Search found 73 matches

by MCT
Tue Jul 29, 2003 3:40 am
Forum: Trader Psychology
Topic: Dos and Donts of Drawdowns
Replies: 23
Views: 22800

The problems of causality and of imperfect induction in the social sciences are beyond the scope of this forum but in general, I steadfastly believe risk cannot be quantified with precision in the social sciences as it is routinely done in the physical sciences. I feel we need to bestow some attenti...
by MCT
Mon Jul 28, 2003 8:42 pm
Forum: Trader Psychology
Topic: Dos and Donts of Drawdowns
Replies: 23
Views: 22800

To quote SirG I have found focusing on performance of trading in terms of equity might not be the "best" way, as your emotions might ride the equity curve. This might make the drawdowns an issue. Instead, focus on the performance of trading as a function of the management of the system. Did you plac...
by MCT
Fri Jul 25, 2003 12:40 pm
Forum: Money Management
Topic: Selecting Markets to Trade
Replies: 14
Views: 9182

I trade anything that meets my criteria: 1.Interest Rates 2.Currencies 3.Individual Stocks and Stock Indices 4.Energy 5.Metals 6.Commodities.I tend to view my system as a supportive and firm partner. I take care of the qualitative work, which I believe is essential for a dynamic portfolio, and my pa...
by MCT
Thu Jul 24, 2003 11:05 am
Forum: Money Management
Topic: Selecting Markets to Trade
Replies: 14
Views: 9182

damian


I missed that
by MCT
Thu Jul 24, 2003 10:55 am
Forum: Money Management
Topic: Selecting Markets to Trade
Replies: 14
Views: 9182

Also: When selecting markets to trade based on how trendy they have been in the past and then back-testing you are curve fitting your system. I could use a cycle trading strategy and could make a fortune in back-testing if I preselected my markets based on those that exhibited cycle behaviour. Could...
by MCT
Thu Jul 24, 2003 10:12 am
Forum: Money Management
Topic: Selecting Markets to Trade
Replies: 14
Views: 9182

You’ve brought up a topic that doesn’t receive the attention it deserves.
This suggests that one should trade as many markets as is reasonably possible and goes against preselection as some of you suggest.
I find “broad diversification to be a hedge against ignorance.â€
by MCT
Wed Jun 25, 2003 12:01 pm
Forum: Money Management
Topic: How much Capital to start
Replies: 25
Views: 26119

Savings, savings, savings. ...or borrow from the bank, family memeber etc. Understand the risk each one entails.
by MCT
Wed Jun 18, 2003 7:50 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 12710

Toni,

Im sure William Eckhardt and other long-term trader would agree with you. But it is not necessarily so. There are a few discretionairy traders where the above doesn't apply.
by MCT
Sat May 31, 2003 1:50 am
Forum: Testing and Simulation
Topic: Psychologically Robust Systems
Replies: 12
Views: 10134

In short, they don't. The trends are caused by other things, most often some actual fundamental reason based on supply and demand or bargaining power considerations. I agree with c.f.’ comments … human psychology is fractal in nature …as c.f. pointed out: Hope, Fear, and Greed can indeed add ...
by MCT
Thu May 29, 2003 10:24 am
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 12710

Hi kiwi, Was your Monte Carlo analysis based on a single issue? If so, have you had a chance to rerun a Monte carlo simulation utilizing position sizing at the portfolio level [to account for serial correlation] with a list of trades that were optimized for expectancy using the ProSizer software? MT
by MCT
Fri May 23, 2003 9:37 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75094

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
Fri May 23, 2003 11:51 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75094

[quote]“For unleveraged investments this is a pretty good indicator of the exposure to the risk of crazy unpredictable events like 9/11, the 87 crash, etc. If you only have 20% of your money in the market on average, you will only lose 10% of your account if the market drops 50% overnight. If you ...
by MCT
Tue May 20, 2003 1:32 am
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 26037

I personally feel such calculations and efforts are futile
MT