Search found 85 matches

by Paul King
Mon Apr 27, 2009 11:23 am
Forum: Brokers
Topic: IB's accumulate/distribute
Replies: 2
Views: 3798

IB has a pretty impressive array of order processing functions now: http://institutions.interactivebrokers.com/en/p.php?f=orderTypes&ib_entity=inst They've had iceberg orders for some time. I like to use their conditional orders quite often in combination with a "one cancels all" group. For example,...
by Paul King
Thu Apr 02, 2009 11:15 am
Forum: Trader Psychology
Topic: Mind set in executing an order successfully?
Replies: 6
Views: 5561

"thinking too much is the barrier on execution during trading" There should be no "thinking" involved during execution of a trade. Your method has dictated what to buy/sell, when to buy/sell it, what price to buy/sell it at, how much to buy/sell, when to add to a position, when to exit a position. E...
by Paul King
Thu Apr 02, 2009 11:07 am
Forum: Trader Psychology
Topic: Dealing with Drawdowns
Replies: 4
Views: 4854

While the depth and duration of any particular draw-down is not knowable, one thing that you can be sure of is that recovery from it can only occur if you are willing and able to continue trading. Historical testing can only ever be a rough (but useful) guide to "what bad looks like". My advice woul...
by Paul King
Thu Mar 12, 2009 6:04 pm
Forum: Testing and Simulation
Topic: How Far Back To Test Equities?
Replies: 4
Views: 2105

OK, a more methodical approach would be to classify markets into types by trend (up, down, sideways) and volatility (low, normal, high) giving 9 possible "types" of market (3 trendiness measures multiplied by 3 volatility measures). Then make sure you have a decent sample of trades in your testing f...
by Paul King
Thu Mar 12, 2009 4:13 pm
Forum: Testing and Simulation
Topic: How Far Back To Test Equities?
Replies: 4
Views: 2105

Well what's the opportunity cost of waiting 10 years to collect enough data (to add to the "included" 10 years) in order to have a total of 20 years to test on without paying any extra? How does this solution compare to paying up for the data you actually mention you would like to test on in your ac...
by Paul King
Fri Feb 27, 2009 8:43 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10341

"If the most liquid instruments are more efficient and less trendy" I would test this assumption - liquidity, efficiency, and trend are not directly related as far as cause-effect goes (in my experience). More liquid instruments have smaller spread, less noise, and therefore generally lower implemen...
by Paul King
Fri Feb 27, 2009 7:36 am
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10341

"And, finally, do you know of any magical filters I can use to select the best performing instruments and trades?"

Yes, only trade instruments that are liquid ;-)
by Paul King
Fri Jan 30, 2009 11:26 am
Forum: Trader Psychology
Topic: The Robusti family
Replies: 16
Views: 16109

Another interesting question might be:

What aspects of each trading system don't change over the whole period (if there are any)?
by Paul King
Fri Jan 30, 2009 10:15 am
Forum: Testing and Simulation
Topic: Statistical significance of a new rule
Replies: 5
Views: 2726

How many trades are there when this rule is not implemented at all? Just looking at the chart it appears to be a "robust" parameter with respect to R3 since it has a nice "bell curve" shape with the "sweet spot" lookback around 9 days, but only filtering out 100 trades. If I was analyzing this I'd c...
by Paul King
Fri Jan 30, 2009 8:45 am
Forum: Testing and Simulation
Topic: Statistical significance of a new rule
Replies: 5
Views: 2726

What are the x-axis units (1-17)? Is that years, months, day, or something else?
by Paul King
Thu Jan 29, 2009 5:16 pm
Forum: Testing and Simulation
Topic: Statistical significance of a new rule
Replies: 5
Views: 2726

"... that seems to improve results" Depends how you quantify this. I'd look at how the trade frequency changes when you apply the new rule, and also the average size of winners to losers. Also, I'd be suspicious if a new rule happened to significantly improve the win% since this may be eliminating l...
by Paul King
Thu Jan 08, 2009 9:06 am
Forum: Testing and Simulation
Topic: Simulating volatility
Replies: 4
Views: 2181

I while ago (back in 2006) I started to write a short eBook called "The Stochastic Price Change Model" which is a model of price behavior that uses volatility, volatility of volatility, gap probability, and market emotion (normal, apathy, main, panic) as inputs. If you PM me an email address I can s...
by Paul King
Mon Jan 05, 2009 10:04 am
Forum: Testing and Simulation
Topic: Can terminology hide a multitude of sins.
Replies: 9
Views: 3166

It is a sad fact in trading that the best looking equity curves are usually a contrary indicator of what will happen in the future, or what you should invest in or trade. If it's a simulation, then it's curve fit or includes "postdictive" errors, if it's actual performance then it's fraudulent (i.e....
by Paul King
Mon Dec 22, 2008 8:39 am
Forum: Trader Psychology
Topic: Is trading moral and ethical?
Replies: 25
Views: 24960

If the market is open to anybody, has equal access, no rules that favor or penalize any one group of participants, and nobody is forced to participate, how can the act of speculation be unethical or immoral? It's a voluntary game where the rules are well defined and generally well enforced/policed. ...
by Paul King
Fri Dec 19, 2008 6:20 pm
Forum: Brokers
Topic: Interactive Brokers Trading Foreign Markets
Replies: 2
Views: 4404

http://www.interactivebrokers.com/en/accounts/universalAccount.php?ib_entity=llc IB's Universal account is multi-currency by default. The only things the "base" currency are used for is the currency that the net liquidation value calculation is done in, and FX transaction commissions. Everything els...
by Paul King
Sat Dec 06, 2008 10:09 am
Forum: Testing and Simulation
Topic: Skip trade if last was winner
Replies: 9
Views: 5156

Skippers don't win

This depends on your beliefs (as in everything in trading really). If you believe that each trade is an independent event, and that there is no way to determine winners and losers in advance and you have a positive expectation trading system then anything that skips trades will: a Reduce your long-t...
by Paul King
Wed Nov 19, 2008 3:14 pm
Forum: Testing and Simulation
Topic: portfolio cherry picking
Replies: 8
Views: 4034

"compared to a portfolio containing the two highest volume markets in each commodity group" is the real pearl of wisdom at the end of sluggo's (very informative) post. Maybe you're asking the wrong question when you talk about cherry picking in relation to particular markets. Maybe a better approach...
by Paul King
Tue Nov 18, 2008 11:25 am
Forum: Market Psychology
Topic: Jim rogers interviewed on FT
Replies: 1
Views: 5177

All fiat currency has zero instrinsic value

All paper money that is not backed by something "real" like gold or silver has zero intrinsic value (other than it's use as toilet paper when it finally and inevitably devalues). The "value" of a fiat currency is simply a perceived value based on what amount of product or service the currency unit w...
by Paul King
Thu Jun 21, 2007 9:40 am
Forum: Stocks
Topic: Asymmetry and the Short Side
Replies: 3
Views: 6190

Trend persistence

http://www.pmkingtrading.com/sitebuildercontent/sitebuilderpictures/TrendPersistence.jpg The chart above shows the difference in up and down trends for liquid US equities over the last 20 years. Note that due to survivorship bias companies that have trended down to zero are not included. There is s...
by Paul King
Wed May 30, 2007 7:42 am
Forum: Trader Psychology
Topic: Times you couldn't take the trade and how you overcame it
Replies: 8
Views: 10264

Sluggo, you are correct of course, maybe I should have said "The risk you take is generally proportional to ...". I was trying to make the point that one has the option not to take maximum available leverage and use it. In the small print for "no slippage" guarantees it always has the caveat of "exc...