Search found 118 matches

by edward kim
Tue Jul 08, 2003 7:26 pm
Forum: Stocks
Topic: shorting stocks
Replies: 7
Views: 8670

Hey Louis, To estimate conservatively, you should use the lowest price the following day for your entry point. It is rare not to get an execution all day long in equities (unless it's thin, or you're trading futures), so it's hard to imagine you'll need to go to a third day. Maybe you can use Single...
by edward kim
Tue Jul 08, 2003 7:18 pm
Forum: Testing and Simulation
Topic: When to change system rules
Replies: 9
Views: 7442

Ok Enigma, no one answered this one yet, so I'll take a stab at it: In the purest sense, if you found better rules, trade the better rules. Having said that, no one can predict how good a system WILL BE, so maybe you can slowly roll into the new system. For example, you can allocate 25% of the money...
by edward kim
Mon Jun 30, 2003 5:38 pm
Forum: Brokers
Topic: Interactive Brokers
Replies: 20
Views: 33402

I put in a message for the grains to be added to their system. They will get back to me on the A/C/E grains, but they have already notified me that if something is strictly pit traded, they won't have it available: it must be electronic. One more thing: checks that are deposited are not available fo...
by edward kim
Mon Jun 30, 2003 8:55 am
Forum: Brokers
Topic: Interactive Brokers
Replies: 20
Views: 33402

specs on IB

Hi Damian, I was just about to start posting a sequence of threads of different firms that I have used when I saw your thread. I'm currently trading with Interactive Brokers, so I'll list everything down here: 1. I haven't seen anyone's commissions lower yet. 2. If you don't generate more than $30.0...
by edward kim
Mon Jun 23, 2003 10:47 pm
Forum: Trader Psychology
Topic: Dos and Donts of Drawdowns
Replies: 23
Views: 22820

In
My
Honest/Humble
Opinion
by edward kim
Wed Jun 11, 2003 1:07 pm
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 28108

Hi Vince,

Can you specify what you mean by "trading the equity curve"? In the literal sense, we trade instruments and the EC is a result of that trading.

Obviously, there is something that I'm not catching ..

Thanks,

Edward
by edward kim
Wed May 28, 2003 10:50 pm
Forum: Forex
Topic: Electronic Spot Forex Markets
Replies: 14
Views: 13896

Re: 2% margin

An example would be really helpful, because I don't know what "direction of the carry" and "assuming your positioned to recieve the carry" mean in context with various margin %'s. What are the fees: are there variable and fixed fees? Or just one or the other?

Thanks,

Edward
by edward kim
Wed May 28, 2003 9:29 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 12719

Hi John, Doesn't robustness refer to a system's performance being indpendent of the variability of it's parameters? For example, if one of your parameters works with the value of "30" but doesn't work well for "29" and "31", then your system is not robust. On the other hand, if your system works wel...
by edward kim
Wed May 28, 2003 9:22 pm
Forum: Forex
Topic: Electronic Spot Forex Markets
Replies: 14
Views: 13896

Re: FX trading

Jester wrote:Oh, one more important item. Make sure you sign up for 2% margin or they will charge you carry even if interest rates are in your favor.
:P
Can you explain what you mean by the "2% margin or they will charge you carry even if interest rates are in your favor"?

Edward
by edward kim
Sun May 25, 2003 1:05 pm
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 14607

This topic was also discussed here: http://www.tradingblox.com/forum/viewtopic.php?t=112&highlight=roll Fulks said that there is no perfect answer to the rolling problem. If it's a market where there is usually a constant carry charge going from forward to back months (like gold), then you MIGHT be ...
by edward kim
Sun May 25, 2003 11:51 am
Forum: Testing and Simulation
Topic: System Diversification
Replies: 11
Views: 7660

Re: System Diversification

Almost five months later I’m currently in a drawdown of 20%, trading 12 times the number of contracts I was previously. Hi Gekko, AbsoluteReturn was asking why you are now trading twelve times as many contracts in real time vs. when you were testing, and that maybe you have a postition sizing iss...
by edward kim
Fri May 23, 2003 1:39 pm
Forum: Money Management
Topic: perplexed: Position Sizing
Replies: 10
Views: 12288

Chuck said that when you had a drawdown you should not decrease the bet size. The reason he recommended this was that he demonstrated from a sequence of trades that when you reduced bet size you had an overall reduction in expectancy. The argument was posted to the Omega list where a better statist...
by edward kim
Fri May 16, 2003 7:27 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 26046

Re: Seykota's Lake Ratio

People who love the MAR measurement are probably not going to like the Lake Ratio. The Lake Ratio includes all drawdowns in its construction, not just the maximum drawdown. If system A has one 30% drawdown and lots of 10% dd's, while system B has one 20% drawdown and lots of 15% dd's, Lake Ratio wi...
by edward kim
Fri May 16, 2003 6:10 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 26046

Seykota's risk management web page - Lake Ratio description

http://www.seykota.com/tribe/risk/index.htm Ed Seykota wrote a small piece on risk management, which is an extension of the coin flip risk model he worked on with Dave Druz. He also covers other topics such as portfolio selection, the Lake Ratio, and trading psychology, in brief. Talking about Seyko...
by edward kim
Wed May 14, 2003 2:52 pm
Forum: Stocks
Topic: Market Volatility
Replies: 7
Views: 7794

Hi Enigma, There are two separate issues that you are inquiring about. The level of the index does NOT imply the level of volatility. 10% volatility is 10% volatility, no matter what the level is. The markets can fluctuate 10% if the Dow is at 10,000, just as it can when it was at 1,000. The second ...
by edward kim
Wed May 14, 2003 2:20 pm
Forum: Testing and Simulation
Topic: Hypothetical vs real time results.
Replies: 9
Views: 6002

Hey Damian, The spreads on certain mini contracts are much wider than the full contract, while others have better liquidity and volume. Let's say at midnight Eastern Standard Time, the full Yen (12.5 million) will look like this: 300 bid .008621, 120 ask .08624 while the mini contract will look like...
by edward kim
Wed May 14, 2003 1:18 am
Forum: Stocks
Topic: Market Volatility
Replies: 7
Views: 7794

Simple mathematics can explain that fairly well:

If the S&P is at 400 and you have 10% volatility, the S&P must fluctuate 40 points.

If the S&P is at 900 and you have 10% volatility, the S&P must fluctuate 90 points.

Same volatility, more dollars because the index level is higher.

Edward
by edward kim
Wed May 14, 2003 12:58 am
Forum: Testing and Simulation
Topic: Locked limit down/up
Replies: 5
Views: 5215

Hi Damian, When a market is locked limit up for several days in a row, the exchange will sometimes allow a range expansion for the limit moves. If you have a predetermined fixed amount for locked limits, can you automatically adjust for that in your system? I kind of like bbc's concept where no trad...
by edward kim
Wed May 14, 2003 12:38 am
Forum: Testing and Simulation
Topic: Hypothetical vs real time results.
Replies: 9
Views: 6002

I use the same $200.00 skid that Ted uses - it's also a good idea to see how each market skids differently. Coffee will skid a lot more than the E-mini S&P, and the full Yen contract will skid way way more than the mini-contract (I use a tick skid rather than a dollar skid.)

Edward
by edward kim
Mon May 12, 2003 2:41 am
Forum: Trend Indicators and Signals
Topic: asymmetric bias in the markets?
Replies: 7
Views: 6493

Looks like we agree on a very similar note John - I talked about my system results in the first post, and my data for equities goes back 12 years. My cumulative profits came more from the downside even though the data I used has an upward bias (my data started in the Persian Gulf War time) - this MI...