Search found 254 matches

by Kiwi
Mon Jun 16, 2003 9:07 pm
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 36110

Emarsi Tests

I didnt run the test sorry bbc. Instead, before I saw your response, I created a relatively simple channel on the equity curve. On some instruments short channels were quite successful, on others poor. Longer channels resulted in too high a reduction in the profitable periods to compensate for any r...
by Kiwi
Mon Jun 16, 2003 5:44 pm
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 36110

Until this weekend I believed that trading ones equity curve was evidence that one was missing something in ones system. Over the weekend I spent time on the wealthlab site and tested a lot of their public systems. I have to say that my overall comment is that for real trading most of them are not n...
by Kiwi
Sat Jun 07, 2003 3:27 am
Forum: Trend Indicators and Signals
Topic: Trend Strength
Replies: 9
Views: 19659

BBC,

They probably do in the articles that are quoted (and can no doubt be downloaded for $3-5 each from the TASC website). The output says quite a bit. Compare your big winners with the high scorers.

John
by Kiwi
Fri Jun 06, 2003 8:25 pm
Forum: Trend Indicators and Signals
Topic: Trend Strength
Replies: 9
Views: 19659

Which Markets have the Strong Trends

A thought for this thread. I happened upon a post by Gary Fritz yesterday in which he discussed Dave Chamness' article on why the S&P doesnt trend. In this they introduce an indicator called the Trend StdDev developed by Alex Saitta. I ran this indicator on a few commodities like JY, US and LC a...
by Kiwi
Sun Jun 01, 2003 12:09 am
Forum: Trend Indicators and Signals
Topic: Keltner Bands?
Replies: 4
Views: 6298

Actually, if you cant make some of the ideas in his book work then it is you :lol: Sorry, I couldnt resist that. :oops: Yes, I think Keltner bands are a practical (but discretionary) approach but if you dont like them he has some good practical approaches to system development. Quite a number of nam...
by Kiwi
Sat May 31, 2003 11:16 pm
Forum: Trend Indicators and Signals
Topic: Keltner Bands?
Replies: 4
Views: 6298

I dont have any experience but John Hill's book "the ultimate trading guide" has a good chapter that explains how to use them. If you dont decide to there are plenty of other good ideas you could use :)

John
by Kiwi
Fri May 30, 2003 6:05 pm
Forum: Testing and Simulation
Topic: Psychologically Robust Systems
Replies: 12
Views: 13388

Not wanting to let this discussion stay so pure and edifying :wink: I was just reading an excellent article recommended in another thread about Hostetter. In it was a quote about one of this groups great psychological props :twisted: At Hostetter's urging, Weymar assigned Vannerson to set up a techn...
by Kiwi
Thu May 29, 2003 8:52 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 16804

RS, You put up two questions. The first was whether "win/loss ratio and expectancy are inversely related". The second was "does this mean that systems should be designed to only stick with the most perfect trends and discard the rest very quickly if they fail to perform almost immedia...
by Kiwi
Thu May 29, 2003 7:54 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 16804

Zeno, The analysis was based on running the system on a single instrument. Sorry but I am not planning more complex MC analysis because the issue of robustness for this system hasn't anything to do with the sequence of trades as revealed in a MC simulation; its about what you do when certain market ...
by Kiwi
Wed May 28, 2003 11:40 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 16804

Yes, Thanks :oops: . Thats probably a more common interpretation than the effects I listed. Can we take it as being included under etc? The funny thing is that I think that system failure may be less dependent on parameter robustness than on the second and third factors I listed. Perhaps the third o...
by Kiwi
Wed May 28, 2003 7:46 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 16804

Marc, I think that you are on the wrong track in being too concerned about trying to build a theoretical model of this. Robustness comes down to: - what is the impact of slippage - what will happen with a shock event - what will cause the system to fall out of synch with the markets - etc and to me ...
by Kiwi
Tue May 27, 2003 8:21 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 16804

Monte Carlo sim of high win percentage system

Amazing what trying to fit it into a monte carlo sim teaches you. I use Alex Matulich's Excel model , Prosizer, available for next to nothing at http://www.unicorn.us.com/trading/ . Alex even modified it for me once to try something unusual at no cost! What I didnt say above was that a losing trade ...
by Kiwi
Tue May 27, 2003 7:23 pm
Forum: Testing and Simulation
Topic: Win/ loss ratio and system expectancy
Replies: 16
Views: 16804

Just Some Thoughts. From systems that I have looked at there does seem to be a reduction in expectancy (and profit factor) with higher win percentages. This is probably because the higher expectancy systems have been pattern based and take a profit at a target so there is a trade off to get the hig...
by Kiwi
Tue May 27, 2003 6:44 pm
Forum: Stocks
Topic: No Margin
Replies: 6
Views: 8824

Bryon, In stocks, lack of margin just means you can only bet your own money. Given that margin is normally 1 for 1 this reduces your returns to one half but also your drawdowns to one half. If that return is too low then you could consider closing your stock account and opening a UK spreadbetting ac...
by Kiwi
Sun May 25, 2003 10:11 pm
Forum: Testing and Simulation
Topic: R multiples & Expectency
Replies: 8
Views: 9633

Eck, PGO is a simple trend follower along the lines of what I suggested to someone a few days ago. I think it may have come from Mark Johnson. In tradestation one interpretation of the code was: If C>Xaverage(c,89)+3*avgTruerange(10) then buy next bar market; If C<Xaverage(c,89)-3*avgTruerange(10) t...
by Kiwi
Sun May 25, 2003 7:51 am
Forum: Money Management
Topic: Position Size 100%
Replies: 5
Views: 7528

Kevyn, I'm pretty sure no one will try to stop you talking :D You may find an issue in that the site is orientated to system trading (rather than discretionary trading). However, I suspect that the Dave Trends style of trading (I thought he'd stopped posting after the market top), could be systemati...
by Kiwi
Sun May 25, 2003 1:50 am
Forum: Testing and Simulation
Topic: Back Adjusting Futures Data
Replies: 18
Views: 18923

How does it compare with just adjusting on OI profitwise?
by Kiwi
Sat May 24, 2003 7:45 am
Forum: Market Psychology
Topic: Concepts of behavioral finance ...
Replies: 11
Views: 24993

A couple of questions in reply rs or maybe to add to yours.

Why would knowledge of behavioural finance make trend following unprofitable?

If there is a reason why knowledge would be enough - eg smoking and buying lottery tickets?
by Kiwi
Fri May 23, 2003 8:22 pm
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 84
Views: 100544

I think we agree completely. 8) I was too broad when I included all trend followers in my last posting. You've illustrated another aspect of the black swan experience RS. Your experience was of markets that didn't see swans flying on 911. Perhaps just a bunch of trendfollowing sheep flying by :D My ...
by Kiwi
Fri May 23, 2003 4:21 pm
Forum: Money Management
Topic: perplexed: Position Sizing
Replies: 10
Views: 15374

Oops I seem to have said more than needed :shock: My main point was that when you look at one sequence of trades you have to realise that it is just one. A range of others could also have occurred (whether or not the distribution is normal and whether or not there is serial dependency) and you need ...