Search found 73 matches

by MCT
Thu Sep 18, 2003 7:34 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

I will state that if you are using a metric, you should use it in a consistent manner - otherwise it loses its meaning. Using subjective correction factors seems dangerous to me. I just thought you might have lost your way a little - it seemed the position sizing method you were describing would be...
by MCT
Wed Sep 17, 2003 11:12 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Hi mickslam, So if you are using ATR as your measure over a constant period of days, a 1 ATR movement in one stock will be directly comparable to other stocks. If a stock has a traditional volatility of 35%, another stock with a voltility of 35% is exactly the same. Why? Because you are using a meas...
by MCT
Wed Sep 17, 2003 10:53 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75092

Western philosophy regarding event causality seems to have inverted causal relationships. Social mood, reflected by the aggregate record of stock market prices, “leads eventsâ€
by MCT
Wed Sep 17, 2003 1:48 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Nathan I have to say I enjoy reading your posts; it forces me to think in ways I normally don’t consider. I agree with you one hundred percent, you can’t remove subjective preferences from trading and even science- Heisenberg’s uncertainty principle proves that point. There were two points I m...
by MCT
Tue Sep 16, 2003 12:38 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Nathan,

My goal wasn’t to perplex but rather to make the reader “thinkâ€
by MCT
Mon Sep 15, 2003 4:00 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

The forum, as c.f. has pointed out, is for all types of traders, long-term, short-term, mechanical, discretionary, turtles, tribes, and what have you … Equalizing risk to volatility is not an exclusive domain of the turtles; many other successful traders have been doing it in various forms for de...
by MCT
Sat Sep 13, 2003 1:49 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

… and oh yes, if you accept your dollar commitment of trade right away, to maintain the same level of risk, to use your example, you have to: 100,000 portfolio. 2% risk, or $2000. 2atr stop stock A. $50 stock. 5atr = $50stock.40 shares to risk $2000. $10 stop. dollar commitment on trade = 50 * 40 ...
by MCT
Sat Sep 13, 2003 4:42 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Hi Nathan, Good post To quote you: -Your intended risk is your maximum theoretical risk. In my view, this makes it much less risky. -I don't see how stock B is 5x risker. If anything, i think it may be the opposite. True exposure is 5x greater for stock A. Of course this will only matter when the ra...
by MCT
Fri Sep 12, 2003 11:58 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

Hi Ken, No model of risk is any good without some measure of rational interpretation. This is where I think you intend this thread to go - interpretation. ATR, as a measure of risk/volatility, is a histoical concept and its definition is unambiguous. [/b] Precisely my point. You are correct; there i...
by MCT
Thu Sep 11, 2003 6:44 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

CRM114, All of the above only matters if you believe that risk is directly proportional both to exposure and volatility. For example, let’s utilize our simple portfolio example of two stocks, one for $50 and the other for $10 both with an ATR of $5. A percent volatility position-sizing model, like...
by MCT
Thu Sep 11, 2003 4:37 pm
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 10527

Hi peter,

I'm of the opinion, attempting to squeeze significance out of such tests is out of place.
by MCT
Thu Sep 11, 2003 11:03 am
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

If I trade the same number of shares and there is a $5 move then my gain or loss is the same whether the unit price is $10 or $50. So if I am willing to risk a total of X and I will get out if the price moves against me by Y, then I will trade X/Y shares. (a high ATR is more likely to hit your stop...
by MCT
Wed Sep 10, 2003 10:36 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 40020

ATR Value

ATR is supposed to define market volatility thus risk. But ATR is fixed dollar terms and does not take into account true market volatility. I find the atr value deceiving. An ATR of $5 for $50 stock and an ATR of $5 for $10 stock are very different. For the $50 dollar stock the ATR is 10%, where as ...
by MCT
Tue Sep 09, 2003 3:53 pm
Forum: Testing and Simulation
Topic: Dynamic portfolios
Replies: 3
Views: 4280

Dynamic portfolios

It would be interesting to find out how many of us here trade a dynamic portfolio where one adds and eliminates intruments dynamically depending on a systematic or discretionary rule set.
by MCT
Fri Aug 29, 2003 11:02 pm
Forum: Testing and Simulation
Topic: ;-)
Replies: 16
Views: 9684

Volatility — far from easily being compensated for — is at the very heart of what is involved in price action. What’s critical is getting into the right trade--the very best trade--at precisely the right time, and then selling whenever the market and the rules tell you it’s time to sell. The...
by MCT
Fri Aug 29, 2003 7:22 pm
Forum: Testing and Simulation
Topic: ;-)
Replies: 16
Views: 9684

Kiwi My winners averaged a little smaller than my looser (because I scale out half of my position at a target and trail the rest and most didnt trend). Scaling out of your exits, as I understand it goes against the golden rule of cut your losses short and let your winners run. It tends to produce la...
by MCT
Fri Aug 29, 2003 12:09 pm
Forum: Testing and Simulation
Topic: ;-)
Replies: 16
Views: 9684

The human brain is very good at recognizing patterns visually. A trader I respect ones said, “If a computer must be programmed to recognize shapes in the sky, it would be difficult to teach it the difference between a cloud, a bird and an airplane. Once you have it programmed of course, a blimp fl...
by MCT
Wed Aug 27, 2003 10:21 pm
Forum: Testing and Simulation
Topic: ;-)
Replies: 16
Views: 9684

16 - Best parameters for money management can be determined thorugh simulation when using a mechanical approach (M+) 17 - Best parameters for money management need experience and a good hand when using a discretionary system. (D-) I personally employ a nondiversified hybrid approach, where risk man...
by MCT
Tue Aug 26, 2003 5:52 pm
Forum: Trend Indicators and Signals
Topic: Kaufman's Adaptable Moving Average
Replies: 10
Views: 8135

Check out "Smarter Trading" by Kaufman. it's a great read and a must have.
by MCT
Fri Aug 22, 2003 4:56 pm
Forum: Trend Indicators and Signals
Topic: Kaufman's Adaptable Moving Average
Replies: 10
Views: 8135

Anyone any thoughts?
I spent quite a bit of time testing AMA, and it seems to improve on most system stats. I used it effectively during my purely mechanical trendfollowing days. Nonetheless, I settled on a “pureâ€