Search found 200 matches

by damian
Wed Jun 01, 2005 3:13 pm
Forum: Money Management
Topic: risk control in all-in portfolio system
Replies: 11
Views: 8856

Re: risk control in all-in portfolio system

In what context do you refer to "the typical 1 - 2%". I thought I knew but I am not so sure as your question was : "However, how do i know if i am undertrading or overtrading, that is, trading too few or too many markets". Do you mean number of markets (C, CL, SF......) or number of contracts (buy 1...
by damian
Wed May 25, 2005 4:30 am
Forum: Testing and Simulation
Topic: Backtesting question
Replies: 3
Views: 2907

Indeed, I was wrong.
by damian
Tue May 24, 2005 11:49 am
Forum: Testing and Simulation
Topic: Backtesting question
Replies: 3
Views: 2907

In your first test you possibly have open trades at the start of 2000 (very likely if you have a LTTF system). In your second test you will not have any open trade at the start of the test period (2000). The impact of this will depend on how your testing platform/your entry code deals with this. The...
by damian
Sun May 15, 2005 1:00 pm
Forum: Trader Psychology
Topic: trading myths.
Replies: 18
Views: 19642

What you we see in intraday Euro FX or Crude Oil is not always a manipulation............ but its absolutely impossible in long term... BARLI inadvertently mentions crude oil. I have a wacko loony theory at the moment which I don't fully believe at all but amuse myself with: the US government is ma...
by damian
Tue May 10, 2005 2:33 pm
Forum: Money Management
Topic: Article: The Hidden Cost of the Stoploss
Replies: 3
Views: 5360

Are you MJ? :wink:
by damian
Tue Apr 26, 2005 3:18 pm
Forum: Testing and Simulation
Topic: 20/10 Channel Breakout Results In Mechanica
Replies: 5
Views: 4674

damian wrote:hmmm, this is almost marketing. 8)
I am humble. Having taken some time to look at the analysis available.... it sets a good standard! And if it is marketing then to be honest, it is effective.

All powerful system coding environments need a powerful performance analysis engine as well.
by damian
Sat Apr 23, 2005 4:12 pm
Forum: Testing and Simulation
Topic: 20/10 Channel Breakout Results In Mechanica
Replies: 5
Views: 4674

hmmm, this is almost marketing. 8)
by damian
Wed Sep 15, 2004 9:52 am
Forum: Testing Software
Topic: System Testing
Replies: 4
Views: 4522

Last time I checked, TradeSim couldn't even handle futures trade-by-trade data and requires the most unpleasant experience of working with MetaStock as a system coding environment. Perhaps if I checked the website I would find that these shortcomings have been improved upon. TradeSim does one thing ...
by damian
Wed Aug 25, 2004 1:41 pm
Forum: Testing and Simulation
Topic: The future of LTTF system testing
Replies: 4
Views: 3624

:shock: :oops: I cant believe I forgot to mention position sizing in all of the above. I am quite embarrassed. Agree totally with your point Hiramhon.

I am putting together more on this topic...
by damian
Wed Aug 25, 2004 5:15 am
Forum: Testing and Simulation
Topic: The future of LTTF system testing
Replies: 4
Views: 3624

The future of LTTF system testing

This is not a discussion about whether LTTF is dead. It is more so a discussion about the future of LTTF system testing. This post is also leaning in the direction of opinion and conjecture. Two years ago many people may likely have said: "I would never trade a LTTF system that shows a 60% drawdown ...
by damian
Mon Aug 23, 2004 10:16 am
Forum: Testing and Simulation
Topic: Cost of Production
Replies: 10
Views: 8612

Re: Cost of Production

The problem I see is that below a certain price point the risk vs the reward on the short side is very limited in each commodity. That's becuse the price will only go to the cost of production. The downside potential of taking a short trade is limited depending on where the system takes a trade. Th...
by damian
Fri Aug 20, 2004 6:29 am
Forum: Trader Psychology
Topic: trading myths.
Replies: 18
Views: 19642

Re: trading myths.

1. money management is the key to trading. .....a sound money mgt scheme will do more to insure losses than gains. however, brokers will like this, because it ensures that the novice trader pays plenty of commissions before they lose too much. It also reduces the risk to the clearing firm. 2. Posit...
by damian
Thu Aug 19, 2004 5:07 pm
Forum: Trader Psychology
Topic: Meditation
Replies: 32
Views: 30430

I try and sit each morning for 30 minutes and think of nothing, a brain void, same again in the evening. It is very hard but just trying makes me feel better.
by damian
Sun Aug 15, 2004 5:52 pm
Forum: Trend Indicators and Signals
Topic: Closing prices only...
Replies: 4
Views: 5548

Perhaps if you are going to trade the futures than you should test using the futures.

(I am assuming that you are trading the futures as trading an actual index/basket is not always a trivial task)
by damian
Fri Aug 13, 2004 9:26 am
Forum: Trend Indicators and Signals
Topic: Closing prices only...
Replies: 4
Views: 5548

MM, When you say 'indices' do you mean the actual cash basket or the future? It seems strange that a future would only show the C, but a cash series I could perhaps understand not having a full OHLCVOI. Highs and Lows are useful data points for intra-day stops and entry orders in testing a long term...
by damian
Wed Aug 11, 2004 5:52 am
Forum: Testing and Simulation
Topic: Ideal Timing for Large Lump Sum Investment
Replies: 8
Views: 5378

There have been a few papers written on this subject......Most of which agreed that investing in a system that is in a drawdown is a good place for additions. This is true......until it isn't. Indeed. I am yet to be a great trader by any measure so perhaps my real experiences are not much for other...
by damian
Tue Aug 03, 2004 11:47 am
Forum: Market Psychology
Topic: Concepts of behavioral finance ...
Replies: 11
Views: 19001

From the McKinsley Quarterly, another article on this topic however with a business strategy slant.

Flaw 7: Misestimating future hedonic states.

There are also a few good sources in the footnotes.
by damian
Tue Jul 13, 2004 1:00 pm
Forum: Trend Indicators and Signals
Topic: has anyone studied Toby Crabel's ideas?
Replies: 6
Views: 7200

The rate of change of volatility can be used in a trend following system to change the exit signal, for instance. Perhaps a MA used for exit (say a 5 day) can be moved to 3 day in event of certain rate of increase in volatility, Richard, I use 'open trade management' methods that are a function of,...
by damian
Mon Jul 12, 2004 10:30 am
Forum: Market Psychology
Topic: Big Picture: market risk and memory
Replies: 2
Views: 6881

Big Picture: market risk and memory

Flipping the pages of the July issue of Risk I found their quote of the month: "Look at our revenues compared with our VAR and calculate our Sharpe ratio. If we were a hedge fund, we would be the best hedge fund in the history of the world by some huge multiple" Attributed to the global head of risk...
by damian
Sat Jul 10, 2004 3:00 pm
Forum: Futures Markets
Topic: Which commodity is good for beginner trader?
Replies: 18
Views: 10383

Yes, look for liquidity, small tick size, lowish volatility. There are a few and some have been mentioned. For no good reason I like the Eurodollar contract (ED, not the currency). One advantage that you have the ability to trade an expiry that is 12 months away from delivery so may avoid rollover a...