Search found 110 matches

by alp
Sun Jan 20, 2013 8:35 am
Forum: Trader Psychology
Topic: Seykota's Essentials Card - Revisited
Replies: 6
Views: 7466

[quote="rhc"]The two links that I mentioned above contain a spirited discussion on the “Essentialsâ€
by alp
Sat Jan 19, 2013 1:44 pm
Forum: Trader Psychology
Topic: Seykota's Essentials Card - Revisited
Replies: 6
Views: 7466

rhc wrote:Here is a couple of good reads re: the "essentials"
viewtopic.php?t=5397&highlight=essential
and
viewtopic.php?t=8159&highlight=essential
:?: What's "good" about these reads? Your intention doesn't seem clear to me. :)
by alp
Fri Jan 18, 2013 7:30 am
Forum: Trader Psychology
Topic: Seykota's Essentials Card - Revisited
Replies: 6
Views: 7466

Also, if one feels tempted to break the essential rules, that as a last safeguard I think it's very prudent to use the "remorse ratio" : http://www.tradingblox.com/forum/viewtopic.php?t=6457 The "when in doubt, do half" suggestion is explicitly a pre treatment for soon-to-be-wounded feelings. A salv...
by alp
Fri Jan 18, 2013 7:18 am
Forum: Trader Psychology
Topic: Seykota's Essentials Card - Revisited
Replies: 6
Views: 7466

Seykota's Essentials Card - Revisited

I have the essentials card with me for about five years now: http://www.seykota.com/tribe/essentials/card.htm I have found that the essentials are really valid and even more "essential" now, more than ever. The "essentials" rules of thumb are: The Essentials Ride Your Winners Cut Your Losses Manage ...
by alp
Mon Jun 18, 2012 4:17 pm
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 13079

Re: The Mirage

Aaron01 wrote:Do you have the 2nd chart scaled logarithmically?
As the thread's title is The Mirage and perhaps this is a pretty good example of a big mirage, I include equity curves in both scales.
by alp
Mon Jun 18, 2012 11:59 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 13079

Re: The Mirage

Yes, the system worked well for over 30 years and then clapped out the day I started trading. How was I to know? With hindsight, what should I have done? What should I have learnt from the exercise? With hindsight everything is as clear as crystal. You just change the system and get different backt...
by alp
Sun Jun 17, 2012 12:16 am
Forum: Testing and Simulation
Topic: The Mirage
Replies: 37
Views: 13079

Trend following isn't broken, it hasn't come to an end and some recent posts on this forum have very clearly pointed out whats changed. Understand and adapt or die. Or perhaps we're in the process of the markets getting rid off most trend followers until TF starts to work again? What kind of adapta...
by alp
Tue Nov 16, 2010 8:10 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 8774

Thanks for pointing it out, Sluggo. I will check the concept of reducing the dynamic range of portfolio total heat while increasing the average heat more carefully.
by alp
Tue Nov 16, 2010 7:21 pm
Forum: Testing and Simulation
Topic: Many systems + few instruments? Or, Few Sys + Many Instr?
Replies: 14
Views: 8774

I find it interesting that there is a general bias to backtest systems using very large portfolios when actually only a small number of traders or funds will be able to actually trade such portfolios. I suspect that with unusually large and diversified portfolios almost everything works better and y...
by alp
Fri Nov 12, 2010 9:49 pm
Forum: Market Psychology
Topic: Email that I received today
Replies: 10
Views: 9034

http://www.curtisfaith.com/2010/11/12/sane-banking-in-the-age-of-insanity-to-come/ The mortgage crisis WILL blow up and when it does there will be many big banks to fall, and many bank executives in jail. Don’t let it be your bank. Get your money out of BankAmerica, Shittybank, Wells Fargo, Goldma...
by alp
Thu Nov 04, 2010 10:09 pm
Forum: Testing and Simulation
Topic: Four systems, One small portfolio and Cotton trading
Replies: 6
Views: 4235

rhc, I don't have Cotton in my trading portfolio. You're welcome.
by alp
Thu Nov 04, 2010 8:12 pm
Forum: Testing and Simulation
Topic: Four systems, One small portfolio and Cotton trading
Replies: 6
Views: 4235

The performance values include the Cotton instrument. Slippage and commission values were the default ones of Trading Blox Builder. The data used was the free data available at http://www.tradingblox.com/tradingblox/free-historical-data.htm courtesy of the Trading Blox Builder team. Please feel free...
by alp
Thu Nov 04, 2010 8:05 pm
Forum: Testing and Simulation
Topic: Four systems, One small portfolio and Cotton trading
Replies: 6
Views: 4235

(Continued...)
by alp
Thu Nov 04, 2010 8:02 pm
Forum: Testing and Simulation
Topic: Four systems, One small portfolio and Cotton trading
Replies: 6
Views: 4235

Four systems, One small portfolio and Cotton trading

I got a 7-day trial version of Trading Blox Builder and decided to run some tests with four of the pre-supplied trading systems. The systems are the ATR Channel Breakout, Bollinger Band Breakout, Donchian and Dual Moving Average. Some modifications were introduced, however: 1) a MACD (75, 200) direc...
by alp
Thu Nov 04, 2010 7:36 pm
Forum: Trader Psychology
Topic: I decided to override the system today
Replies: 13
Views: 11650

That's OK... It's still now time.
by alp
Sat Oct 30, 2010 5:44 pm
Forum: Testing and Simulation
Topic: One system, two portfolios, 24000 parameter settings
Replies: 9
Views: 6860

Re: One system, two portfolios, 24000 parameter settings

Please feel free to perform similar experiments yourself, possibly using different systems, different portfolio construction rules, different portfolio sizes, and so forth; whatever interests YOU. Run some tests! Collect some data! Analyze the results and, occasionally, have a Eureka! moment. Slugg...
by alp
Wed Oct 27, 2010 9:25 pm
Forum: Testing and Simulation
Topic: How to trade a "Blow-Off Top" chart pattern?
Replies: 3
Views: 3076

Re: How to trade a "Blow-Off Top" chart pattern?

rhc wrote:My own Cotton position was exited in mid September...
The only way to know how to exit a blow-off is by defining what a "blow-off" is, in the ever evolving moment of "now".
by alp
Fri Apr 23, 2010 10:27 am
Forum: Testing and Simulation
Topic: Correlation - Inputs vs. Outputs
Replies: 10
Views: 4567

One thing I have been guilty of, and seen many others guilty of is continually changing between ideas, systems and not necessarily settling on one... then I remind my self nothing works all the time. Perhaps we can draw a parallel between trading systems and girlfriends. Is there an optimal girlfri...
by alp
Sun Feb 21, 2010 12:44 pm
Forum: Market Psychology
Topic: How to change trader's mind set?
Replies: 5
Views: 6554

Re: How to change trader's mind set?

When trader is on losing position, he is willing to take more risk in order to cover the original equity, so he will invest more on average. When trader is on winning position, he is afraid to lose his existing profit and not willing to take more risk, so he will take profit quickly. ... Do anyone ...
by alp
Wed Jan 13, 2010 9:14 pm
Forum: Testing and Simulation
Topic: When to implement a new system
Replies: 8
Views: 3048

Re: When to implement a new system

Also, when testing using the same parameters but on different markets is it totally ridiculous to take the markets that result in negative average trades out of your test? Classic case of portfolio optimization but perhaps those markets don't trade as well. Perhaps you can also find a compromise he...