Search found 94 matches

by Sir G
Fri Apr 18, 2003 1:26 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52414

Rotating the question

Let’s rotate the idea of Portfolio Selection a bit. Is correlation the answer? Is Correlation the beginning point or the ending point of it? Or is it better served in the category of position sizing? I think I understand the logic of correlations, but does/should it apply to inclusion or exclusion...
by Sir G
Fri Apr 18, 2003 11:26 am
Forum: Trader Psychology
Topic: Cute from afar, but far from cute.
Replies: 3
Views: 4255

Cute from afar, but far from cute.

This could also be called, “meaningful enlightenment from a painful experience.â€
by Sir G
Fri Apr 18, 2003 11:13 am
Forum: Testing and Simulation
Topic: Historical Data
Replies: 31
Views: 24836

Data

Hi Melinda- I use CQG intraday data, would I do it again? No, while the quality is very good, it cost a small fortune and I had to write my own data manager program to create continuous contracts and to compress the data into different intervals. That detour was costly as it removed my focus from mo...
by Sir G
Thu Apr 17, 2003 8:39 pm
Forum: Forex
Topic: Forex Basics
Replies: 21
Views: 19969

Forex Basics

What are the basics to Forex? What makes them different then the IMM contracts?

Thanks. Sir G
by Sir G
Thu Apr 17, 2003 12:53 pm
Forum: Market Psychology
Topic: How does market psychology affect trading?
Replies: 3
Views: 9797

Very Good

Howard-

Very well explained. By the way, I love your signature:
We do not see things as they are, but as we are.

Happy Trading. Sir G
by Sir G
Thu Apr 17, 2003 12:45 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52414

A better way?

Good Point Jimmy- I'm trying to get my mind around the whole correlation issue. Is there a benefit to dynamically calculate the correlations, say once a month, looking at just the past 2 months of data? or some such idea? Usually it appears that I just see a table that is taken on some set of unknow...
by Sir G
Thu Apr 17, 2003 11:30 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 20510

Monte Carlo Simulation

I would love to hear about the creative uses for MCS.

Sir G
by Sir G
Thu Apr 17, 2003 11:22 am
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8247

Thanks

Forum Mgmnt, Chuck B & Mark- thanks a bunch. In my quest to define skid, I overlooked the obvious point that my way will produce unreal execution points. Many thanks for pointing that out. Chuck B, I agree about the distribution of the real time skids, but maybe the best our simulated world can do i...
by Sir G
Wed Apr 16, 2003 9:47 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52414

Portfolio Selection

Portfolio Selection. This might be the mother of all threads! Why do it? How does one do it? What are the benefits? What are the downsides? Forum Mgmnt, If I may be so bold and ask you NOT to respond to this post at this time. I would love to see how we as a group can develop an idea without your gu...
by Sir G
Wed Apr 16, 2003 7:53 pm
Forum: Testing and Simulation
Topic: Confirming Robustness
Replies: 10
Views: 6579

Confirming Robustness

Robustness. This just might be the mother of all topics. How does one "confirm" robustness? Is there a way to quantify it? Here is my take on it. Among other things, I run my logic through as much data as I have available. I use the same parameters on all the markets, I then expect all sectors, if n...
by Sir G
Wed Apr 16, 2003 6:56 pm
Forum: Trader Psychology
Topic: Short-Term vs Long-Term Trading
Replies: 16
Views: 14218

Cute from afar... but far from cute

Hi Dave- You wrote: My experience has mostly been with short-term trading methods, and I found these to be very stressful due to the need to react almost instantaneously. My makeup is such that I like to analyze in depth (my wife acusses me of "analyzing things to death" LOL!), and I couldn't do thi...
by Sir G
Wed Apr 16, 2003 6:16 pm
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8247

Computing Skid

MODERATOR: PORTION REMOVED FROM ORIGINAL POST WHICH REMAINS IN OTHER TOPIC BTW, Skids & Commish will factor into these numbers. My question is… What / how does one handle these numbers? I believe they should be a reflection of the days volatility. As I’m updating my testing engine, the way I am goin...
by Sir G
Wed Apr 16, 2003 2:43 pm
Forum: Trader Psychology
Topic: A moment of significant enlightenment
Replies: 16
Views: 16392

Sir G's moment

A meaningful experience that I had was back in 1992ish. I was working on TradeStation and my spreadsheets searching as we have all done. I lived and breathed the markets and would typically spend 14 hours a day on my superfast 386 (or was a 286) computer. The other 10 hours I had a notepad and penci...
by Sir G
Wed Apr 16, 2003 2:37 pm
Forum: Trader Psychology
Topic: A moment of significant enlightenment
Replies: 16
Views: 16392

A moment of significant enlightenment

I am wanting to make a meaningful contribution to this forum while finding myself not really focused on how to do that. I thought an open question to all participants would be nice place to start as it might remove some “wallsâ€