Search found 121 matches

by ksberg
Wed Apr 07, 2004 3:02 am
Forum: Trader Psychology
Topic: Dos and Donts of Drawdowns
Replies: 23
Views: 22827

When to change

Has anyone applied the Chi-Squared tests as mentioned Kaufman's "Smarter Trading"? He describes how one can setup and monitor expected vs actual results; then test the probability of those results happening by chance. In other words, would those results be in line with expected system characteristic...
by ksberg
Fri Apr 02, 2004 1:16 pm
Forum: Testing Software
Topic: Taxes
Replies: 6
Views: 5777

TK While accounting for all possible tax rates and schemes may be difficult, if not impossible, I think it would be very easy to implement a feature that would allow you to reduce your equity at the end of each year by a user-defined tax rate, be it 10%, 20%, 40% or whatever. So if you paid a 20% c...
by ksberg
Wed Mar 31, 2004 10:20 am
Forum: Testing Software
Topic: Taxes
Replies: 6
Views: 5777

Taxes

I, for one, do include taxes in system calculation as an option. I think some reasons developers do not include taxes is that they are complex, depend on the individual return, and are always changing. Some of the things a developer must consider are the type of transaction, the length of transactio...
by ksberg
Tue Mar 23, 2004 6:47 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21766

Correction?

Hiramhon, I had to read your post twice, since the words and graphics didn't mix. Then I checked your spreadsheet. You must have meant portfolio (A+B) was most preferable, since it had 50% of the MaxDD of (A+C). Also, (A+B) is most negatively correlated (-0.67). Per the same net result (A+B) gives t...
by ksberg
Tue Mar 23, 2004 2:24 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21766

Returns

Thanks Stan. Focus on holding period returns (HPR's) is the approach suggested in literature, and follows what you describe for a period of one unit of time. But I would think that the same comment applies ... you want low correlation, not negative correlation of HPRs. Perfect negative correlation o...
by ksberg
Tue Mar 23, 2004 12:30 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21766

A step back

Maybe we don't want to correlate equity curves. I tried a simple correlation experiment in Excel to test this out. First I created perfectly anti-correlated series A = {-1, 1, -1... } and B = {1, -1, 1...}, such that Correl(A,B) = -1. I then added slope to the original series where slope={1,2,3...} ...
by ksberg
Tue Mar 23, 2004 11:37 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75133

Software Design

So the kitchen sink in this example comes more from their desire to let you make that fitness function conform to what you are personally looking for rather than a statement the one should use the entire kitchen sink. Understood. In fact, the whole notion of fitness function is to enable the user t...
by ksberg
Mon Mar 22, 2004 11:47 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21766

Simplicity?

Since Phil broached the subject I've given this some thought, and even managed to implement a few accomodating extensions. So I have to say the exercise has been worthwhile so far. However, I'm really beginning to doubt the premise of "only on" correlation. Why? Consider the type of trade when one m...
by ksberg
Mon Mar 22, 2004 11:01 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75133

Kitchen Sink

Optimax GPF looks like the kitchen sink, and then some. I can understand the need enable a wide variety of fitness functions, but I would think the huge number of parameters make this cumbersome to use. Improvements? The classic "gang of four" software patterns book comes to mind.

Cheers,

Kevin
by ksberg
Sat Mar 20, 2004 9:44 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21766

How data is correlated

Phil, I guess my response is ... well, ok, what do the results say?
by ksberg
Sat Mar 20, 2004 8:07 pm
Forum: Money Management
Topic: Portfolio heat
Replies: 27
Views: 21766

Turtle Correlation

Hey Phil, good to see you here! :D This may be easier to obtain, but don't we really want to know the correlation that occurs in markets only when they are both in a trade? We are only impacted by correlation DURING the trade. What does it matter what a market is doing while it has not been selected...
by ksberg
Tue Mar 09, 2004 2:01 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117840

Adaptive Techniques

Do the original turtle rules distinguish stops and entries for different markets? Yes. Stops are adaptive based on volatility (2*ATR). While the 1st unit entries are based on rules that don't differ between markets (e.g. 20 day high), the entry scaling is also based on volatility (0.5*ATR). There h...
by ksberg
Tue Mar 09, 2004 11:50 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117840

Mini contracts, market systems

Mini contracts are actual futures contracts that trade at smaller levels of commitment. For instance, S&P mini (e-mini) is 1/5 the size of a full contract. My recollection is that this is what he refers to when doing this kind of unit split. For example, if sizing called for 2.2 units of SP, we coul...
by ksberg
Tue Mar 09, 2004 4:04 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117840

Clarifications

Daniel, So, i could for example invest in 13 diferent contracts *or* choose to invest in 2 contracts of 4,445 units per contract ($127.989 each) and one contract of 5 units ($143970) , thus completing 13,89 units... is this a correct thought? By second interpretation, I mean how you are selecting 2 ...
by ksberg
Mon Mar 08, 2004 10:07 pm
Forum: Stocks
Topic: Why don't these guys trade stocks?
Replies: 11
Views: 12449

Fixed fraction risk and stocks

A different issue with Stocks is the margin requirement. With stocks you can only basically buy 2X what you have. So a 50K account could only buy 100K of stock and then be fully loaded. If position size was set at say 2% or 1000 risk and you used a volitility sizing parameter that was $2 per share,...
by ksberg
Mon Mar 08, 2004 9:46 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 117840

Danger Will Robinson

I`m new to the forums, so first of all, my name is Daniel and I trade in Chilean markets. As you will notice, I`m pretty much a newbie, but as allways, it is a pleasure to participate in interesting debates. Welcome Daniel! I hope you don't take this wrong, but you introduced yourself as a newbie, ...
by ksberg
Sun Mar 07, 2004 1:49 pm
Forum: Custom C++ or Java Platforms
Topic: WHY C++ ...
Replies: 17
Views: 20233

Re: How about Java?

Do any trader/programmers (any here, not in the world :wink: )actively use Java as their language/platform of choice? Yes, I think you'll find a few of here. There are plenty of heated debates that take place around language. Many of these perpetuate myths or misunderstandings. For Java, one of the...
by ksberg
Tue Mar 02, 2004 11:58 pm
Forum: Custom C++ or Java Platforms
Topic: FIX
Replies: 3
Views: 5962

QuickFix

Thanks c.f.! This looks to be just the ticket. I really appreciate the reference.

Cheers,

Kevin
by ksberg
Tue Mar 02, 2004 10:43 pm
Forum: Custom C++ or Java Platforms
Topic: Testing Instrument Selection
Replies: 2
Views: 6993

A few ideas ...

Shakyamuni, I'm doing work in automatic porfolio selection as well. I'm not so concerned about having a system substitute markets real-time as I am in developing an objective measure for market selection. This motivation may lead to different approaches and results, but hopefully we share something ...
by ksberg
Tue Mar 02, 2004 5:51 pm
Forum: Testing and Simulation
Topic: Dynamic portfolios
Replies: 3
Views: 4280

Dynamic Portfolio Selection

Sir G, My systems include dynamic portfolio logics as systematic rules. These logics aren’t introduced as a last enhancement to the system, but as the primary foundation of the systems. Can you elaborate on this? Are there principles or themes you've found that could make a difference to somebody ...