Search found 126 matches

by nodoodahs
Tue Dec 29, 2009 10:41 pm
Forum: Trend Indicators and Signals
Topic: Ablesys feedback
Replies: 5
Views: 5232

From the Amazon writeup: "It's universal-applied to any market and any time chart" I refer to that as "BS." It may or may not be a good system in many markets and timeframes, though. I wouldn't waste any money on a purchased system. Everything you need to know as a retail systematic technical trader...
by nodoodahs
Tue Dec 22, 2009 1:38 pm
Forum: Market Psychology
Topic: Trader Resolutions
Replies: 7
Views: 6759

Re: Trader Resolutions

Doug Hirschorn posted "13 Trader Resolutions for 2010" on a blog for CNBC. I thought it was worth passing on: 1. I will create game plans for all my trades. 2. I will only trade when I have an edge. 3. If I have 3 losing trades in a row, I will take a break, walk away, and clear my head. 4. I will ...
by nodoodahs
Mon Dec 14, 2009 11:37 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12608

Re: Quantification of system robustness

noddoodahs, how do you pick the outliers? Unusual R-multiple trades or best performing years? Isn't trend following all about keeping doing business to get the outliers? Good ol' box-plot analysis? Rare events are harder to get good statistical odds for. If 80% of the profits come from 20% of the t...
by nodoodahs
Mon Dec 14, 2009 5:23 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12608

We're glad you joined, too, JezLiberty! Don't forget, lots of tips on the idea of testing robustness in that response [ http://www.tradingblox.com/forum/viewtopic.php?p=39802#39802 ] appeared after the section you quoted ... I found Taleb's rants to be about five or ten pages of good solid material,...
by nodoodahs
Sun Dec 13, 2009 10:04 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 26146

The last sentence is the best: find what fits YOU.
by nodoodahs
Sun Dec 13, 2009 10:04 pm
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 4325

If I'm using the spot prices to develop a trading system, I'm simulating actually buying the underlying. I mentioned four specific concerns with using a system designed on spot prices, against futures contracts. You are focusing on one of them, the impact of leverage. Leverage, once applied, is no l...
by nodoodahs
Sat Dec 12, 2009 12:36 pm
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12608

I do know for certain, that we don't know for certain if any system can be robust forever. I believe that some things about the market will be constant, simply because it's a market of human individuals and human nature is constant (at least over our lifetimes). I also know for a fact, from research...
by nodoodahs
Sat Dec 12, 2009 11:22 am
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12608

A statistically-based version of (my interpretation of) AFJG's response might be something like: We have a sample return from a test. How representative of the universe is this sample? Is there even a consistent "universe" or is the "universe" itself dynamic? While our other methods of portfolio ana...
by nodoodahs
Sat Dec 12, 2009 10:49 am
Forum: Testing and Simulation
Topic: Quantification of system robustness
Replies: 27
Views: 12608

Re: Quantification of system robustness

Sluggo beat me to the point. All of your measurements are going to be subjective. There ain't no such thing as an "objective" evaluation metric. Our biases color our choices. Sharpe, Sortino, IR, compounding, all have embedded assumptions about our preferences. Good luck. Find what YOU want, young m...
by nodoodahs
Sat Dec 05, 2009 9:11 am
Forum: Futures Markets
Topic: Got gold?
Replies: 11
Views: 6451

There are a couple of theoretical differences. Often I prefer EMA to SMA because the SMA counts every data point TWICE - once when it enters the average and once when it leaves - so the EMA presents a smoother graph and potentially fewer whipsaws. However, when I was adapting a "time stop" system fr...
by nodoodahs
Fri Dec 04, 2009 5:14 pm
Forum: Futures Markets
Topic: Got gold?
Replies: 11
Views: 6451

Not in gold. In emerging market stocks. Momo+trendfollowing system. Gold is not in the top ranking by my method (but certainly is in a "trend" by my method)
by nodoodahs
Thu Dec 03, 2009 12:20 pm
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 4325

The point of using ATR rather than %age-based moves is that the ATR will better scale itself to the different average volatility of different instruments. Using a percentage-based move of X percent might trigger a higher number of trades in some commodities than in does in most equities, and the sam...
by nodoodahs
Thu Dec 03, 2009 12:07 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 26146

I search both Mark Johnson's figures and g.c.Ratio on google,but couldn't get valuable result. that's why i post here for help. One must LEARN how to effectively use Google. Searches: sortino OR sharpe OR lake "performance evaluation" http://www.google.com/search?hl=en&as_q=&as_epq=performance+eval...
by nodoodahs
Thu Dec 03, 2009 8:23 am
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 4325

The "unadjusted close" will probably be closer to the actual movement you would have experienced being long (or short) the contract than the spot price would be. Good idea! It still won't exactly match since it won't capture roll yield (or loss). But if it's more commonly available than the spot pri...
by nodoodahs
Wed Dec 02, 2009 5:17 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 26146

There is a huge amount of academic literature on performance analysis for trading systems or portfolio management.

Google is your friend here.

The "end game" is to understand enough about them, and about YOU, to choose (or invent) the one that suits your goals the best ...
by nodoodahs
Wed Dec 02, 2009 5:11 pm
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 4325

You could use a percent move on the price of the underlying (or "spot" price). The potential problem arises because the actual price change you experience when in a position is different than the price change on the spot during that time! Roll yield, convergence, yada yada. You should test the idea ...
by nodoodahs
Tue Nov 24, 2009 2:28 pm
Forum: Testing and Simulation
Topic: What is the use of the Semideviation ratio?
Replies: 9
Views: 4163

Actually, I just today read the entire thread, start to finish, for the first time, today, before responding. It's said communication has seven steps and some of them are in the sender's camp, some of them in the receiver's camp. :D The relative ranking of different systems changes as the target inc...
by nodoodahs
Tue Nov 24, 2009 1:04 pm
Forum: Testing and Simulation
Topic: What is the use of the Semideviation ratio?
Replies: 9
Views: 4163

...I have trouble getting my mind around choosing a higher than zero CAGR in the calculation for deciding what is "bad" volatility for a semideviation calculation. ... Assume: you have chosen a minimum compounding rate based on [whatever]. The only "risk" that matters to you; the only "variation" t...
by nodoodahs
Tue Nov 24, 2009 12:47 pm
Forum: Money Management
Topic: Drawdown simulation and trading systems selection
Replies: 4
Views: 4328

I like the way you're thinking about combining systems and generating MC sims to tailor future expected results to fit your risk tolerance. But my liking that doesn't matter much, since I'm just some anonymous character on the internets. I do want to provide a set of cautions on the use of Monte Car...
by nodoodahs
Sun Oct 05, 2008 11:18 pm
Forum: Money Management
Topic: Position Size, Volatility, and Trend
Replies: 4
Views: 4259

nodoodahs, If you size positions using a volatility adjusted algorithm, then your position sizes will automatically become larger when volatility is low and become smaller when volatility is high. Sebastian True, but does anyone have experience in varying position size based on volatility AND trend...