Search found 51 matches

by Mark Johnson
Thu May 22, 2003 3:58 pm
Forum: Money Management
Topic: perplexed: Position Sizing
Replies: 10
Views: 12335

What to do, if anything, about a laggard mkt in a portfo

Would you clarify this one point please? Using a fixed fractional position sizing method, each individual market tests well on single contract testing. It seems contradictory to me to use fixed fractional position sizing while doing single contract testing. Probably I've misunderstood! :oops: thx, mj
by Mark Johnson
Mon May 19, 2003 12:48 pm
Forum: Trend Indicators and Signals
Topic: Moving Averages - Comments?
Replies: 7
Views: 8947

Moving Averages for trading

Thirteen's a moving average system with decent results: http://www.tradingblox.com/forum/viewtopic.php?p=844&highlight=%2Athirteen%2A#844 . if( MACD(Close, 13, 130) > 0.0 ) then buy tomorrow at the market; if( MACD(Close, 13, 130) < 0.0 ) then sell tomorrow at the market; However, I and others would...
by Mark Johnson
Fri May 16, 2003 6:39 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 26282

Seykota's Lake Ratio

Seykota takes the daily equity values E(i) and calculates the data series P(i), the "peaks", defined as P(i) = MAX(E(n)) for n=1 to n=i Then he calculates two numbers, WATER and EARTH: WATER = SUM( P(j) - E(j) ) for j=1 to ndays EARTH = SUM( E(k) ) for k=1 to ndays His Lake Ratio = WATER/EARTH Peopl...
by Mark Johnson
Thu May 01, 2003 7:14 pm
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52394

Hi Forum Mgmnt, yes we certainly are using different methods of calculation. You're computing a monthly Sharpe Ratio, I'm computing an annual one. Here's illustrative calcs done both ways on the Thirteen data: Annual return = 62.151% Annual risk-free rate = 5.000% Annual standard deviation = 36.838%...
by Mark Johnson
Wed Apr 30, 2003 12:13 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 118550

In case it isn't screamingly obvious, what follows is my opinion . Other people will have different opinions. Occasionally someone might represent their opinions as "facts" :P , but they're just opinions. I think Ralph Vince's book Portfolio Management Formulas , which invented and explained the con...
by Mark Johnson
Wed Apr 30, 2003 10:07 am
Forum: Testing and Simulation
Topic: Portfolio Selection
Replies: 57
Views: 52394

Forum Mgmnt, I had used DAILY data to calculate the Sharpe ratio for Thirteen. I also used Schwager's IRATE modification. Switching to MONTHLY data & leaving out the mod, for easier comparisons with your Turtle System results: annual IRATE used in calcs(%) 5.000 months of data 276 Geometric mean ann...
by Mark Johnson
Wed Apr 23, 2003 10:05 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 20497

To those who sent me p.m.: The trades in the MC example above were generated as follows: System = I-Master Slippage = 2.0 big points ($500.00) per roundtrip ; ; ; yes, I know, I know.... Data = CSI backadjusted continuous contract of S&P day session As you can plainly see by reading the MC code, the...
by Mark Johnson
Sat Apr 19, 2003 2:25 pm
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 20497

WCB, I got a p.m. asking for more details so I wrote a MC little program this morning that calculated those values. Captured trades from TS4, fed them into the program, got the 100K output triples (CAGR, MaxDD, MAR), made the CDF's & plotted. I haven't tried the "Code" feature of this BBsys before, ...
by Mark Johnson
Sat Apr 19, 2003 10:31 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 20497

Here's an MC example I ran just now. I backtested an S&P system from 1/1/1996 to 4/17/2003. It generated 551 trades in that period. MonteCarlo performed the following procedure, one hundred thousand repetitions: (a) Randomly pick half of the trades (225 of them). Scramble the order of these trades. ...
by Mark Johnson
Fri Apr 18, 2003 10:58 am
Forum: Testing and Simulation
Topic: Monte Carlo Simulation
Replies: 22
Views: 20497

The most useful result from Monte Carlo techniques, for me personally, is an estimate of the cumulative distribution function of possible outcomes. I like to run a few thousand MC tests, create a CDF, and plot it. Then I stare at the plot and introspect. I look at the 1% and 5% points on the CDF and...
by Mark Johnson
Thu Apr 17, 2003 10:05 am
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8245

Compting skid

I've always liked the method used by Technical Tools (may they rest in peace). Their data management software contained a couple of built-in trading systems, with a unique way of letting the user specify slippage ("skid") for backtesting: as a percentage. For a moment consider long trades. Zero perc...