Search found 110 matches

by alp
Tue May 12, 2009 11:20 pm
Forum: Trader Psychology
Topic: It's boring to trade a system; how do you use your time?
Replies: 13
Views: 11264

Alright, guys. What do you do to preserve your sanity while running your quant, boring and turtle-like systems?
by alp
Sun May 10, 2009 10:58 pm
Forum: Trader Psychology
Topic: Sluggo's Remorse Ratio
Replies: 9
Views: 11210

But then, "common" sense is not necessarily the most profitable. Perhaps this could be tested. Sure, thanks. I have been doing some discretionary plays. :) On the other hand, not a topic for this thread, but as far as mechanical trading is concerned, I also hold that such a 100% pure mechanical sys...
by alp
Sun May 10, 2009 10:53 pm
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16646

Very true. Had I asked Seykota the same question, he would have probably replied with the following phrase: You might consider taking your feelings about "trying to understand", "cause" to Tribe. Oh, by the way, he is working on another book. Yes. He rather follows the Socratic method and the dialo...
by alp
Sun May 10, 2009 9:35 am
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16646

But I am always curious of the "nature" of the trend, because it is the trend that I would like to catch. Perhaps you might also consider these Seykota's statements: Models are mostly useful in understanding specific and simple behavior modes such as the oscillation of a pendulum, the growth of lil...
by alp
Sat May 09, 2009 10:19 pm
Forum: Trader Psychology
Topic: Sluggo's Remorse Ratio
Replies: 9
Views: 11210

Thanks. I guess I have taken it to another level. I think of it as a practical way of reconciling two seemingly opposite feelings (such as greed and fear) so as to achieve a clear mindset ( or "common sense").
by alp
Sat May 09, 2009 10:14 pm
Forum: Testing and Simulation
Topic: Mean reversion system
Replies: 35
Views: 16646

TrendsCatcher wrote:So, folks, are all (or, most) major trends driven by positve feedback mechanisms?
What is a positive feedback mechanism?
by alp
Sun Apr 26, 2009 10:32 am
Forum: Trader Psychology
Topic: Sluggo's Remorse Ratio
Replies: 9
Views: 11210

Neither of them mentions a "ratio" specifically. Rather, they perform what quants call a "minimax optimization": find a policy which minimizes the worst case remorse. (i.e. a policy which minimizes the maximum remorse among all cases. Minimize the max --> "minimax") The basic idea is "When in doubt...
by alp
Sat Apr 25, 2009 10:24 am
Forum: Trader Psychology
Topic: Sluggo's Remorse Ratio
Replies: 9
Views: 11210

Sluggo's Remorse Ratio

I have found that sluggo's remorse ratio, practical money management or decision making rule of thumb, very useful both for discretionary trading and money management. By balacing the seemingly conflicting greed and fear feelings the decision making process gets smoother and clearer. At least it loo...
by alp
Sun Mar 22, 2009 10:52 am
Forum: Testing and Simulation
Topic: how to "rate" a system?
Replies: 17
Views: 7324

I know one guy who lives in a waterfront mansion, started with next to nothing, and only traded the SP. Oh wait, how about that guy who lives up high in a penthouse off the ave, who only traded soybeans. And taught his two sons to do the same. Do you know whether they're trading a mechanical or dis...
by alp
Sun Mar 08, 2009 10:06 am
Forum: Testing and Simulation
Topic: Portfolio size
Replies: 8
Views: 3995

Then, could you estimate an intraday volatility and wait until it drops below average? I just don't see how can one overcome such slippages. I consider myself a novice as far as system trading goes, so maybe I'm missing something. I am also a novice... Perhaps, you could implement a filter based on...
by alp
Sun Mar 08, 2009 9:51 am
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

To me this is a complex topic highly dependent on the personal situation of the trader/account owner. There is no objective answer, just based on equity numbers and system performance figures. Even if just based on equity numbers and system performance figures, perhaps these figures are just histor...
by alp
Sat Mar 07, 2009 2:47 pm
Forum: Testing and Simulation
Topic: Portfolio size
Replies: 8
Views: 3995

Re: Portfolio size

Well, it's probably better to have more signals than you can handle, then less. In fact, maybe it is better to have very large portfolio but keep track of signal sequence and take only the earliest signal. These are just guesses. So, as a matter of fact, you're filtering out trade signals based upo...
by alp
Sat Mar 07, 2009 2:38 pm
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

I believe fixed ratio traders use the largest expected drawdown on a per contract basis regardless of size. Beyond fixed ratio however, the aspect which might make the method workable is the rate of decrease or rate in which contracts are removed on a draw down. Also Fitting the delta to each marke...
by alp
Sat Mar 07, 2009 2:13 pm
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

Asamat wrote:Sorry, I don't understand the question at all. Can you please rephrase, what the actual question is?
How much drawndown is the (kamikaze) trader willing to endure if the account balance is (1) $ 5,000 or instead (2) $ 5,000,000?
by alp
Fri Mar 06, 2009 9:43 pm
Forum: Testing and Simulation
Topic: Portfolio size
Replies: 8
Views: 3995

Re: Portfolio size

First is to trade only a few markets, so that you can take first signal in the signal sequence in any market at any time. This is a simple solution, but I don't think it's bad. Second solution is... I wonder: if the system cannot take all signals, why would it trade a bigger portfolio in the first ...
by alp
Fri Mar 06, 2009 8:21 pm
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

How much does the kamikaze trader risk when the (1) starting capital or account balance is $ 5,000 and (2) if and when the account grows to, say, $ 5,000,000?
by alp
Wed Mar 04, 2009 9:57 pm
Forum: Testing and Simulation
Topic: Maximizing Margin
Replies: 17
Views: 6504

Re: Maximizing Margin

My current objective is to maximize the use of my trading margin without getting a margin call. A 50%, 75%, etc. DD will not bankrupt me and is a minor consideration for now. Does anyone have any input on what sort of safety "margin" would be appropriate based on historical margin usage? ie - use b...
by alp
Mon Mar 02, 2009 8:34 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

Another complementary thread: viewtopic.php?t=5892
by alp
Sat Feb 28, 2009 4:36 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

Insights, discoveries & success, more often than not, tend to accrue to those who are willing to put in the 'hard yards' 100% agreed. Some food for thought from a complementary study: http://www.tradingblox.com/forum/viewtopic.php?t=3326 Also, the previous "trendiness" study could be restricted to ...
by alp
Fri Feb 27, 2009 11:20 pm
Forum: Testing and Simulation
Topic: Query to the System Design Community
Replies: 29
Views: 10346

More liquid instruments have smaller spread, less noise, and therefore generally lower implementation costs and more orderly continuous pricing; nothing to do with "efficiency" or "trend". More volatile (relative to price) instruments are more "efficient" since they can implement the same amount of...