Search found 166 matches

by kianti
Wed Dec 03, 2003 5:53 am
Forum: Trend Indicators and Signals
Topic: EXIT signals ...
Replies: 29
Views: 32689

Nassim Taleb on StdDev and Skewness

In some strategies and life situations, it is said, one gambles dollars to win a succession of pennies. In others one risks a succession of pennies to win dollars. While one would think that the second category would be more appealing to investors and economic agents, we have an overwhelming eviden...
by kianti
Sun Aug 17, 2003 7:22 am
Forum: Testing and Simulation
Topic: Historical Data
Replies: 31
Views: 24617

futuresource

I think it's worth considering also www.futuresource.com The pros are: continuos historical data from the start of the contracts Very easy to download Ready to import in TradeStation They offer intra-day data Cons: Only future data Cost It would be interesting to compare continuos CSI and Futuresour...
by kianti
Wed May 21, 2003 9:03 am
Forum: Testing and Simulation
Topic: Excluding Bubble data from backtesting
Replies: 8
Views: 6006

Kiwi, I agree with you that there is more risk in futures compared to the options, regarding the stops or premiums paid; that's the reason I used the "replication" term; replicating works well on liquid markets; in case of crashes, extreme events, fat tails or whatever the strategy could be very pai...
by kianti
Tue May 20, 2003 1:29 pm
Forum: Testing and Simulation
Topic: Excluding Bubble data from backtesting
Replies: 8
Views: 6006

mini Futures Contracts

Many mini futures contracts have been introduced recently, have a look on the sites of CME,CBOT and NYBOT. Diversification, as far as I know, is essential in any trend following system. You need to spread your bets on uncorrelated market as much as you can, taking small losses and waiting for the bi...
by kianti
Tue May 20, 2003 9:25 am
Forum: Testing and Simulation
Topic: Excluding Bubble data from backtesting
Replies: 8
Views: 6006

Bubbles are just trends and a good trading system should be able to take advantage. Excluding bubbles you are just curfitting your system. Even Nobel prizes went broke forgetting about extreme events. A good trend following system is aimed to take advantage of buubles. And what about diversification...
by kianti
Mon May 19, 2003 6:28 pm
Forum: Trend Indicators and Signals
Topic: Moving Averages - Comments?
Replies: 7
Views: 8911

I agree that simple MAs are lagging price indicators.
On the other side systems like Aberration use simple MAs for exit; and working on my trading system I found Weighted Moving Averages very useful.