Search found 66 matches

by TK
Thu Nov 24, 2005 5:00 am
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 23606

Open Position Risk

Speaking of smoothing equity curves, is it possible in TBB to test the following rules? If the risk (difference between the last close and the stop) of any open position exceeds 5% of the total equity, reduce the size of this position on the next open to keep the risk within the 5% limit. If a 10xAT...
by TK
Tue Nov 22, 2005 6:50 am
Forum: Market Psychology
Topic: Trend following
Replies: 17
Views: 23606

Sticking with winning trades for as long as possible is the only way to make big wins. The above quote comes from the synopsis of the book recommended recently. The author is said to have earned big bucks and retired at the age of 34 by riding out huge long-term trends at a Bermuda-based hedge fund...
by TK
Thu Oct 06, 2005 5:03 am
Forum: Testing and Simulation
Topic: Ed Seykota
Replies: 2
Views: 3623

I agree. A detailed instruction on how to design and test trading systems delivered by Seykota himself is definitely worth following. One of the topics to be covered that I look forward to is Dynamic Portfolio Selection but with Seykota's attitude to time ("there's no past or future, we are living i...
by TK
Fri Sep 23, 2005 1:44 am
Forum: Money Management
Topic: Eckhardt is better than Richard Dennis in money management ?
Replies: 7
Views: 8245

A few months ago, when browsing through the archived contents of the web, I found this: June 29, 1996 Ritz Carlton Hotel Address by William Eckhardt President, Eckhardt Trading Company At Eckhardt Trading Company ("ETC") we try to take a scientific approach to trading. This is not an easy descriptio...
by TK
Fri Jul 22, 2005 1:37 am
Forum: Testing and Simulation
Topic: Computing Skid
Replies: 10
Views: 8199

Slippage Estimates per Market

I've found an interesting article on slippage with round turn slippage estimates for individual markets:

http://www.attaincapital.com/alternativ ... un2005.htm
by TK
Tue Jul 19, 2005 5:34 am
Forum: Testing and Simulation
Topic: Adjusted Prices
Replies: 11
Views: 5355

Thanks TK... I find that all very disturbing, though! I will confirm that this anomaly, if that's what it is, exists in my own (non-VeriTrader) generated CSI data and if so ask them to explain it. Hi, It is not an anomaly. Negative prices in back-adjusted data are to be expected and this is perfect...
by TK
Mon Jul 18, 2005 2:47 am
Forum: Testing and Simulation
Topic: Adjusted Prices
Replies: 11
Views: 5355

I suppose these data are point adjusted so only point differences are preserved. Percentage differences (ratios) are not preserved in such back-adjusted data and in fact they change from one rollover to another. Here is the Crude Oil Feb 1996 data from Pinnacle Data: 19960105 20.05 20.28 19.97 20.26...
by TK
Tue Jun 28, 2005 9:10 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 8952

It may be reasonable to look at the advice posted almost 4 years ago on the Trader Club forum:
Number of trades to prove a system is statistically righteous: about 1500, prefer 4000 or more
Successful trader Leonardo wrote and does exactly that. :wink:
by TK
Tue Jun 28, 2005 7:04 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 8952

AFJ Garner wrote:Where can I find the Druz paper? On his website?
Click on his name in my previous post. :D
by TK
Tue Jun 28, 2005 6:44 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 8952

Recently, a couple of people have posted examples of systems with excellent equity curves in the recent period. What I don't like about them is that they are extremely long-term with 1-2 trades per year per market. My worry is that with ca. 1000 trades in 15 years, it's difficult to say whether a sy...
by TK
Tue Jun 28, 2005 5:49 am
Forum: Testing and Simulation
Topic: Recent vs. Distant Results
Replies: 17
Views: 8952

damian wrote:I don't know what they are doing right, but they are better designers than I am.
Or they might be better portfolio selectors. :mrgreen:
by TK
Mon Apr 04, 2005 11:36 am
Forum: Money Management
Topic: Timid Equity / Bold Equity - Position Sizing Method
Replies: 8
Views: 10343

Van Tharp sells a book for $80 called "Special Report on Money Management". One of its ideas (pp. 53-59) is something I will call Timid Equity / Bold Equity. I programmed it up and tested it out. First, a description of the betsizing idea: You mentally divide your total account equity into a TIMID ...
by TK
Mon Dec 20, 2004 4:58 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 75092

Two well-established (track records of ca. 9-10 years and more than $1 billion under management) and system-based CTAs that can boast what I consider exceptionally good and consistent performance are Quadriga and Transtrend . If you look for consistent returns of about 20% p.a. and MAR above 1 then ...
by TK
Thu Oct 14, 2004 7:43 am
Forum: Testing and Simulation
Topic: After simulation & Testing - How do you start trading a
Replies: 16
Views: 11420

Austrian wrote:TK excuse me but I didn´t find the article quoted in your web link :oops:
I have never said it is an article. However, the quote is still there.

Try this:

1. Follow the link.
2. Press Ctrl + F.
3. Type "When starting up again".
4. Press Enter.

Can you see it now?
by TK
Thu Oct 14, 2004 3:50 am
Forum: Testing and Simulation
Topic: After simulation & Testing - How do you start trading a
Replies: 16
Views: 11420

Tom Basso, a Market Wizard, offered the following: When starting up again you should put on your positions across the whole portfolio to achieve that nice diversification and balance across the portfolio. We have modeled taking new signals only or putting the portfolio on all at once and putting it ...
by TK
Fri Oct 08, 2004 3:35 pm
Forum: Forex
Topic: FX System
Replies: 6
Views: 12703

No allowance for commissions and slippage is something I find somewhat unrealistic, especially now that most FX brokers no longer guarantee stops and skids of 30-100 pips after major economic data releases are not uncommon.
by TK
Wed Sep 22, 2004 3:09 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19172

Thanks, Kevin. It's much clearer now. I appreciate it.

Regards,
TK
by TK
Tue Sep 21, 2004 3:58 pm
Forum: Testing and Simulation
Topic: Robust Optimization
Replies: 26
Views: 19172

For grins, I'll post a couple graphs I have handy of entry parameter variance for a Turtle-like system ("Gamera"). They represent distributions from a narrow-band daily walk-forward portfolio of 5 markets over 15 years ... a few hundred thousand portfolio variations (these puppies take a while to g...
by TK
Tue Sep 14, 2004 10:46 am
Forum: Stocks
Topic: Yahoo finance data
Replies: 6
Views: 7250

so far i haven't noticed any problems with the yahoo feed but i'd be curious to see if anyone out there gets stock data directly from CSI and has noticed any discrepancies. You may want to read the post that indicates otherwise: http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/topic?id=10851&start=11
by TK
Tue Sep 07, 2004 7:34 am
Forum: Testing and Simulation
Topic: Dangers of Compounding
Replies: 0
Views: 2802

Dangers of Compounding

I have found an interesting post about how we can end up with curve-fitted portfolios when using compounding in tests and why we should consider using fixed position sizes in tests when constructing a portfolio. I can't remember this topic being discussed on this forum, so I thought I would share th...