Search found 200 matches

by damian
Wed Mar 08, 2006 8:08 am
Forum: Futures Markets
Topic: RA , NE - South African Rand, New Zealand Dollar
Replies: 10
Views: 6976

Hi AFJG, I trade the CME Rand contract, currently have a position.
by damian
Thu Jan 12, 2006 12:10 pm
Forum: Testing and Simulation
Topic: Are EXIT POINTS more important than ENTRY POINTS ?
Replies: 14
Views: 6941

sluggo wrote:Philosophically it is difficult to fit pure-reversal systems into an argument about entries vs. exits.
:) AFJ, I think he got you there ;)
by damian
Fri Dec 16, 2005 12:46 pm
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 17605

I agree that a rare win-win is a nice thing. And cost benefit evaluation using an NG 1R is exactly the frame that the cost should be placed in. However, in my setup, I am the only winner. Besides the golf buggy battery, I have exactly the same redundancy and ready to roll software and database conti...
by damian
Fri Dec 16, 2005 10:12 am
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 17605

Sluggo, I think you are being skinned. Backing Up Your UA Previous Top Next In the past, we recommended that Unfair Advantage users regularly back up the complete UA directory so that a copy would be available for use in the event of a hardware failure or unrecoverable software error. This is no lon...
by damian
Fri Dec 16, 2005 6:00 am
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 17605

A while ago I quietly suspected that the uber entrepreneurial c.f. consortium (incl. OWOGOG data) were going to launch a competitive product and raise the bar substantially. That was until Troy from OOWODOG blew up. Your above linked pricing slight of hand is a worry. I think CSI data is excellent, ...
by damian
Thu Nov 24, 2005 10:20 am
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 23854

AFG - indeed using R multiple profit targets rather than $ triggers is the better option for portfolio trading. Dollar triggers are rubbish if you trade C and SP in the same portfolio. However, I am very concerned that optimising for maximum the perfect profit target is a dangerous game. Potentially...
by damian
Tue Nov 22, 2005 9:45 am
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 23854

Been there, done exactly that (but before TBB shipped with a pre-made profit target block). In fact, I prompted the idea of using multiples of initial risk as an exit trigger (at first it could not be done so easily as the required object properties did not exist, but now they do and now it is easy)...
by damian
Tue Nov 22, 2005 6:29 am
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 23854

Trend following

I have noticed more instances of 'profit targets' in trend following. - I see chatter on this forum (I myself have investigated the concept) - I see commercial systems hitting profit targets all the time these days. $10k seems to be a popular target (I found this also through optimisation, and dismi...
by damian
Thu Nov 17, 2005 1:59 pm
Forum: Money Management
Topic: CAPITAL REQUIREMENT
Replies: 10
Views: 10816

Hello Eric, For a variety of reasons, I can not give you a dollar answer. But I can give you a rule to base your calculation upon: Rule: the aim of the game is to stay in the game. Always have enough money to place the next trade. Given that rule, consider: What is the minimum amount you need to pla...
by damian
Wed Nov 16, 2005 5:18 am
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 17605

A company of experts and winners like Google would be able to offer a product that simply does better than CSI. I promoted Google as they are busy being brilliant at nearly everything they try and because the product of global market data falls nicely into their business formula. CSI are accurate, b...
by damian
Tue Nov 15, 2005 8:03 pm
Forum: Data Providers and other non testing software
Topic: Google Data
Replies: 21
Views: 17605

Google Data

I sent an email to Google asking them to add to their portfolio of information products by buying out or competing with CSI. They could easily offer the same mass information service with undoubtedly far superior Google software and product savvy. Even without trying they would offer better customer...
by damian
Fri Nov 11, 2005 10:59 am
Forum: Testing and Simulation
Topic: Symmetrical vs. Non-Symmetrical System / Robustness
Replies: 6
Views: 4601

One of those "oops" moments... very familiar to me, just ask Tim. Mistake or no mistake, I find this a very tricky topic: structuring system parameters with or without macro market dynamics as an input. I stand by my old opinion: a hybrid system/fundamental trader is the best, but the hardest to be....
by damian
Fri Nov 11, 2005 4:22 am
Forum: Testing and Simulation
Topic: Symmetrical vs. Non-Symmetrical System / Robustness
Replies: 6
Views: 4601

I wouldn't call that a no interest rate portfolio. Besides the fact that you have three bond products, you have the mother of all interest rate products: Fed Funds, with an average winning trade of 22% I didn't claim that removing interest rate products would make short-only better. I claimed (and h...
by damian
Thu Nov 10, 2005 5:39 pm
Forum: Testing and Simulation
Topic: Symmetrical vs. Non-Symmetrical System / Robustness
Replies: 6
Views: 4601

As part of your long/short bias testing you should make two portfolios and conduct the repeat tests separately on both portfolios. One of the portfolios should exclude all interest rate products that have carried a long side bias through progressively diminishing inflation. You may find that without...
by damian
Wed Nov 09, 2005 6:49 am
Forum: Money Management
Topic: Ryan Jones on his Fixed Fractional strategy.......
Replies: 12
Views: 15695

There were some good discussions on that old board. To save you the search hassle:
http://traderclub.com/discus/messages/1 ... 20021151am

And to enjoy another good discussion on the topic, with a funny ending:
http://www.traders2traders.com/papers/Ryan.Jones.MM.htm
by damian
Wed Oct 19, 2005 4:54 am
Forum: Testing and Simulation
Topic: MetaStock Format
Replies: 7
Views: 4628

i am confused :? So it would appear. My confident guess is that you are looking at a KC continuous back adjusted contract (or an equivalent synthetic time series of linked contracts). So that answers why your OHLC are different to the actual contract. Understand? Secondly, you are wrong in your con...
by damian
Sun Oct 16, 2005 6:21 am
Forum: Futures Markets
Topic: Correlation
Replies: 4
Views: 3136

Hi Chris - I hope business is running well for you. There probably are empirically based mechanical solutions to the issue, but I can get a handle on them. I think though, as much as you rubbish fundamentals (and I agree to a large extent), it is a fundamental perception that is required when applyi...
by damian
Fri Oct 14, 2005 5:21 am
Forum: Brokers
Topic: Refco
Replies: 30
Views: 23052

Re: Refco

edward kim wrote: I had a due diligence session with REFCO.... .....I didn't like some of their business practices, especially when it came to account segregation
That is a pretty bold statement.
by damian
Thu Oct 13, 2005 8:07 am
Forum: Trader Psychology
Topic: Overcoming fear when you increase your position size ...
Replies: 7
Views: 7951

Not just Australian, but a Queenslander (evidently).

;)
by damian
Thu Oct 06, 2005 11:21 am
Forum: Futures Markets
Topic: Correlation
Replies: 4
Views: 3136

Hello OE, Yes, thats it. It was an unexpected dynamic, at least for me. Long term vs short term correlation... a slippery surface indeed. A very short term break down in long term correlation can cause significant account losses. And basing long term trade decisions on short term swings in correlati...