Search found 32 matches

by enigma
Wed May 14, 2003 11:57 am
Forum: Money Management
Topic: Research papers
Replies: 5
Views: 5535

Research papers

Does anyone know of any sound academia research papers on money management and position sizing? Most of position sizing literature seems to come from books written by practitioners or trading system developers. Since position sizing is deemed to be very important for traders, it is suprising that th...
by enigma
Wed May 14, 2003 3:39 am
Forum: Stocks
Topic: Market Volatility
Replies: 7
Views: 7822

Kiwi,

You've got my point exactly :D

eck,

That's the thing that seems strange to me ... why the standard deviation should stay approximately the same. It's almost as if everyone agreed to move the market more (in absolute terms) today than they did 10 years ago.
by enigma
Tue May 13, 2003 11:29 am
Forum: Stocks
Topic: Market Volatility
Replies: 7
Views: 7822

Market Volatility

Market volatility, percentagewise, has remained more or less the same. According to Stridsman's analysis, the have in fact decreased somewhat. Question is, why must the dollar-value of market indices fluctuate more with the market level so that the percentage volatility remains the same? Is seems qu...
by enigma
Tue May 13, 2003 4:08 am
Forum: Futures Markets
Topic: Rolling to new contracts
Replies: 7
Views: 7588

During rollovers, does one close out the current contract by taking the opposite position and then enter a new contract in the new front month contract? If that is the case, are commissions unavoidable even if one desires to hold the position for the long-term?
by enigma
Thu May 01, 2003 3:54 am
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 14720

Thanks for the article John and also for your comments in the other threads.
by enigma
Thu May 01, 2003 3:48 am
Forum: Money Management
Topic: How much Capital to start
Replies: 25
Views: 26480

Thanks alot for the recommendations guys ... will check them out soon.
by enigma
Wed Apr 30, 2003 11:37 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 118586

Optimal f

How useful is this concept in practice?
by enigma
Wed Apr 30, 2003 11:35 am
Forum: Testing and Simulation
Topic: System Diversification
Replies: 11
Views: 7699

Are there any significant differences in terms of performances between the following: 1. Using a single system across different markets. 2. Using mutiple systems in a single market. 3. Using multiple systems across different markets. 4. Using a single system in a single market across different time ...
by enigma
Wed Apr 30, 2003 11:20 am
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 14720

Which is the preferred method for linking historical futures prices (i.e. rollover) for backtesting? Thanks.
by enigma
Wed Apr 30, 2003 11:11 am
Forum: Testing and Simulation
Topic: Probability in Trading
Replies: 2
Views: 2839

damian, Thanks for your thoughts. Can I assume then that you don't think the 3/1 RR rule is of much use? As an afterthought, having read through certain threads, I am quite surprised/impressed to hear that that there are some systems that produce real-time results that are similar to backtested resu...
by enigma
Wed Apr 30, 2003 10:22 am
Forum: Testing and Simulation
Topic: Probability in Trading
Replies: 2
Views: 2839

Probability in Trading

Hi everyone, I have some difficulty in understanding the uses of probability in trading, particularly in some rules which state: never take a trade unless the expected profit is 3 times the expected loss and also with the concept of positive expectancy. My problem stems from the fact that one cannot...
by enigma
Wed Apr 30, 2003 9:16 am
Forum: Money Management
Topic: How much Capital to start
Replies: 25
Views: 26480

Hi guys,

Could someone recommend some good websites for spreadbetting in the UK? Thanks.