Search found 126 matches

by rabidric
Mon Jul 31, 2006 2:56 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33629

jason- true, but i think you have slightly misinterpreted my point, what you describe appears to be more a question of investors and their appetite for leverage. I was trying to convey that by optimizing on historical smoothness, you increase the chance of departure from this in walkforward. accepti...
by rabidric
Fri Jul 28, 2006 3:04 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33629

Jason- very nice analogy Stan, - ok online this is gonna come across as a bit aggressive against your posts, apologies, but here goes: "The Industry" is awash with analysts and reports and expert opinion. It would have you believe that they can give you edge. The truth is that no prop trader worth h...
by rabidric
Wed Jul 26, 2006 12:45 pm
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33629

ok this is a bit of a topic drift but [*]Use an optimization criterion that prizes smoothness of the equity curve , such as the R-squared correlation between the equity curve and a perfectly straight line Many individuals prefer a smooth ride too. sure sure, you are quoting from educated traders sta...
by rabidric
Fri Jul 21, 2006 10:59 am
Forum: Testing and Simulation
Topic: Portfolio Optimization
Replies: 50
Views: 33629

great thread. i see the pros and cons for individual vs group optimization, but here is something i thought of, as a possible weakness in combined portfolio optimization. say you take a simple one size fits all approach to parameter optimizing, you need to be aware that you are open to considerable ...
by rabidric
Mon Jan 16, 2006 5:45 am
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27855

a bit of a side topic, but relevant to the post further up the thread: i place trades with a volatility sizing method where big vol-->smaller size. I analysed my historic trades, and wondered how each particular "tranche" of sizing contributed(i.e. 50-100%avg size, 100-200%avg size and 200%+). to my...
by rabidric
Tue Jan 10, 2006 4:25 am
Forum: Trend Indicators and Signals
Topic: EXIT signals ...
Replies: 29
Views: 32684

Neil, I believe you have perhaps failed to see the full picture w.r.t. advantages/disadvantages of time based channel and atr based trailing stops. I hope you can follow my workmanlike explanation: Generally when observing the diffusion of price over time you can look at it in two ways: 1) Define ti...