Search found 254 matches
- Fri Nov 21, 2003 2:58 pm
- Forum: Brokers
- Topic: Veritrader for Aberration
- Replies: 3
- Views: 5103
Forum Mgmnt, Instead of implementing aberration you could do a breakout system from bollinger bands. I am assured that the logic is similar and such systems are public domain in Stridsman's and, I think, Hills books. Two order volatility related filters can make such systems perform better and as so...
- Thu Nov 20, 2003 4:48 pm
- Forum: Money Management
- Topic: Question about money management
- Replies: 18
- Views: 15830
Hiramon, I have not bothered trying to find my way past the russians recently. Chuck's garden has become too wild to waste time in. Bunter, OK. With a 2atr stop you get 22p on the first and 26p on the second (2p slippage and commission in each case). So your risks are: 10000*22 = 2200 8333 *26 = 216...
- Thu Nov 20, 2003 5:38 am
- Forum: Money Management
- Topic: Question about money management
- Replies: 18
- Views: 15830
Hi Bunter, Interestingly you have defined the volatility and the capital invested but you have not defined your risk. Your risk is the gap between your entry price and you exit (incl average slippage and commission imo) multiplied by the number of shares you take. Volatility doesnt tell us this. We ...
- Wed Nov 19, 2003 8:57 pm
- Forum: Testing and Simulation
- Topic: Synthetic instruments, based on indicators
- Replies: 11
- Views: 9969
Blueberrycake, I know you cant do it with a simple methodology but I have come up with a devilishly complex one to do just that. It performs brilliantly. Anyone who would like to buy it from me can forward me a cheque for Eu1Billion at their convenience. I will only sell it to one customer and promi...
- Mon Nov 17, 2003 4:23 pm
- Forum: Trader Psychology
- Topic: Effects of Automation on Discipline
- Replies: 3
- Views: 5535
- Mon Nov 17, 2003 12:41 am
- Forum: Trader Psychology
- Topic: Effects of Automation on Discipline
- Replies: 3
- Views: 5535
- Tue Nov 11, 2003 5:40 am
- Forum: Testing and Simulation
- Topic: Win/loss ratios
- Replies: 3
- Views: 4392
- Sun Nov 09, 2003 7:49 pm
- Forum: Testing and Simulation
- Topic: Interesting test results (for a budding tester at least)
- Replies: 5
- Views: 7334
William, You will get a detailed explanation if you read some of the recommended books on system testing but the basic issue comes down to this. If you develop it to fit your whole data set you achieve just that. A fit (read curve fit) for the whole data set. If, as Louis suggested, you develop some...
- Tue Oct 28, 2003 4:19 pm
- Forum: Testing and Simulation
- Topic: I need a simple solution to a complex issue.
- Replies: 14
- Views: 12522
You seem to be mixing the yen and usd up again. That factor of 100 (because a yen is really a cent) seems to creep in. Divide USD12.50 by 0.0001 (the tick that Globex and CSI is using for yen) to get USD125,000 per contract big point. I know that with IB they use 0.000001 for their tick but I dont u...
- Tue Oct 28, 2003 4:08 pm
- Forum: Market Psychology
- Topic: Are Stock Indices Different?
- Replies: 12
- Views: 25980
Bernd, That was one of Vans better posts. He didnt tell you to buy a course or something. :wink: Short term approaches are good. If you look at the european indexes on 1minute bars you frequently get trends that anyone trading oil or cattle would kill for. The trick is to build a system to take the ...
- Tue Oct 28, 2003 4:53 am
- Forum: Testing and Simulation
- Topic: I need a simple solution to a complex issue.
- Replies: 14
- Views: 12522
Assuming you are talking about the globex futures contracts like JY, SF, EC, BP, AD and even NE :-) The way it is expressed is confusing but in fact each contract is in USD. So the biggies move USD12.50 per small point (for a 0.0001 point move) not some number of JY or SF or EC. So for JY the big po...
- Mon Oct 20, 2003 5:08 pm
- Forum: Trader Psychology
- Topic: I hate myself
- Replies: 11
- Views: 11352
- Mon Oct 13, 2003 6:55 pm
- Forum: Trader Psychology
- Topic: Keeping a journal
- Replies: 1
- Views: 4423
For system trading I have used a trading occasionally mainly to note how I felt about something and to note any intuitions I have so that I can check them against later history. For discretionary trading I make and entry every trade so that I understand what is working and what is not. I also like a...
- Mon Oct 13, 2003 6:47 pm
- Forum: Trader Psychology
- Topic: Technical analysts exhibit no skill in predicting.....
- Replies: 7
- Views: 9155
The articles methodology was not all that relevant in my opinion, whether you are a system trader or discretionary. In discretionary trading I dont predict the future. All I do is react to a price series and when my setup occurs I enter. I then take the position off according to a set of rules that ...
- Fri Oct 10, 2003 4:44 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51919
Menelik, Keep presenting them. They are interesting and add a different persepective even if, at times, I find them inexplicable :) I frequently found that with engineering reports from one of the brightest guys I ever met but it didnt stop me working with him. Mick, I liked your idea on MAE but did...
- Thu Oct 09, 2003 5:31 pm
- Forum: Testing and Simulation
- Topic: Maximum Adverse Excursion
- Replies: 16
- Views: 17732
Stridsmann in his book also concluded that virtually any stop will reduce your profits. The value he placed on MAE work was in reducing the standard deviation of trades and decreasing the size of the initial or trailing stops. Both of these measures mean that you can be more agressive in your tradin...
- Sun Oct 05, 2003 2:27 am
- Forum: Stocks
- Topic: Stock Volume
- Replies: 5
- Views: 9357
Palbritton, Jason, I would certainly look at volume changes if I was trading stocks. On the reasons why I would also require a minimum volume: 1) liquidity - higher volume increases your chance of exiting at the price you plan with acceptable slippage. 2) susceptibility to technical analysis - i bel...
- Mon Sep 29, 2003 1:19 am
- Forum: Brokers
- Topic: Interactive Brokers
- Replies: 20
- Views: 41860
I use Sierracharts daily with IB data for discretionary trading. Very inexpensive and potentially very flexible using either internal spreadsheets or dlls to drive systems or indicators. Lacks the testing orientation of tradestation though and their model is a little funny at times (for example you ...
- Sun Sep 28, 2003 8:48 pm
- Forum: Testing and Simulation
- Topic: It’s all about: Accumulation and Compounding
- Replies: 2
- Views: 4438
- Sun Sep 28, 2003 8:45 pm
- Forum: Testing and Simulation
- Topic: System Diversification
- Replies: 11
- Views: 10431