Search found 6 matches
- Tue Jun 01, 2004 8:07 am
- Forum: Trend Indicators and Signals
- Topic: trailing stop question - equities
- Replies: 2
- Views: 5004
For swing trading of 2-3 days, I use whichever of (yesterdays Low) or (yesterdays' close - 25% of ATR(20)) is the greater (for Long trades). For medium term or longer systems, I generally use a similar mechanism with the ATR factor being larger, and/or an ATR multiple calculated from the highest hig...
- Sun Dec 21, 2003 10:11 pm
- Forum: Forex
- Topic: Best Way to Trade FX
- Replies: 5
- Views: 10449
Their name is misleading since they are not really free, at least not here in Oz. They have also soured their relationship with most of their client base with their ad hoc changes. True. Deal4free will no longer be commission free in Australia from 12-Jan. At least we got a months notice on that on...
- Wed Jul 23, 2003 8:21 am
- Forum: Testing and Simulation
- Topic: S&P 500
- Replies: 14
- Views: 13092
- Tue Jul 22, 2003 6:13 pm
- Forum: Testing and Simulation
- Topic: S&P 500
- Replies: 14
- Views: 13092
S&P 500 Historical Cash Prices can be obtained free from www.yahoo.com under ticker ^SPX. The data goes back to 2000 only.
Peter K
Peter K
- Mon May 26, 2003 6:23 am
- Forum: Testing and Simulation
- Topic: R multiples & Expectency
- Replies: 8
- Views: 9652
To answer the original question, if a trend-followers typical target is 40% winning trades, with av profit:av loss ratio of 2:1, then for each dollar risked in a trade, the expectancy is $0.20, i.e. 40% * $2 + 60% * (-$1) = $0.20 I think your R is effectively the same as the above calculation, and I...
- Tue Apr 22, 2003 7:43 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26584
I have also seen Monte Carlo used to simulate random selection of trades where it was likely that multiple trades were offered on the same day over a portfolio of stocks or commodities, and money management would not allow all trades to be taken. In this instance, the backtested trades are not total...