Search found 121 matches
- Tue Mar 02, 2004 5:21 pm
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149635
Bernouilli distribution
Thanks for the links Kianti. Interesting to note how the presenters jump right over the Bernouilli assumption and apply it directly to trading. Maybe their style always result in an equal amount of money won or lost on every trade! ;-) One thing that makes Vince an interesting study is that he actua...
- Tue Mar 02, 2004 11:45 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149635
Risk of Ruin, Optimal-f
Forum Mgmnt, I'd be interested in seeing the paper, if and when you get around to it. One reason I'm interested in your paper is that Ralph discusses Risk-of-Ruin, and goes on to show how it's integral to bet size. Actually, I think his premise is the two things are different sides of the same coin,...
- Tue Mar 02, 2004 3:31 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149635
Turtle and Optimal-f
Forum Mgmnt, In my opinion, you are playing with serious fire if you trade even 80% of optimal f. Optimal f or even 80% thereof assumes you have a good picture of what the population of possible trades looks like. This seems to be a dubious foundation upon which to build your wealth. I agree 100% (e...
- Mon Mar 01, 2004 11:48 pm
- Forum: Custom C++ or Java Platforms
- Topic: VB.net Programming and Custom Software design
- Replies: 16
- Views: 28933
SmartQuant
Karakoram, All these are excellent points. After collecting up your requirements, and starting your design, you might want to consider commercial or open source libraries to implement some of those requirements. It sure helps whittle down the work. One library that comes to mind is SmartQuant ( http...
- Mon Mar 01, 2004 12:24 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149635
Input Series
Almost forgot to state a basic assumption: the input trade series used to callibrate any sizing method must be a single, constant contract for each trade.
Cheers,
Kevin
Cheers,
Kevin
- Mon Mar 01, 2004 12:20 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149635
Formulas
c.f. Just for the sake of grounding this discussion which I find hard to follow since we haven't agreed on definitions of either approach or the formulas, would you mind outlining the formulas you used to generate the above graph, what was required as inputs for each bet size type, and where you got...
- Sun Feb 29, 2004 12:02 pm
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149635
Optimal-f stuff
Gambler ruin does occur on the right side of the peak, but the one point to the right side and one point to left should be logically equivalent No? There is variance involved no? lperepol, I think you've hit the nail on the head. You can take and graph what is optimal for any particular run. If you...
- Sat Feb 28, 2004 5:01 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 149635
Optimal-f, Monte Carlo, and Kelly
Iperepol, warm greetings from a former web-footed Seattlite. I was wondering if any one compared Monte Carlo methods to Ralph Vince's formula? Ralph does spend some ink in mentioning Monte Carlo as a means. I read his book "The New Money Management" and was disappointed. I am confident tha...
- Fri Feb 27, 2004 12:52 pm
- Forum: Testing and Simulation
- Topic: Calculated Starting Account Size?
- Replies: 9
- Views: 9875
Starting Capital
Jake, Spot on. The 1987 price shock would be another great example to include , not avoid, when testing for initial capital and account performance. In other words, I would enumerate these kind of events, then start a back testing run just prior to the each event with the starting capital. My perspe...
- Fri Feb 27, 2004 3:21 am
- Forum: Testing and Simulation
- Topic: Calculated Starting Account Size?
- Replies: 9
- Views: 9875
Starting Capital
Jake, I like your idea of testing with initial starting capital on a rolling, yearly basis. For many situations, it's easy to automate and report these type of results, and make comparisons between reports. I'd like to build on that idea, but consider doing it based on events. Events, of course, wil...
- Sat Feb 21, 2004 12:30 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100942
MAR and Geometric Mean
Ross,
Looks like MAR is off by 1 decimal. I find it easiest to express CAGR as %, then dividing by Max DD % keeps the same units. The example with CAGR=9.16% and MaxDD=48.4% would yeild MAR=0.18.
Otherwise, looks good.
Cheers,
Kevin
Looks like MAR is off by 1 decimal. I find it easiest to express CAGR as %, then dividing by Max DD % keeps the same units. The example with CAGR=9.16% and MaxDD=48.4% would yeild MAR=0.18.
Otherwise, looks good.
Cheers,
Kevin
- Tue Feb 17, 2004 4:21 pm
- Forum: Trader Psychology
- Topic: Has any one taken Van K. Peak Performance Home Study Program
- Replies: 15
- Views: 23137
Van Tharp Course
I do have the materials mentioned. I'll give the caveat that I have not finished going through his entire course, so I can comment on what I know. I believe there is value in some of the exercises and mental preparations contained in the material, especially when they can shed light on habits or goa...
- Tue Feb 17, 2004 12:51 am
- Forum: Testing and Simulation
- Topic: Identifying Efficiency in a 3D Matrix
- Replies: 11
- Views: 10686
System Performance
Ted, thank you much for organizing the links ... very insightful discussions.
I have a question for moderator: with all these different threads, where is the best place to continue the discussion?
Thanks,
Kevin
I have a question for moderator: with all these different threads, where is the best place to continue the discussion?
Thanks,
Kevin
- Mon Feb 16, 2004 7:27 pm
- Forum: Testing and Simulation
- Topic: Identifying Efficiency in a 3D Matrix
- Replies: 11
- Views: 10686
Performance Measures
Hi Ross! :-) I'll throw a couple things into the kettle, both from Ralph Vince "Portfolio Management Formulas". On page 45 of Ralphs starts with "Let's begin by determing what is a good measure of performance ...". He then derives a Pessimistic Return Ratio (PRR) as follows: PRR ...
- Wed Feb 11, 2004 12:21 am
- Forum: Testing Software
- Topic: Trading System Languages Likes and Dislikes
- Replies: 31
- Views: 30919
Trading Language(s)
I happen to agree with verec, maybe because we both think in Java (?). The libraries and constructs make a HUGE difference for usuability. So I will second what he mentions, and add a few bits ... Other extremely important aspects are orthogonality, composition, and cannonical form. By orthogonality...
- Tue Feb 10, 2004 4:20 am
- Forum: Custom C++ or Java Platforms
- Topic: FIX
- Replies: 3
- Views: 8296
FIX resources
Shakyamuni, I assume you're familiar with www.fixprotocol.org? They have a listserve mailing list where you can contact other people working fix implementations directly. Unfortunately, I searched the archives and best I could come up were the following ... One day there'll be ISO XML - the result o...
- Sun Feb 08, 2004 7:18 pm
- Forum: Money Management
- Topic: Question? Ralph Vince & How much to put on a trade?
- Replies: 9
- Views: 12621
Optimal-f
Joe, Ralph provides BASIC code for finding Optimal-f in Appendix B, page 189. He describes two methods for find Optimal-f starting on page 84. Optimal-f isn't succinctly described in a short formula. To quote one web source "Optimal-f is found in a round about way". The optimization involv...
- Sun Feb 08, 2004 1:50 am
- Forum: Money Management
- Topic: Scaling / 'Pyramiding'
- Replies: 31
- Views: 43903
Scaling
Scaling, or adding additional units/positions makes an interesting study. As shakyamuni suggests, there are all sorts of "shapes" one could apply, and they have widely different characteristics. I use the term "scaling in" when the total size of aggregate position is known in adv...
- Sun Feb 08, 2004 12:48 am
- Forum: Money Management
- Topic: What's the best way to learn about Money Management
- Replies: 9
- Views: 14332
Money Management
Unfortunately, the term "Money Management" is used to mean different things by different traders. Some people mean using stops, period. Some people mean cutting losses. Some people tie it back to risk exposure in the portfolio, some people imply bet size, some even include scaling. So, whe...
- Thu Feb 05, 2004 12:20 pm
- Forum: Money Management
- Topic: Accuracy of worst drawdown
- Replies: 10
- Views: 11885