Search found 408 matches

by LeviF
Fri Jun 22, 2012 2:10 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7394

Perhaps you should decide how much portfolio risk you are willing to accept and design a system around that.
by LeviF
Fri Jun 22, 2012 1:58 pm
Forum: Money Management
Topic: Novice Question
Replies: 16
Views: 7394

Do you really have 132% risk when fully loaded? I assume you are risking 2% based on volatility, what is your avg losing trade in %?
by LeviF
Mon Jun 11, 2012 12:56 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19923

In context of this discussion it would be interesting to see, how the performance of Dean Hoffman’s "Relativity" trading system has performed since 2011. To recall: This system was released a few years ago (I think it was in 2009) and because of some new features like dynamic portfolio management...
by LeviF
Fri Jun 08, 2012 8:39 pm
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19923

TK wrote:On 1 October 2010...
What do you do with your existing positions at the end of each month?
by LeviF
Thu Jun 07, 2012 8:47 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19923

Levi, Your monthly returns are interesting. Do you have a high risk/trade? Or are you trading a very correlated portfolio? I designed my system to be more conservative, I don't have any losing months (yet) greater than 20%, conversely I don't have any winning months greater than 24%. I see you are ...
by LeviF
Thu Jun 07, 2012 8:43 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19923

rhc wrote:Levi,
What is your average trade hold time ?
According to my trade log its 280 days, which includes early exits for profit taking.
by LeviF
Thu Jun 07, 2012 1:01 am
Forum: Testing and Simulation
Topic: Strong May Results for Mechanical/Trend Following Systems
Replies: 59
Views: 19923

Here's what my 2012 looks like. One more lousy day and I am pulling the plug - wish me luck tomorrow.
by LeviF
Fri May 25, 2012 11:01 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

I have traded IPOs for many years. The only unusual aspect of the Facebook fiasco is its size. Look back to the 90s and recall the insane valuations and the corruption and intrigue. Remember the CSFB scandal and all the other shenanigans. I have had endless letters from US lawyers over the years as...
by LeviF
Thu Apr 19, 2012 4:32 pm
Forum: Testing and Simulation
Topic: not another robustness thread...
Replies: 1
Views: 1093

There is a random portfolio block around here somewhere that you can play with.
by LeviF
Tue Mar 27, 2012 3:34 pm
Forum: Testing and Simulation
Topic: High win %
Replies: 5
Views: 2275

High win %

I recently came up with a system with 80% winners and avg loss = 2x avg win. I am having difficulty understanding why and how this system is so accurate. But maybe that is why I havent made any money trading LTTF in the last 4 years. I wonder if anyone else successfully trades something with similar...
by LeviF
Thu Mar 15, 2012 9:28 am
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9190

AFJ Garner wrote:I intend to trend trade with an insignificant portion of my funds...
So then why even bother with it?
by LeviF
Wed Mar 14, 2012 3:55 pm
Forum: Testing and Simulation
Topic: Most of us are using insufficient data for testing
Replies: 25
Views: 9190

40 years ago you could probably trade just 2 or 3 unrelated futures contracts like bonds and corn and oil and have a good return/risk profile. 30 years ago we have the turtles trading a portfolio of US futures with good results on a short/medium term system. 20 years ago we need to start going longe...
by LeviF
Tue Mar 13, 2012 9:46 am
Forum: Testing and Simulation
Topic: Testing Results Question
Replies: 17
Views: 5852

I assume you are not using (or properly using) stops. You cant calculate R-multiples, expectancy, avg risk, etc without stops.
by LeviF
Mon Feb 27, 2012 10:34 am
Forum: Futures Markets
Topic: Finessing MOO orders
Replies: 5
Views: 2593

Finessing MOO orders

Does anyone attempt to get a better price than the open by monitoring market action and waiting for a dip, etc? Do you think it helps your slippage in the long run?
by LeviF
Thu Feb 23, 2012 4:48 pm
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 8632

Hi Trading Leech, Here is a blog of leonardo for you to peruse. http://infiniteyieldforex.blogspot.com/ Again another impressive performance although probably 90 % of his gains came from silver. Luck does play a part, but remember he was bullish silver as it started moving up and held the position ...
by LeviF
Mon Feb 20, 2012 3:32 pm
Forum: Testing and Simulation
Topic: How to start trading with only $10,000?
Replies: 25
Views: 8632

For me, the attractiveness of the financial markets is the scalability. Theoretically you can earn the same return on basically any amount of capital. So say you have an outstanding 50% year. On $10,000,000, thats $5,000,000 - pretty good year by most folks standards. On $10,000, thats only $5,000. ...
by LeviF
Fri Feb 10, 2012 12:36 pm
Forum: Testing and Simulation
Topic: Musings on (worthless) Past Performance
Replies: 83
Views: 21182

So tell us about it...
by LeviF
Fri Feb 10, 2012 10:45 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6856

I think the poster is asking if there is a trading system that would have prevented him from losing 20% last year.
by LeviF
Wed Feb 08, 2012 10:23 am
Forum: Market Psychology
Topic: Facebook IPO, I just don't "get it"
Replies: 53
Views: 33548

It's all about the target market and what image or brand you are trying to build. You would not advertise for an accountant in "Rolling Stone", or for a new lead guitarist for your metal band in The Economist, and I would probably not advertise my hypothetical hedge fund on Facebook. Unless I thoug...