Search found 367 matches

by Forum Mgmnt
Thu Nov 23, 2006 5:19 pm
Forum: Money Management
Topic: Pre-emptive money management
Replies: 9
Views: 9999

We didn't worry about news at all. I didn't even know when news was coming out.

- Forum Mgmnt
by Forum Mgmnt
Tue Nov 21, 2006 4:30 pm
Forum: Testing Software
Topic: Apple versus PC's
Replies: 26
Views: 21986

I really wanted to buy a Mac laptop but ended up getting an IBM T60p instead. The ONLY reason I didn't buy a Mac is the screen size. They just didn't have enough vertical pixels for my taste. I really find the 1600 x 1200 screen size on my T60p to be a huge productivity advance, especially when prog...
by Forum Mgmnt
Wed Nov 15, 2006 1:34 pm
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 30450

Trading Blox can do anything you can think of here. You can filter trades before entering orders. You can adjust positions after the fact based on risk or any other criteria you can come up with. You could implement an algorithm that exited your worst positions based on time in market or profitabili...
by Forum Mgmnt
Tue Nov 14, 2006 4:35 pm
Forum: Money Management
Topic: Dynamic Portfolio Selection
Replies: 28
Views: 30450

The Turtle System always had this concept. Rich and Bill called them correlation limits. We could trade all the markets up to 4 units each and up to 6 units in each group of correlated markets. This effectively limited exposure and drawdowns. We'd generally only be long two or three at most of the 6...
by Forum Mgmnt
Tue Nov 14, 2006 6:36 am
Forum: Testing and Simulation
Topic: What is the message in this graph?
Replies: 4
Views: 3434

I first conceived of using bands like these when outlining my ideas for historical testing software in 2001 but it took me a while to implement the graphs in Trading Blox. One of the interesting thing about these bands is that since starting to use them I find myself focusing on the bottom of the ba...
by Forum Mgmnt
Mon Nov 13, 2006 8:01 pm
Forum: Testing and Simulation
Topic: What is the message in this graph?
Replies: 4
Views: 3434

We can only completely answer this question if we know what other parameters varied duing the test and what the range of those values was.

The literal meaning of the restriction is that at a 32 day breakout the other parameters did not affect that test.

- Forum Mgmnt
by Forum Mgmnt
Sat Nov 04, 2006 8:56 am
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

Random Entries do not have an Excursion Ratio of 1.0, it is more like 0.88... ...the values for shorter timeframes are even lower... ...I am going to leave it as an excercise for the reader to try and figure out why this might be for a few days. This was a bit of a trick quesion. The short answer i...
by Forum Mgmnt
Sat Oct 21, 2006 3:51 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

To further test the utility of the measure, I ran 10 tests where the same 70 day exit was combined with a random entry on the open. For 10 tests the Excursion Ratio 70 varied from 0.89 to 1.16 centered very close to the 1.0 which one might have predicted. This too confirmed my initial hypothesis th...
by Forum Mgmnt
Thu Oct 19, 2006 8:17 am
Forum: Testing and Simulation
Topic: Richard Dennis and Drawdowns
Replies: 4
Views: 3188

I don't actually know this to be true from hearing it from Rich, but I never heard anyone in the know dispute it: the story on the street and among the Turtles was that Richard's drawdowns when trading public money came from USING discretion. His systems were good, it was when he overrode the signal...
by Forum Mgmnt
Wed Oct 18, 2006 11:39 pm
Forum: Testing and Simulation
Topic: Richard Dennis and Drawdowns
Replies: 4
Views: 3188

I'm not sure what you are asking. Are you asking me why Richard Dennis lost half of his account at some point in time?

- Forum Mgmnt
by Forum Mgmnt
Wed Oct 18, 2006 6:19 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

For a single trade, their Efficiency and your Efficiency are awfully similar. ... Also your idea to normalize both MAE and MFE by entry volatility is (as far as I'm aware) brand new. Contratulations! sluggo, Thank you for your comments. I agree that the single trade efficiency and MFE/MAE are very ...
by Forum Mgmnt
Tue Oct 17, 2006 10:28 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

Just for kicks I updated the exits to use a random number of bars within a specified range instead of using a fixed number of bars. I have attached the update Block which does this.

The following test shows the results for an exit at a random number of bars between 50 days and 90 days:
by Forum Mgmnt
Tue Oct 17, 2006 8:21 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

I still think you are testing the efficiency of a complete system :wink: You are correct. It really is a system. It has the advantage of being one where the exits are not based on price action, however. In fact, if you use the Multi-Money Manager's "Volatilty Adjusted" position sizing which sizes p...
by Forum Mgmnt
Tue Oct 17, 2006 5:08 pm
Forum: Money Management
Topic: Length of Time to Reach 100% Equity Risk
Replies: 17
Views: 16460

Rising open equity and a stop which does not move may increase theoretical on-going risk above start trade risk. This is very often the case when looking at long-term trend-following systems. I am certain the graph is correctly showing the fact that there is a lot of open position profit that could...
by Forum Mgmnt
Mon Oct 16, 2006 8:14 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

The interesting thing is that all of the values for this graph show negative edge. Taking a breakout against the major trend results in price movement that moves more against your trade than in the direction of the trade. This is not surprising and does certainly explain why excluding the MACD Filte...
by Forum Mgmnt
Mon Oct 16, 2006 1:07 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

To be quite frank, I was not expecting this graph. You might even say I was shocked by this graph, at first at least. As I began to think about it I realized that it made perfect sense. If you trade with the trend a breakout has positive edge. If you discount the trend then the breakout appears to h...
by Forum Mgmnt
Mon Oct 16, 2006 12:57 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

This graph fit my expectations pretty well. The edge increases for the breakout stop entry until just before the breakout when it levels off and then descends a bit at the end. This would tend to indicate that the best time to enter would be just ahead of the breakout which fits pretty well with my ...
by Forum Mgmnt
Sun Oct 15, 2006 7:30 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

Notice how the Excursion Ratio improved for all of the values of days in in the breakout. I also tested random entry made using the MACD filter using a 300 day and a 50 day MA. The ten Excursion Ratio 70 values ranged from a low of 0.96 to a high of 1.48 with an average of 1.24. This indicates to me...
by Forum Mgmnt
Sun Oct 15, 2006 7:10 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

These results fit well with my hypothesis that an edge would exhibit an Excursion Ratio greater than 1.0. It is also an interesting confirmation that the old timeframes from Turtle days of 10 week breakouts still represent the peak edge when compared to breakouts of shorter and longer length. To fur...
by Forum Mgmnt
Sun Oct 15, 2006 6:57 pm
Forum: Testing and Simulation
Topic: What is an "Edge"?
Replies: 32
Views: 29401

What is an "Edge"?

I was recently attempting to describe in concrete terms what an "edge" was. For example, what is the "edge" for a particular entry. In particular, I wanted to break apart the Donchian system, a simpler version of the Turtle system which we supply with Trading Blox. The Donchian System's entries are ...