Search found 367 matches

by Forum Mgmnt
Wed Apr 16, 2003 6:34 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75476

Extracted from Sir G's other Post

MODERATORS NOTE: This topic from Sir G was split to separate the subject of computing skid. Appologies to Sir G. ORIGINALLY FROM SIR G: I’m in agreement with the performance numbers that tb offers. One thing that I plan on paying more attention to is Standard Deviation. I think that is a good gauge ...
by Forum Mgmnt
Wed Apr 16, 2003 6:13 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 13832

I concur

Howard, One of the reasons I believe it is very important to have a very flexible testing environment is that it is rarely sufficient to make one change and then use the results of a single test to make an assessment of the effectiveness of a particular method. An example: I've found that one often ...
by Forum Mgmnt
Wed Apr 16, 2003 4:51 pm
Forum: Trader Psychology
Topic: A moment of significant enlightenment
Replies: 16
Views: 16378

Learning that it's not what you know but do you do it

I remember just after the initial Turtle class in December 1983, we were a bit anxious to begin trading after a return from the New Years holiday. Each of us was given a desk in a large office on the 8th floor of the Insurance Exchange building which was right next to the Board of Trade building. Th...
by Forum Mgmnt
Wed Apr 16, 2003 3:47 pm
Forum: Trader Psychology
Topic: Short-Term vs Long-Term Trading
Replies: 16
Views: 14210

"Easier" is in the eye of the beholder

Dave, You very well might find trading long-term easier. However, there are many that would say otherwise. In general, shorter-term systems can offer better risk-adjusted returns but don't tend to work as well over many years. They will generally have better Sharpe Ratios, and often better MAR ratio...
by Forum Mgmnt
Wed Apr 16, 2003 1:52 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75476

By What Measure? - How do You Know if a System is Good?

One of the core issues in evaluating a trading system is determining exactly what makes a good system. :?: Each of us has different tolerances for risk, boredom, and volatility. Even these are interpreted differently by each of us. So I am curious what each of you uses to determine what makes a good...
by Forum Mgmnt
Wed Apr 16, 2003 12:59 pm
Forum: Testing and Simulation
Topic: Fixed Fraction vs. other creative money management methods
Replies: 6
Views: 12902

Ted, You've hit upon something that relates to what I consider the #1 problem with reports of the performance of the Turtle System: Most people have tested and reported performance for the system without the correlation or directional unit limits. Many of the signals we had were ignored because we w...
by Forum Mgmnt
Wed Apr 16, 2003 11:07 am
Forum: Testing and Simulation
Topic: Fixed Fraction vs. other creative money management methods
Replies: 6
Views: 12902

Bet Size Overkill

I found that there are certain aspects of money management that are crucial and others don't matter so much. It is difficult to answer the question in isolation. Often the different approaches represent different risk amounts. For example, using core equity equates in some sense to using a larger be...