Search found 73 matches

by MCT
Mon Mar 22, 2004 10:25 pm
Forum: Futures Markets
Topic: Trading strategies and discussion
Replies: 13
Views: 9543

Leonardo,

Given your trading strategy, what is your thought regarding diversification?

Cheers,

Menelik
by MCT
Fri Feb 06, 2004 2:26 pm
Forum: Testing and Simulation
Topic: PERFORMANCE ANALYSIS
Replies: 1
Views: 3721

This all seems to work okay although I am finding the results a little worse on the 2000 - 2004 period. It seems unusual to me that if you do your parameter altering on 1990 - 2000 then apply this mildly optimised strategy to 1975 - 1990 that the results are in fact even better , but that they shou...
by MCT
Wed Jan 21, 2004 5:18 pm
Forum: Testing and Simulation
Topic: Stationarity
Replies: 9
Views: 9328

MCT wrote: The distribution of price change from years past is less likely to repeat than the distribution of price change from the recent past. Just curious: Is this logic, is this a fact or is this an assumption? 1)Historical back testing is akin to back-fitting experience. In that regard, our ex...
by MCT
Tue Jan 20, 2004 9:27 pm
Forum: Testing and Simulation
Topic: Stationarity
Replies: 9
Views: 9328

Did I ever miss it… :oops: c.f. wrote: "The main problem with using historical testing as a means of system analysis is that the future will never be exactly like the past. To the extent that a system captures its profits from the effects of unchanging human behavioral characteristics that reflect...
by MCT
Tue Jan 20, 2004 3:20 pm
Forum: Testing and Simulation
Topic: Stationarity
Replies: 9
Views: 9328

Stationarity

Given this is a forum mostly populated by pure mechanical system traders, I still haven’t yet read posts that addressed Stationarity - the statisticial term for ever-changing cycles. ..Or maybe I must have missed it. A number series is stationary if the process that generated the series has been c...
by MCT
Wed Jan 14, 2004 3:03 pm
Forum: Trader Psychology
Topic: Too much reading ...
Replies: 58
Views: 49217

Forum Mgmnt, I agree with you 100%. It is not truly realistic or scientific to take short views, and to sacrifice the future to immediate pressure. Succumbing to immediate desire surely is the road to ruin. Having said that I believe there is an "optimal region" where one doesn’t look out too far ...
by MCT
Wed Jan 14, 2004 12:58 pm
Forum: Trader Psychology
Topic: Too much reading ...
Replies: 58
Views: 49217

c.f. wrote:
Outcomes matter over the long-term, but NOT over the short term.
Can you please expand on the above. where I don't understanding is: "but NOT". And how short is short term? Im not being flippant, I'm just trying to understand your point.
by MCT
Wed Jan 14, 2004 12:06 pm
Forum: Trader Psychology
Topic: Too much reading ...
Replies: 58
Views: 49217

In the context of Chinese culture, liberation means, more specifically, a liberation from the strict rules of convention. Mistrust of conventional knowledge and reasoning is not all that strong in western culture. In the east all knowledge is suspect. It is based on the firm belief that the human in...
by MCT
Wed Jan 14, 2004 10:24 am
Forum: Trader Psychology
Topic: Too much reading ...
Replies: 58
Views: 49217

I enjoyed reading this thread. just a short comment ...on Socratic Ignorance: It is important to note that Socrates himself did not claim to know better than others - he thought he was in a better position than those that didn't understand the central role of ignorance in the human experience. i.e. ...
by MCT
Sat Dec 06, 2003 10:44 am
Forum: Testing and Simulation
Topic: Improve Risk:Reward by using different time frames?
Replies: 20
Views: 24553

When Version 2.0 of VeriTrader comes out you will also be able to develop your own systems with our software.
Hi Forum Mgmnt,

When will it be available?

Menelik
by MCT
Tue Oct 14, 2003 9:51 pm
Forum: Trader Psychology
Topic: Technical analysts exhibit no skill in predicting.....
Replies: 7
Views: 6680

John, I’ll second that. That was an excellent point. As to Elliot Waves I would also add the perspective it presents is of immense value. For instance, it suggests that the market goes three steps forward for every two steps back. If you can manage your fear during the two steps back and your gree...
by MCT
Sat Oct 11, 2003 5:01 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Hi John, There are few discretionary traders on this forum and it feels odd at times ... the irony is, there is more to learn from mechanical trend followers than most other types of traders … What I’m suggesting is quite radical. Many such as William Eckahardt and Nassim Taleb have suggested th...
by MCT
Fri Oct 10, 2003 12:41 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

mickslam, Let me begin by saying ... sorry. My posts focuse on the philosophical and theoretical aspect of things...I find that more important than simple number crunching. I believe, we have to theorize and philosophize in order to extract real meaning from our sample tests... Many serious traders ...
by MCT
Fri Oct 03, 2003 2:16 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

"speed of price increases as ATR decreases" I have to disagree with that as I have found ATR and price to be independant. Usually, but not always as the market chops sideways toward the end of a good move the ATR is considerably higher than during the move . NJP, Your answer is a simple inversion o...
by MCT
Mon Sep 22, 2003 12:21 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Nathan: 100,000 portfolio. 2% risk, or $2000. 2atr stop stock A. $50 stock. 5atr = $10 stop. 200 shares to risk $2000. dollar commitment on trade = 50 * 200 = $10,000. Max theoretical loss = $10,000 Stock B. $10 stock 5atr = $10 stop. 200 shares to risk $2000 dollar commitment to trade = 10 * 200 =...
by MCT
Mon Sep 22, 2003 12:09 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Forum Mgmnt, The thread is about ATR-Value & exposure and the discussion resulted from a Post dated: Fri Sep 12, 2003 7:12 by Nathan: 100,000 portfolio. 2% risk, or $2000. 2atr stop stock A. $50 stock. 5atr = $10 stop. 200 shares to risk $2000. dollar commitment on trade = 50 * 200 = $10,000. Max th...
by MCT
Sat Sep 20, 2003 11:44 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Hi, Howard I believe you've hit on a common misconception, which is that "position sizing depends on the stop you pick." That's not always true. Couldn’t agree with you more. That should be clear to all, not everyone trades the same. There is no misconception on my part, just different measuring s...
by MCT
Sat Sep 20, 2003 8:59 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

The second is 10 times more volatile than the second. Let's use your volatility position sizing strategy as I understand it. The first instrument will get 10 times as much allocated to it as the second. What if you are wrong in your direction. Then, that large move works against you - you are expos...
by MCT
Thu Sep 18, 2003 7:58 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

check out, the following quote. It presents the massive problems of induction in economics and our personal lives. Take a look at both my example and SirG’s follow up example. The problem is everywhere … [quote="Menelik C. Theodros"]Western philosophy regarding event causality seems to have inv...
by MCT
Thu Sep 18, 2003 7:54 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75089

By What Measure?

My take on the Problems Associated with Induction
title Edited: from "The problems of induction.

The very heart of the problem is a problem of logical induction, where conception and reasoning begins from the “system parts,â€