Search found 48 matches

by jklatt
Sun Jan 04, 2009 10:40 pm
Forum: Money Management
Topic: Dynamic Portfolio Balancing Project
Replies: 6
Views: 5458

I've been working on things off and on as usual. I've had a lot of problems finding edges in higher frequency breakout systems and my original intent was to have a mix of high and low frequency systems and mix and match the equity curves. So on that front I've been unsuccessful. This weekend, I sat ...
by jklatt
Tue Sep 30, 2008 5:00 pm
Forum: Money Management
Topic: Dynamic Portfolio Balancing Project
Replies: 6
Views: 5458

It has been a couple weeks and I haven't really come up with anything interesting to discuss. The part I'm getting stuck on is finding different entry and exit techniques that produce "uncorrelated" outcomes. Simple cycling through the parameters of a 10, 20, 30, 40... day breakout system really doe...
by jklatt
Tue Sep 16, 2008 5:58 pm
Forum: Money Management
Topic: Dynamic Portfolio Balancing Project
Replies: 6
Views: 5458

Dynamic Portfolio Balancing Project

I thought I'd post a project I'm undertaking on this board. It's a work in progress and mainly just an exploratory exercise to see what can be done mixing and matching equity curves and adjusting position sizes dynamically. I'm posting some of this here as I'm hoping to get some constructive feedbac...
by jklatt
Mon May 26, 2008 2:22 pm
Forum: Trend Indicators and Signals
Topic: Pattern Recognition/Computer Artificial Intelligence
Replies: 6
Views: 6939

Pattern Recognition/Computer Artificial Intelligence

Does anyone have any experience in this area? There is a specific pattern that I really like to trade and it has worked rather well on a discretionary basis, but the pattern comes in similar yet different shapes and sizes and it's time consuming to flip through a lot of different charts and timefram...
by jklatt
Wed Jul 11, 2007 3:42 pm
Forum: Testing and Simulation
Topic: R-Multiple misleading ?
Replies: 24
Views: 16729

Hmmm.... One way to reduce the volatility is to shave off part of the position as risk gets too "high". Shave a little off at 110... 120... 130... etc. This will substantially reduce the drawdown experienced during the move from 200 to 150, but comes at the expense of overall return. A good exercise...
by jklatt
Tue Jun 19, 2007 4:47 pm
Forum: Trend Indicators and Signals
Topic: Normalizing price velocity/volatility with respect to what?
Replies: 1
Views: 3924

Normalizing price velocity/volatility with respect to what?

A lot of talk is about how you adjust your position size with respect to a given market's volatility, but I'm wondering if anybody had any ideas on how one might normalize a markets velocity and/or volatility over a given period of time. My first idea was to take average true range over a given peri...
by jklatt
Fri Mar 09, 2007 4:44 pm
Forum: Testing and Simulation
Topic: Simulation Questions
Replies: 1
Views: 2474

Simulation Questions

I'm currently taking the 7 day free trial for Trading Blox and I was wondering if anybody could educate me/point me in the right direction on a few topics. 1) I'm looking to be able to limit exposure in a couple different ways. The first, I'd like to try to limit exposure based upon individual instr...
by jklatt
Mon Mar 05, 2007 11:40 am
Forum: Money Management
Topic: Managing Risk and Portfolio Volatility
Replies: 0
Views: 3810

Managing Risk and Portfolio Volatility

In another recent thread, Tim posted an interview with Charlie Wright where he says the following: Charlie Wright: We tend to be fascinated by the entries and the exits, you know, how we get in and out of the market. This is the fun part of system development. We think that to develop a great system...