Search found 94 matches

by Sir G
Mon Apr 28, 2003 1:39 pm
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8202

With the info I have gained here,I’ve been trying to figure out the fairest way I can compute skids. The finest compression of the data that I will be using is 1min. For MOO & MOC I will use % favorable excursion on the first and last 1min bar in the session. This is the best that I think I can do t...
by Sir G
Sat Apr 26, 2003 1:33 pm
Forum: Trader Psychology
Topic: The Mind & Habits of top traders
Replies: 3
Views: 5537

The Mind & Habits of top traders

Could you share with us the insight you have gained by working and socializing with some of the best traders that our generation has seen? What are the commonalties and differences concerning: Temperament Character Intelligence Social Skills Management skills of the tangibles & intangibles Core Beli...
by Sir G
Sat Apr 26, 2003 12:28 am
Forum: Trader Psychology
Topic: The Balance of IQ & EQ.
Replies: 4
Views: 4849

The Balance of IQ & EQ.

If you were to take on a partner and the following two criteria are the only things you can base your decision on, what would the % breakdown be?
  • Intellectual Abilities
  • Emotional Balance
Would you want the person to be 50/50? or 100/0? or ??/??

What kind of a "balance" would you choose?
by Sir G
Fri Apr 25, 2003 5:19 pm
Forum: Testing and Simulation
Topic: Applying Creative Diversification to one's benefit
Replies: 3
Views: 3882

Applying Creative Diversification to one's benefit

How many things can we break apart and put back together again, but in a different way that might help one improve his Trading? Did everyone see "My Big Fat Greek Wedding?" Do you recall the bride’s father would say that "Every word comes from the Greek Language." Then he would ask for an English wo...
by Sir G
Thu Apr 24, 2003 1:45 pm
Forum: Testing and Simulation
Topic: Confirming Robustness
Replies: 10
Views: 6528

I think NickR puts an important spin on it… I’m going to spin his spin a bit. Here are two different sets of logics: Let’s go to the beach and have a picnic when there is a snowstorm dumping 2 feet of snow on the beach. Let’s go to the beach and have a picnic when it is 85 degrees and there is nothi...
by Sir G
Thu Apr 24, 2003 11:12 am
Forum: Testing and Simulation
Topic: Intraday Data and Settlement Prices
Replies: 2
Views: 2524

Damian- In theory, it doesn't matter what price you use to MTM, so long as it is a 'real' market price (this includes the close which is often a calculation). The MTM price needs to be nothing more than 'the price' at a certain period of time [using the days (H+L/20 at the end of the day does not qu...
by Sir G
Thu Apr 24, 2003 11:02 am
Forum: Testing and Simulation
Topic: Confirming Robustness
Replies: 10
Views: 6528

Good one!

Damian-

Great metaphor indeed! I enjoyed reading and will refer to it as it captures things very well.

It's great to see you express your thoughts in such a great way. Have you always been like this, or is this forum tapping into something?

Cheers. Sir G
by Sir G
Thu Apr 24, 2003 8:59 am
Forum: Testing and Simulation
Topic: Intraday Data and Settlement Prices
Replies: 2
Views: 2524

Intraday Data and Settlement Prices

The nature of intraday data from vendors is that it is simply the price reported from the exchange during the session times. A problem arises on the last price print of the day, as the intraday data will show the last price traded, but the exchange will shortly thereafter send out a settlement price...
by Sir G
Thu Apr 24, 2003 8:47 am
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8202

Then, 15 minutes later when the pit "settlement price" is distributed it is well outside that value. This brings up a good point and one the I will start another thread on... let's see if we can draw some conclusions about that, there. The other issue which crops up in my mind is that this is perfe...
by Sir G
Wed Apr 23, 2003 4:55 pm
Forum: Trader Psychology
Topic: What motivates us???
Replies: 8
Views: 8662

What motivates us???

I received a very nice email earlier from one of the members of this forum. It gave birth to this thread.. What motivates us to trade? And how can those motivations be satisfied and utilized to the greater good of our goals? For example, I had a series of lunches with a fella and it quickly became a...
by Sir G
Wed Apr 23, 2003 1:58 pm
Forum: Forex
Topic: Forex Books
Replies: 1
Views: 3704

Forex Books

Please see this link:
viewtopic.php?t=97
by Sir G
Wed Apr 23, 2003 10:16 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 20359

/2

Hi Mark-

Why do you use 1/2 of the trades? Why don't you reshuffle the whole deck of trades?

Thanks.

Sir G
by Sir G
Tue Apr 22, 2003 10:23 pm
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8202

Skids

Hi Again- I love the excursion idea, but how would/could/should one want to calculate skids for MOO & MOC orders? The excursion logic wouldn't apply in realtime. Also, what are the thoughts about introducing incremental "skids" based upon position size. Such as: #Contracts >0 and <=50 then %Skid =10...
by Sir G
Tue Apr 22, 2003 3:28 pm
Forum: Trader Psychology
Topic: A Trader who took a chance
Replies: 1
Views: 3233

A Trader who took a chance

While on one of my jaunts to NY, a meeting was setup for me to meet a CTA who is pretty much a household name. When he started his firm, he did very well for himself as measured by Performance and Funds under management. He then headed into a DD that took nearly half of the funds, while his investor...
by Sir G
Tue Apr 22, 2003 1:21 pm
Forum: Testing and Simulation
Topic: Improve Risk:Reward by using different time frames?
Replies: 20
Views: 24570

Improve Risk:Reward by using different time frames?

Thoughts on using multiple time-frames to generate trades & control risk. I have a buddy who watches setups on daily/weekly bars, then enters his trades on 3min bars. His entries and risk begin in the world of 3min bars, so the risk is tight... but he looks for the market to move in his favor where ...
by Sir G
Tue Apr 22, 2003 12:02 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52183

Amoebae Allocation

At this point, I find myself not trying to engage in answering questions but in offering more food for thought. My hope is that answers will be found as this food is digested. Another way to look at the opportunity of Portfolio Selection would be another story that could have run parallel with "The ...
by Sir G
Mon Apr 21, 2003 11:49 pm
Forum: Testing and Simulation
Topic: Data compression and MTM
Replies: 1
Views: 2186

multi time frames

Hi Damian- If you are talking about pro-forma data and the like, the last time I dealt with it the look was monthly. This has a nice way of forgiving dips during mid month. But.. I can be wrong on how you want to handle it. For another view of it, please follow this link: http://www.tradingblox.com/...
by Sir G
Sat Apr 19, 2003 5:32 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75122

rotating the question

I can see my question was way too broad.

Yes, the Gross Avg. Profit Per Trade (GAPPT) is the Average Profit Per Trade (APPT) with NO commish or skids figured into it. I’m asking as I’ve never really touched a Long Term system, so I wouldn’t know what to “Expect.â€
by Sir G
Sat Apr 19, 2003 12:19 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75122

Average Profit Per Trade

In historical testing, what should one expect for a gross Average Profit Per Trade in both Short Term Systems & Long Term Systems?

Thank you.
by Sir G
Fri Apr 18, 2003 11:53 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52183

The Brothers Goldie Hawn

Sorry about that, I just reread it and see how it wouldn’t make sense. Is the idea of using Correlation in Portfolio Selection the right area of focus? Correlation is a comparison of the pulse of the market’s closing prices. It’s just like a heartbeat that is compared throughout each market. I...