Search found 367 matches

by Forum Mgmnt
Fri Oct 13, 2006 4:33 pm
Forum: Custom C++ or Java Platforms
Topic: So It's Been A Few Months And . .
Replies: 3
Views: 5537

A couple of thoughts before you begin: 1) Get the book "Code Complete" from Microsoft Press: http://cc2e.com/ It is the best book I know on the craft of programming. It is not about languages or algorithms but the important items that are often left out of courses, variable naming, coding convention...
by Forum Mgmnt
Wed Oct 11, 2006 6:07 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33114

[quote="Mark H"]It is very hard for people to really appreciate “risk.â€
by Forum Mgmnt
Tue Oct 10, 2006 10:34 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33114

There was a posting on Elite Trader recently when someone asked about the worst single day of trading. I did a bit of research to determine the exact prices for my worst day. The worst day I had trading was a huge price shock I experienced just after the crash of 1987. Eurodollars closed on black Mo...
by Forum Mgmnt
Tue Oct 10, 2006 7:06 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33114

I may be a bit sensitive, but I’m fairly certain there was a bit of passive aggressive criticism lodged that would not have occurred had I presented all these results in a Trading Blox format (or on a Mechanica forum). Anyway, I wish great trading success to you all! I was admittedly fairly stron...
by Forum Mgmnt
Tue Oct 10, 2006 9:40 am
Forum: Stocks
Topic: Distributions of stocks
Replies: 6
Views: 10675

Interesting graphs.

This is a huge issue for buy and hold "investors" and those who trade long-only funds but not so much for one who trades a mechanical system which will get you out based on price behavior.

- Forum Mgmnt
by Forum Mgmnt
Sat Oct 07, 2006 8:18 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33114

First, I want to thank Griffy for asking a question that really gets at the heart of the difficulty in developing, evaluating, and trading mechanical systems. Indeed, it is a very hard question to answer completely in anything less than a 100 or so pages of text. Fortunately, while a complete answer...
by Forum Mgmnt
Fri Oct 06, 2006 7:28 pm
Forum: Testing and Simulation
Topic: When To Stop Trading
Replies: 43
Views: 33114

Yes, Trading Blox uses daily percentage changes in equity for the Monte Carlo analysis. This is important when looking at drawdowns because when the ^$%&$ hits the fan all the positions tend to go against you at once, even those that aren't normally correlated. Using daily equity preserves this nast...
by Forum Mgmnt
Sun Oct 01, 2006 4:38 pm
Forum: Testing and Simulation
Topic: How Has Your Thinking about Trading Changed?
Replies: 9
Views: 5747

How Has Your Thinking about Trading Changed?

I've been thinking about trading quite a bit lately as I put my thoughts down on paper and it occured to me that my thinking about trading has evolved quite a bit over the years, even over the last several years. The forum has helped me distill my my thoughts because sometimes in order to attempt to...
by Forum Mgmnt
Fri Sep 29, 2006 7:55 am
Forum: Futures Markets
Topic: Coffee table discussion -what contracts is everyone holding?
Replies: 44
Views: 30091

I agree with damian's interpretation. I don't see any valid reason why anyone who had previous occasion to short LB would have gotten out in the last month. At the beginning or the end of August, perhaps, but not during the last month. It's about as weak a close to the month as one could expect. Now...
by Forum Mgmnt
Thu Sep 28, 2006 9:20 am
Forum: Money Management
Topic: Initial stops and -R
Replies: 1
Views: 3355

There are many ideas which can be good ones that are not part of what we did 20 years ago. If you read in the recent weeks posts you will also get some hints as to changes that improve recent period results for the Turtle system. I strongly suggest testing and exploring other methods which are easie...
by Forum Mgmnt
Fri Sep 22, 2006 1:23 am
Forum: Futures Markets
Topic: VENTING - Copper
Replies: 8
Views: 4379

I'm not predicting mind you, I'm not very good at it.

I just find that trends tend to start right after people give up on a particular market.

- Forum Mgmnt
by Forum Mgmnt
Thu Sep 21, 2006 1:56 pm
Forum: Futures Markets
Topic: VENTING - Copper
Replies: 8
Views: 4379

Hmmmm, sounds like a trend is in the works to me.

It has the telltale look of a damped harmonic oscillator.

- Forum Mgmnt
by Forum Mgmnt
Wed Sep 20, 2006 1:55 pm
Forum: Market Psychology
Topic: Who'll move it first?
Replies: 1
Views: 5453

No we never tried to move the market intentionally.

- Forum Mgmnt
by Forum Mgmnt
Mon Sep 18, 2006 1:45 pm
Forum: Testing Software
Topic: Can Blox do multi strat portfolios?
Replies: 2
Views: 4224

Yes, you can do this. This was part of the design for the simulation engine when the fist version of the product was first created over five years ago so it is quite natural and easy to do. You can specify a portfolio for each strategy and you can test multiple strategies at the same time, you can a...
by Forum Mgmnt
Sat Jul 29, 2006 1:52 pm
Forum: Trend Indicators and Signals
Topic: Overlay macroeconomics and news
Replies: 4
Views: 5635

For most people, the vast majority, this will be extremely dangerous. There are always "fundamental" reasons to do most anything. Most people will use fundamentals or news at the wrong time to do the wrong thing. I believe that discretionary overlays work for those who have already developed a disci...
by Forum Mgmnt
Thu Jul 27, 2006 4:03 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33634

It is my opinion that to make standout return:risk you must be prepared to have a rough ride, and take paths that others would rather steer clear of(e.g. in your optimising do not go out of your way to prioritize smoothness). This is probably the first time I've seen anyone state this very importan...
by Forum Mgmnt
Fri Jul 21, 2006 7:22 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33634

you mean you got those "extra" 3 cents profit from the differences between different contract months(SBN84, SBV84 etc) when you rolled them? Precisely. since everyone thought the price wouild go up, the farther out contracts were always 1.5 to 2.0 cents higher so I'd exit a 5 and roll into a short ...
by Forum Mgmnt
Fri Jul 21, 2006 9:21 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33634

It actually started before we started in 1983 but went on for over a year in 1984 and 1985.

- Forum Mgmnt
by Forum Mgmnt
Thu Jul 20, 2006 11:15 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33634

With respect to there being a 100% limit to going short in futures this is sometimes not the case. I remember having a gentlemen's argument with Rich Dennis about this as I was short sugar at 6.50 or so. He said, "How low can it go?". I told him that I kept picking up 1.5 to 2 cents every time I rol...
by Forum Mgmnt
Thu Jul 20, 2006 7:44 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33634

If one tested with enough data and used the same numbers across markets I think this can make sense. I find that the character of short moves and long moves is definitely different. There are good human psychology reasons for this. You don't get the equivalent of a bubble blowoff in a move down. Mov...