Search found 57 matches

by shakyamuni
Tue Sep 14, 2004 8:11 pm
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 14625

I'v got a headache,and am seeking for the hints or guide about it......
You might try running some simulations with real market data instead of imaginary synthetic data and see if the headache persists.
by shakyamuni
Mon Aug 09, 2004 4:39 pm
Forum: Testing and Simulation
Topic: Ideal Timing for Large Lump Sum Investment
Replies: 8
Views: 5376

You might like to read this.
by shakyamuni
Mon Jun 21, 2004 11:20 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36055

Good point Dr. H, it probably would have been good for Nick too.
by shakyamuni
Mon Jun 21, 2004 12:35 am
Forum: Money Management
Topic: Martingale or Anti-Martingale
Replies: 9
Views: 7723

I read the above mentioned posts from the Elite Trader board. It’s ironic that he mentions coin tossing- because I sure can't make heads or tails of any of this. I notice that many of those who assert lots of claims about mathematics often tend to have a flimsy understanding of their assertions. I...
by shakyamuni
Sat Jun 19, 2004 12:47 am
Forum: Money Management
Topic: Long/Short market neutral exits
Replies: 15
Views: 9981

Why, whatever do you mean leonardo? The martingale betting strategy is at the core of any solid trend-trading system. Buy cheap, sell dear, snatch your profits up quickly and double down on your losers. Be sure not to put in any stops and give your losers breathing room aplenty. It works best when s...
by shakyamuni
Fri Jun 18, 2004 6:30 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36055

You can also try the martingale strategy- it’s a surefire winner every time. Some traders claim it might be pretty risky, but that is neither here nor there. The martingale works best if you have a very small bankroll to begin with. Just throw down an initial bet of arbitrary size, then - as the p...
by shakyamuni
Fri Jun 18, 2004 12:29 pm
Forum: Money Management
Topic: Long/Short market neutral exits
Replies: 15
Views: 9981

You might like to try my very special and highly exlusive recipie for success in long/short, beta-neutral stock trading. When you have winning stocks on the long side, snatch up the profits as quickly as possible and allocate the funds to the biggest losers on the short side- then replace the long s...
by shakyamuni
Fri Jun 04, 2004 12:54 pm
Forum: Testing and Simulation
Topic: Parameter Search Algorithms
Replies: 3
Views: 2845

Thanks for your comments.
by shakyamuni
Thu Jun 03, 2004 11:57 pm
Forum: Testing and Simulation
Topic: Parameter Search Algorithms
Replies: 3
Views: 2845

Parameter Search Algorithms

I'm experimenting with different search algorithms to investigate the parameter space.

Would any systems developers like to share some of their own experiences/insights/techniques with respect to this issue?
by shakyamuni
Sun Apr 18, 2004 3:59 pm
Forum: Testing and Simulation
Topic: backtesting dynamic portfolio system.
Replies: 5
Views: 4432

Good Luck

Good Luck!
by shakyamuni
Tue Mar 02, 2004 1:11 pm
Forum: Custom C++ or Java Platforms
Topic: Testing Instrument Selection
Replies: 2
Views: 6985

Testing Instrument Selection

Previously, I have made oversimplifying assumptions with respect to my instrument selection algorithms in backtesting in order to keep the process as simple as possible.

Maybe you guys can share your thoughts and make some suggestions of other ideas and avenues that I might want to investigate.
by shakyamuni
Mon Mar 01, 2004 1:09 am
Forum: Custom C++ or Java Platforms
Topic: DBase
Replies: 4
Views: 6950

Awesome, thanks for the great help guys! I read the other threads and got some good info.
by shakyamuni
Sat Feb 28, 2004 8:53 pm
Forum: Custom C++ or Java Platforms
Topic: DBase
Replies: 4
Views: 6950

DBase

Anyone have DBase experience? I need to build one to house my historical data and snatch it out to run sims.
by shakyamuni
Sat Feb 28, 2004 8:19 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36055

Neil,

You may want to raise the issue with some of the boys from g.c..
by shakyamuni
Fri Feb 27, 2004 12:23 pm
Forum: Testing and Simulation
Topic: Post Some Results / Test It Yourself
Replies: 4
Views: 5323

Good points, guys.
by shakyamuni
Fri Feb 27, 2004 1:33 am
Forum: Testing and Simulation
Topic: Post Some Results / Test It Yourself
Replies: 4
Views: 5323

Post Some Results / Test It Yourself


Please don't let this interesting subject degrade into a flame war...

Maybe we can encourage one another to undertake testing and simulation in a motivational way as opposed to an adversarial way. :D
by shakyamuni
Mon Feb 16, 2004 10:41 pm
Forum: Trend Indicators and Signals
Topic: RSI for Stock, ETF or Mutual Strength
Replies: 6
Views: 7835

The technique you mention sounds non-robust.
by shakyamuni
Fri Feb 13, 2004 3:51 pm
Forum: Trend Indicators and Signals
Topic: New Highs and Lows
Replies: 4
Views: 4691

King Tiger,

Good question. Instrument selection can be trickey.
by shakyamuni
Fri Feb 13, 2004 10:57 am
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21741

Forum Mgmnt wrote: I personally don't think that adding positions in uncorrelated markets increases your risk. If the markets are truly uncorrelated, then adding new positions decreases your risk.

I agree.
by shakyamuni
Wed Feb 11, 2004 12:00 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 36055

Another way to think about pyramiding (adding more size to an existing trade) is to consider each of the pyramid entries to be its own unique self-contained trading system. This lets you simulate and analyze them individually....It could help you see whether you're putting on the first unit too soo...