Search found 66 matches
- Thu Nov 24, 2005 5:00 am
- Forum: Market Psychology
- Topic: Trend following
- Replies: 17
- Views: 30832
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...
- Tue Nov 22, 2005 6:50 am
- Forum: Market Psychology
- Topic: Trend following
- Replies: 17
- Views: 30832
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...
- Thu Oct 06, 2005 5:03 am
- Forum: Testing and Simulation
- Topic: Ed Seykota
- Replies: 2
- Views: 4607
- Fri Sep 23, 2005 1:44 am
- Forum: Money Management
- Topic: Eckhardt is better than Richard Dennis in money management ?
- Replies: 7
- Views: 10736
- Fri Jul 22, 2005 1:37 am
- Forum: Testing and Simulation
- Topic: Computing Skid
- Replies: 10
- Views: 10795
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
http://www.attaincapital.com/alternativ ... un2005.htm
- Tue Jul 19, 2005 5:34 am
- Forum: Testing and Simulation
- Topic: Adjusted Prices
- Replies: 11
- Views: 7762
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...
- Mon Jul 18, 2005 2:47 am
- Forum: Testing and Simulation
- Topic: Adjusted Prices
- Replies: 11
- Views: 7762
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...
- Tue Jun 28, 2005 9:10 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12702
- Tue Jun 28, 2005 7:04 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12702
- Tue Jun 28, 2005 6:44 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12702
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...
- Tue Jun 28, 2005 5:49 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12702
- Mon Apr 04, 2005 11:36 am
- Forum: Money Management
- Topic: Timid Equity / Bold Equity - Position Sizing Method
- Replies: 8
- Views: 13052
- 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: 84
- Views: 101361
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 ...
- Thu Oct 14, 2004 7:43 am
- Forum: Testing and Simulation
- Topic: After simulation & Testing - How do you start trading a
- Replies: 16
- Views: 16281
- Thu Oct 14, 2004 3:50 am
- Forum: Testing and Simulation
- Topic: After simulation & Testing - How do you start trading a
- Replies: 16
- Views: 16281
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 ...
- Wed Sep 22, 2004 3:09 pm
- Forum: Testing and Simulation
- Topic: Robust Optimization
- Replies: 26
- Views: 26938
- Tue Sep 21, 2004 3:58 pm
- Forum: Testing and Simulation
- Topic: Robust Optimization
- Replies: 26
- Views: 26938
- Tue Sep 14, 2004 10:46 am
- Forum: Stocks
- Topic: Yahoo finance data
- Replies: 6
- Views: 9744
- Tue Sep 07, 2004 7:34 am
- Forum: Testing and Simulation
- Topic: Dangers of Compounding
- Replies: 0
- Views: 3476
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...