Search found 121 matches

by ksberg
Mon Sep 06, 2004 12:03 am
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27860

ADX ranks again ...

TC, agreed ... no need to get fixated on the SP when there are other opportunities. Your comment on trend length agrees with my casual observation. BTW: returning to Mark's study, here's how the indices you mention stack up, and their current trade volumes. I hilited top (green) and bottom (red) ran...
by ksberg
Sun Sep 05, 2004 2:38 am
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27860

The trend is my friend

I think the S&P has not earned its bad reputation among trend following traders. With 0% T-Bill interest, $20 commission, 10% slippage, $50k starting account, and a 1.5ATR stop in Veritrader, I found some trends. Well, it could be that I'm living in a different universe. Maybe it's time I checked! ...
by ksberg
Sat Sep 04, 2004 1:59 am
Forum: Trader Psychology
Topic: An ironically bad trade based on fundametals ...
Replies: 3
Views: 5172

Re: good story.

Nathan wrote:hey u ended the night up 1 free beer. You came out ahead!!!
Hmm, the phrase "marginal utility" comes to mind.

K
by ksberg
Fri Sep 03, 2004 1:32 am
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27860

TC, undoubtedly correlation plays a big part in market selection and portfolio composition. MPT says as much. As you said "Trendiness of a market is therefore less important than its effects on the portfolio's performance of which it is part." ... Of course, we get the effects by looking at a system...
by ksberg
Thu Sep 02, 2004 10:13 pm
Forum: Trend Indicators and Signals
Topic: Which futures markets trend the most?
Replies: 18
Views: 27860

Interesting read. Even Mark comments on some of the unexpected finds. However, it left me wondering if the average ADX ranking method was an appropriate measure of trendiness. For instance, I think the comments on S&P are illuminating since it appears slightly below average, yet is typically and con...
by ksberg
Sun Aug 29, 2004 11:00 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117842

Zidane, you will find formulas a few pages earlier on this forum thread. Study those formulas and you will see the answer right in front of you (hint: think "contracts" vs. units). As for drawdown I suggest you start looking through books and articles on Technical Analysis to provide additional back...
by ksberg
Sat Aug 28, 2004 6:15 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117842

Re: comparing strategies

Vince say that you have to calculate optimal f's for different strategies (market systems) en then use the geometric mean (which follows from the f) to compare the strategies to see which strategie performs best. Why can't you just compare the returns of some stocks for the strategies? Why can't yo...
by ksberg
Thu Aug 26, 2004 4:01 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36505

Spot on Asterix. And since we're talking about psychology, I believe level-setting expectations is a big part of being able to deal with the results.

Cheers,

Kevin
by ksberg
Thu Aug 26, 2004 2:02 am
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36505

Psychology

I note that this is a thread under Trading Psychology, yet we're probably treading on a thread that might belong under System Testing. I know other threads have addressed system measures better than MaxDD. However, for better or worse, I think MaxDD as a measure is here to stay because of the powerf...
by ksberg
Wed Aug 25, 2004 8:13 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36505

Chance

My opinion on using Monte Carlo methods for testing trading system performance is that the Monte Carlo results may be misleading. My reason for stating this is that Monte Carlo simulations assume independence of the individual trades. (i.e. each new trade is independent from the previous trades.) L...
by ksberg
Wed Aug 25, 2004 7:53 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36505

In this case, there was a 3 in 4 chance that MaxDD didn't exceed 42.3% (or following, a 1 in 4 chance that MaxDD is greater than 42.3%). The question remains: what do you do with the information that the probability of MaxDD greater than 42.3% is 25%? Does it boost your confidence in the system? Do...
by ksberg
Wed Aug 25, 2004 6:00 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36505

ksberg for the benefit of someone like me who is a know-nothing, what does the first chart represent? Literally each increment in the first chart represents a 1% group in the sample space. So, adding 75 x 1% groupings from the LHS gives 75% probability, or the cummulative probability. Here is an ea...
by ksberg
Wed Aug 25, 2004 5:34 pm
Forum: Trader Psychology
Topic: Dealing with a drawdown
Replies: 29
Views: 36505

New Measures

I think this thread points to some room for possible improvement in system testing software. Knowing the size (or %) of the maximum drawdown isn't sufficient data. It would be much better to take all the drawdowns encountered in the system test calculations and report the statistics of the entire s...
by ksberg
Mon Aug 23, 2004 12:52 am
Forum: Trader Psychology
Topic: trading myths.
Replies: 18
Views: 19653

Nathan, thanks for providing the context of personal revelations. It changes things from being universal (i.e. widespread myths) to something that you've personally uncovered and/or transformed. In this context, mine is just another opinion, not having travelled in your shoes.

Cheers,

Kevin
by ksberg
Sat Aug 21, 2004 9:45 pm
Forum: Trader Psychology
Topic: trading myths.
Replies: 18
Views: 19653

it seems people would rather attempt to argue than share any thoughts from their personal experience. Great but, im not interested in that. Richard, I disagree with you but who cares. it seems people are so eager to contradict with their two cents, they may not even bother to first understand a dif...
by ksberg
Fri Aug 20, 2004 6:24 pm
Forum: Trader Psychology
Topic: trading myths.
Replies: 18
Views: 19653

this was in fact the thought that made me think of this thread, that i forgot to put into the post. I have heard it said, " a new trader should 'expect' to lose money for at least a year, maybe more". In my view, this is a horrible attitude. I tend to agree with Richard, a healthy dose of skepticis...
by ksberg
Fri Aug 20, 2004 12:32 am
Forum: Trader Psychology
Topic: trading myths.
Replies: 18
Views: 19653

#1 and #2 are "myths" in my view because in various places, i see them discussed as a vague, floating notion divorced from the other elements of trading. They are also personal "myths" because, i see in my own history times when I felt I understood something, when in fact I had very little understa...
by ksberg
Thu Aug 19, 2004 9:40 pm
Forum: Trader Psychology
Topic: trading myths.
Replies: 18
Views: 19653

Myths or ...

Nathan, There are several ways to go about myth busting. Presenting research and facts tends to be among the best. Clarifying misconceptions is another. Sometimes it helps to trace the source of misinformation. I believe that #1 and #2 are misquotes. What I recall seeing is that money management (po...
by ksberg
Sat Jul 24, 2004 2:49 pm
Forum: Money Management
Topic: Definition of 'Money Management' vs. 'Risk Control'
Replies: 2
Views: 3840

Many Definitions

Christian, I think you'll find many definitions for money management, which is one reason Van Tharp used a different, more specific term "position sizing". You will also hear "bet size", or even allocation (which can also mean other things). Some traders use the term money management to imply use of...
by ksberg
Fri Jul 16, 2004 12:09 pm
Forum: Testing and Simulation
Topic: ATR Channel B/o System
Replies: 12
Views: 9300

Minor Variations

I think we can expect minor variations between implementations. Anyone who's done Numerical Analysis can relay how mathematical imprecision effects all computers. Throw in different numerical precisions and formats due to language or platform choice, and there are bound to be differences, even with ...