Search found 143 matches

by Chuck B
Thu Apr 17, 2003 7:21 am
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52173

I really don't think there is "an answer" to this question. It is the most perplexing part about trading to me (like all the rest was simple :wink: ). Everything is based on assumptions that tend to be grounded in historical data. Things like correlation can and do change such as the recent moves in...
by Chuck B
Thu Apr 17, 2003 7:11 am
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8199

Sir G, My problem with attempting to model skid is that if you look at a frequency distribution of real world results it presents bigger tails than trading returns :shock: It is such a massively peaked distribution all centered on zero with a looooong tail out to the right (where x-axis is skid amou...
by Chuck B
Thu Apr 17, 2003 6:56 am
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 13753

Howard, I did a lot of research in MAE a number of years ago; however, I based all my work on initial risk. In other words, instead of using $/contract like the infamous book seller guy, I used what I refer to as R-multiples, initial risk multiples to measure everything by. At that time I was testin...