

BARLI wrote:you can't, since you get payed to trade those stocks/bonds...
Not for long if this is your goal.

jj
by Mathemagician
Thu Apr 03, 2008 12:24 pm
Forum: Money Management
Topic: managing risk of 90 stocks/bonds portfolio
Replies: 8
Views: 6280

Re: managing risk of 90 stocks/bonds portfolio

BARLI wrote:The goal is to stay at 0 P/L, no loss and no win, but 0$. How would you adjust the portfolio according to the criteria?
I would allocate 100% to cash.

jj
by Mathemagician
Sun Mar 30, 2008 1:11 pm
Forum: Testing and Simulation
Topic: Rounds Turns Per Million -- How Low Can You Go?
Replies: 8
Views: 4233

Algonquin wrote:Not really. If anything, geared slightly higher (CAGR=20%+).
Be sure to remember that published figures include fees. They're likely leveraged more aggressively than you think.

jj
by Mathemagician
Sun Mar 30, 2008 8:27 am
Forum: Testing and Simulation
Topic: Rounds Turns Per Million -- How Low Can You Go?
Replies: 8
Views: 4233

Is your leverage lower than theirs?

jj
by Mathemagician
Sat Mar 29, 2008 4:01 pm
Forum: Testing and Simulation
Topic: Rounds Turns Per Million -- How Low Can You Go?
Replies: 8
Views: 4233

Are you counting rollovers?

jj