Roscoe,
I never ever perform tests without dynamic position sizing at the market portfolio level.
Cheers,
Old European
Search found 49 matches
- Sat Dec 18, 2004 2:55 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 103730
- Fri Dec 17, 2004 1:59 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 103730
PruBear, It is definitively possible to come up with single systems with a MAR ratio of 2 or higher without optimizing too aggressively. The procedure I use is the following. I first define what I call a 'generic market universe'. It is simply the universe that consists of all the futures markets th...
- Mon Sep 06, 2004 2:06 am
- Forum: Data Providers and other non testing software
- Topic: Whats happened to Troy (oowdg)??
- Replies: 25
- Views: 25485
- Fri Sep 03, 2004 7:46 am
- Forum: Data Providers and other non testing software
- Topic: Whats happened to Troy (oowdg)??
- Replies: 25
- Views: 25485
- Fri Aug 13, 2004 6:58 am
- Forum: Testing and Simulation
- Topic: Ideal Timing for Large Lump Sum Investment
- Replies: 8
- Views: 7956
Shakyamuni, Thanks for bringing Tom Basso's paper to my attention. Seems to confirm my point. Sir G, Indeed 'buying death at a discount isn't really a deal'. In my previous life as a discretionary fund manager I always tried to avoid throwing good money after bad money and I considered 'averaging do...
- Fri Aug 13, 2004 5:16 am
- Forum: Brokers
- Topic: Lump Sum Investing
- Replies: 2
- Views: 4495
- Sat Aug 07, 2004 9:30 am
- Forum: Testing and Simulation
- Topic: Ideal Timing for Large Lump Sum Investment
- Replies: 8
- Views: 7956
Ideal Timing for Large Lump Sum Investment
I'd like to start up a small discussion on the ideal timing for an initial or additional large lump sum investment in mechanical systems. In my previous life as a discretionary fund manager, I always tried to minimize the risk of poor investment timing by spreading the initial investment of a newly ...
- Fri Jul 16, 2004 3:08 am
- Forum: Testing and Simulation
- Topic: ATR Channel B/o System
- Replies: 12
- Views: 12409
Chris, I've also been playing around with the ATR Channel Breakout system. It is certainly possible to come up with a quite robust system with a MAR of 1.75 or more in tests over more than 20 years, with a portfolio of approximately 30 futures markets and under very reasonable assumptions for e.g. e...
- Tue Jun 01, 2004 4:56 pm
- Forum: Trader Psychology
- Topic: Are You Suited to Trend Following
- Replies: 42
- Views: 87695
Reasonably low on N, reasonably low on O and reasonably high on C: 3 out of 3! Should therefore have the potential to make it as a mechanical trader :D . But I also know that I'll have to keep my feet on the ground :wink: : only reasonably low on N, reasonably low on O and reasonably high on C. Old ...