Search found 200 matches

by damian
Mon Apr 21, 2003 11:37 pm
Forum: Trend Indicators and Signals
Topic: VERY long term trends.
Replies: 6
Views: 7477

VERY long term trends.

I was not to sure where to put this post. Please move if necessary. There are some enormous moves in nearly all markets. Really big moves that evolve over a period of 1 year, even 2 years. Sometimes they last for years. On a daily chart they are pretty choppy to very very choppy. A 'typical' long te...
by damian
Mon Apr 21, 2003 11:00 pm
Forum: Testing and Simulation
Topic: Data compression and MTM
Replies: 1
Views: 2186

Data compression and MTM

If I have a system that trades monthly bar compression, do I MTM on a monthly bais or a daily basis? Further, my entries are on the basis of monthly bars but do I move my stop according to daily bars? I suppose I could either reference daily or monthly bars for stop calculation and periodical adjust...
by damian
Mon Apr 21, 2003 8:09 pm
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19892

I should add that this residual FX risk (ie teh FX risk of a basic directional spot positio, long AUDUSD) can be hedged using IMM contracts. But the fair value forward price of a currency (the futures price) is calculated by taking into account the interest rate differential in the ccy pair. At time...
by damian
Mon Apr 21, 2003 7:48 pm
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19892

Hmmm, You make things more complicated that they are. Just buy the high yielding currency, sell short the low yielding one on a spot FX transaction. Since you trade on margin, you will HAVE TO borrow your short and lend your long. Then all you are saying is trade spot FX, and base you decision to bu...
by damian
Mon Apr 21, 2003 10:09 am
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19892

hi, Without knowing more about the strategy that JPM tested I can't really comment much. However, I am certainly surprised that this trade works over the long run. Yet again I must state that I am far from an expert, but I am not sure if it can be called a carry trade if you leave the FX risk open. ...
by damian
Mon Apr 21, 2003 8:21 am
Forum: Trader Psychology
Topic: Mindset: being who we believe we can be
Replies: 9
Views: 7844

I have always been a huge dreamer. I am sure I have written several stories in my head. Each time I am the main character. I never really thought much of it, other than that I was perhaps a little self indulgent and I should spend less time dreaming and more time working. Anyhow, over the years the ...
by damian
Mon Apr 21, 2003 5:55 am
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19892

I did it again. :oops: :oops: :oops:
by damian
Sat Apr 19, 2003 10:33 pm
Forum: Trader Psychology
Topic: Mindset: being who we believe we can be
Replies: 9
Views: 7844

Mindset: being who we believe we can be

Hi all, SirG and I (and others) started a discussion on another internet forum recently that I would like to continue in the best environment available, which in my opinion happens to be this new forum. I have brazenly decided to copy and paste between forums. I hope that in doing so I have not brou...
by damian
Sat Apr 19, 2003 12:16 pm
Forum: Stocks
Topic: ilYzyPKPwhICaq
Replies: 88
Views: 78035

hi, I have done some limited research. It seemed that X-week high breakouts on weekly data was the best method that I looked at. All my testing ws done during mainly bull market periods. Shorting (and equity trading in general) is a huge employer compliance headache for me so I didn't pursue it for ...
by damian
Sat Apr 19, 2003 11:28 am
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52173

I see diversification as a means of increasing opportunity.... plus the good and bad that each opportunity may bring. I have proven that for some systems, increased 'diversification' by adding more markets leads to increased volatility. But it also made you richer*. I recall having seen other people...
by damian
Sat Apr 19, 2003 10:58 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75098

regarding curve shape and flat sections: In the hypothetical context of system X and system Y as posed, I agree with Kiwi's thoughts. If I could make the same money I would take curve Y as it makes it's money then leaves the market alone and then returns to make some more. I spent years in an old jo...
by damian
Sat Apr 19, 2003 7:47 am
Forum: Trader Psychology
Topic: A moment of significant enlightenment
Replies: 16
Views: 16307

I've also sometimes thought that writing an autobiography is a fairly self-centered or egotistical act. At the same, I admit that I'll eventually do that. Does that make me egotistical? Hmmm... Writing an autobio would be a fantastic experience for nearly all people. I will do it one day. The diffe...
by damian
Fri Apr 18, 2003 2:08 am
Forum: Money Management
Topic: What's the best way to learn about Money Management
Replies: 9
Views: 10284

I like the potry on the site:

Be bright, give up being right, and
emphaSIZE on Position SIZE !!!
by damian
Fri Apr 18, 2003 1:48 am
Forum: Forex
Topic: Backtesting a forex portfolio
Replies: 17
Views: 16865

that is what I would do... just invert the quote to get both pairs in dollar terms. Obviously you will get annoyingly small numbers when you invert the USDJPY price, but youi can multiply the result by 100 to get a nicer decimal.
by damian
Thu Apr 17, 2003 10:30 pm
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19892

Interesting points about physical FX, not necessarily pros or cons: - very liquid if you have the right broker. Certainly very, very liquid at the interbank level. - no contract maturities - no true end of day. This always confuses me. - can be margin traded.... you can select the leverage to a cert...
by damian
Thu Apr 17, 2003 7:58 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75098

:?: can you call an equity curve with many horizontal sections (ie, no positions) smooth? If there are many horizontal sections, can you apply the same measures of equity curve smoothness? I started to enjoy designing models that would produce EC's with many horizontal sections, even though the test...
by damian
Thu Apr 17, 2003 6:53 pm
Forum: Futures Markets
Topic: Spreads
Replies: 22
Views: 23759

dave, from the perspective of your desk, you can trade a calendar spread just like it was a commodity (with double bro and an extra expiry to watch out for etc). From the perspective of charting/TA/models, you can analyse the spread in the same manner as an outright. From the perspective of the actu...
by damian
Thu Apr 17, 2003 1:23 am
Forum: Futures Markets
Topic: How are people executing futures trades?
Replies: 6
Views: 6447

I use a quasi online broker. I may as well call the orders in and he enter them, but it quicker for me to use the electronic interface . As I enter the orders on my computer, they print at his office and he passes them to the executing broker.
by damian
Thu Apr 17, 2003 12:45 am
Forum: Forex
Topic: Electronic Spot Forex Markets
Replies: 14
Views: 13895

You can calculate cross rate data by a little division or multiplication. eg, USDJPY = 119 AUDUSD = 0.6138 thus the cross AUDJPY = USDJPY*AUDUSD = 73.04 It is different if you have two conventional quotes: USDJPY= 119 USDCAD = 1.4513 thus the cross CADJPY = USDJPY/USDCAD = 81.99 You can apply this c...
by damian
Wed Apr 16, 2003 11:11 pm
Forum: Trader Psychology
Topic: A moment of significant enlightenment
Replies: 16
Views: 16307

I have had some great moments, however shortly after they happen I usually neutralise my feelings and view the episode as nothing more than a stepping stone to the next level. This is helpful for aggressive growth, but tends to deprive me the joy of the moment. I will acknowledge them as significant...