Search found 121 matches

by ksberg
Wed Sep 29, 2004 12:24 am
Forum: Money Management
Topic: VaR
Replies: 21
Views: 17871

Jake Carriker wrote:BTW, the Taleb site also has both the pro and con articles.
LOL ... yeah, and I noted that after posting my response. Oh well.

Both sides seem to have reasonable positions. Essentially: (CON) VaR is incorrect and misleading, (PRO) something is better than nothing.

Cheers,

Kevin
by ksberg
Tue Sep 28, 2004 4:49 pm
Forum: Money Management
Topic: VaR
Replies: 21
Views: 17871

If you read and follow the VaR links provided above, it includes links to both PRO and CON articles about using VaR, including interviews with Taleb. In particular, the PRO piece by Philippe Jorion presents a very pragmatic view.

Cheers,

Kevin
by ksberg
Tue Sep 28, 2004 2:17 pm
Forum: Data Providers and other non testing software
Topic: John Hill and backadjusting
Replies: 7
Views: 5721

Re: John Hill and backadjusting

I have not read Hill's book and never back-tested a system using the actual contracts. I would like to hear any opinion and experience. I have a custom proprietary backtesting engine that fits that description. It was designed from the ground up to test on actual contracts and vary rollover accordi...
by ksberg
Mon Sep 27, 2004 8:42 pm
Forum: Testing Software
Topic: VT, TR, WLD, AmiBroker Which one for me?
Replies: 17
Views: 13196

System Writer Plus and Tradestation (both from Omega Research) actually compiled the user's "Easy Language" into machine code. All it took was an embedded Pascal compiler with the EL extensions and libraries. Fortunately, Pascal compilers were available for free, thanks to UCSD. I've never heard th...
by ksberg
Fri Sep 24, 2004 11:52 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

If 3% is considered conservative, it's no wonder most traders lose money. LOL ... maybe a better term is realistic. IMHO, the numbers are starting to sound more in-line with reality (e.g. 1-2% vs. 8%). BTW: why would I bet 3% if it meant a nearly 50% chance of creating a 50% drawdown? To me, that d...
by ksberg
Wed Sep 22, 2004 3:15 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19168

Ah, now you get to the real point of all of this, "Automatic Optimization" where what you are looking for is NOT the peak of the test, but the best Robust Peak . If we have a mechanism for coming up with automated robustness checking and some numeric robustness measure suited to individual tastes, ...
by ksberg
Wed Sep 22, 2004 2:45 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19168

I am probably a slow learner :oops: and feel a bit lost with your example and procedure for checking parameter robustness. Let's say a system has 3 parameters and for each one you want to test ranges of values from 10 to 20. Your portfolio consists of 3 markets and you have 10 years of data. What i...
by ksberg
Wed Sep 22, 2004 1:22 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

The meaning of all this ...

Tom, I'm unsure whether you were looking for an explanation of the modified Optimal-f algorithm (I'll call this Constrained-F), how Constrained-F gets used in Monte Carlo, or the whole ball of wax. In a prior post, Ted uploaded a nice graph that compares the bet size fraction to equity growth (his 1...
by ksberg
Tue Sep 21, 2004 3:57 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

One more thing ...

Ok, I'll add one more twist ... Turn the above constrained optimal fraction into a simple Monte Carlo run by selecting permutations of the transactions input array, building a distribution of constrained optimal result values, then picking the distribution median. These techniques should go a long w...
by ksberg
Tue Sep 21, 2004 2:56 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

I am ever-eager to translate ideas, concepts, theories et al into tangible, real-world practices but am struggling to see any benefit in Optimal f. As a theoretical construct it may have some merit but does anyone really trade it ?? Read the prior posts and you'll see that I am not an advocate of t...
by ksberg
Tue Sep 21, 2004 2:04 am
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19168

Unfortunately the histogram isn't a realistic example. Usually there are 3 or 4 parameters being systematically varied, and 2 or 3 output results. For the Turtle system, imagine varying the entry breakout #days, the exit breakout #days, and the failsafe breakout #days. The output results are MAR an...
by ksberg
Mon Sep 20, 2004 11:29 am
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19168

Re: Robust Optimization

If you feel that you need more information to make a decision on this parameter, I'd like to hear what additional information you require. (Obviously, this is somewhat subjective and varies based on the intentions of the individual.) What is the timeline of the given tests? MAR as a measure is more...
by ksberg
Fri Sep 17, 2004 1:09 pm
Forum: Testing and Simulation
Topic: Performance reporting dilemma
Replies: 5
Views: 4039

Bob Spear (of Trading Recipes) emailed me his thoughts on the subject and said I could post. "Dean I don't pay a lot of attention to ending equity. I Do, however, pay a lot of attention to compound annual return info. That number is not influenced by equity level. Similarly, I don't pay attention t...
by ksberg
Thu Sep 16, 2004 3:33 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

One One of the things I find valuable about the Turtle Roundtable is a pragmatic focus. Sometimes members are known to prompt "what do your results say" , which is a way to encourage people to share based on actual findings and experiences. So, my question is this: How can we ground the current disc...
by ksberg
Wed Sep 15, 2004 11:36 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

Optimizing Product

PS. Michael Bryant wrote an article some time back for Stocks and Commodities Magazine which described his use of sizing optimization. Here is a link to a page that gives some background and leads to a product that lets you experiment with optimal sizing with limits like you mention. I don't have an...
by ksberg
Wed Sep 15, 2004 6:46 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

I am trying to consider the realistic model in which we have not only probabilities of Win/Lose and corresponding amounts W/L, but also fixed time horizon , our target (profit we want) on this horizon, and our bankroll (money we are willing to risk on this time horizon). It's clear you're using mec...
by ksberg
Tue Sep 14, 2004 11:54 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

Re: Optimality???

I am trying to consider the optimality from a practical point of view. [...] On this stage we have multi-criteria optimization problem. The solution of this problem is a set of fixed-fraction betting strategies. On this set it is possible to consider the next optimization problem: maximize expected...
by ksberg
Tue Sep 14, 2004 7:38 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117762

Re: About the optimal betting system

Is the Kelly's System Optimal? On the one hand there are many articles with some proofs of this, but on the other hand there are many fixed fraction bets calculators, which show different values than Kelly's values. Can anyone to clarify this point? Which betting system is the optimal one? Please s...
by ksberg
Mon Sep 13, 2004 11:25 am
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 14623

Valid cases for synthetic data

(BTW: I prefer Kevin) IMHO, synthetic data is a sophisticated concept that requires careful crafting and application. I think there are cases to be made for synthetic data, but they are special cases to be sure. One that comes to mind is the introduction of the EuroCurrency. Traders needed a way to ...
by ksberg
Sun Sep 12, 2004 7:33 pm
Forum: Testing and Simulation
Topic: A discussion about generating synthetic data ?
Replies: 20
Views: 14623

Travesty

Jake, I think the method has merit, but needs additional information to preserve market characteristics. As described I believe the method is too random. We could borrow synthetic concepts that have already proven to preserve characteristics in other fields such as language and music. For instance, ...