Search found 152 matches
- Wed Apr 28, 2010 5:03 am
- Forum: Testing and Simulation
- Topic: Black swan
- Replies: 43
- Views: 21787
I have always had a rule for what to do when there is an extreme event - eg; a plane into a building. That rule is halve all existing trades - even if they are profitable. Assess and then probably exit most positions. This is only on a true black swan event. In all my trading years, this has only ha...
- Mon Apr 26, 2010 1:10 pm
- Forum: Testing and Simulation
- Topic: Correlation - Inputs vs. Outputs
- Replies: 10
- Views: 6926
The testing I ran factored in correlation - measured not in any scientific way, but more along the lines of metals, grains, precious metals, rates, equites, FX etc; Never really went much further than this. It clearly reduced volatility and also returns. There was no profit taking involved just limi...
- Mon Apr 19, 2010 10:05 am
- Forum: Testing and Simulation
- Topic: Correlation - Inputs vs. Outputs
- Replies: 10
- Views: 6926
my 2 cents.....are you trading correlation or trends? While it seems that most systems work better with more futures markets being covered, could it just be that you don't need as many and hence correlation becomes less of a problem. The equity curve may just not be as smooth. Sometimes it seems tha...
- Fri Apr 16, 2010 5:35 am
- Forum: Stocks
- Topic: Where to find the constituents of indexs?
- Replies: 3
- Views: 6888
- Fri Apr 09, 2010 4:33 am
- Forum: Brokers
- Topic: Brokerage outside of the US
- Replies: 6
- Views: 8416
does modern society have to be like this..... Ideally no - but with 6 billion other people all wanting more and more (and can you blame them) unfortunately this is going to get tougher. If you want a land that time forgot yet with modernity (and I say this as a compliment) New Zealand - (only issue ...
- Sat Mar 13, 2010 5:16 am
- Forum: Testing and Simulation
- Topic: London Metals Exchange data & backtesting
- Replies: 15
- Views: 13943
- Mon Mar 08, 2010 4:15 am
- Forum: Testing and Simulation
- Topic: Contract Information You Track That CSI Does Not
- Replies: 2
- Views: 2544
We had a quick look at which months the rolls occurred - as its not necessarily the front month. Yes open interest and volume can pick this up, but when looking at the months of offer - sometimes it can be confusing initially when a month is skipped as the front month - not such as issue for the cur...
- Mon Mar 01, 2010 12:34 pm
- Forum: Testing and Simulation
- Topic: Volatility Exit
- Replies: 5
- Views: 3344
Slightly off topic, but I know of a few discretionary traders who actually cut all their positions back - even if they are longer term holds - when their PL gets excessive. It works for them even if just as a fudge. I also saw another systematic money manager in the UK that seemed to run a portfolio...
- Tue Feb 02, 2010 9:45 am
- Forum: Testing and Simulation
- Topic: System Longevity
- Replies: 22
- Views: 13721
When it comes to managing other peoples money - its a different ballgame - marketing and contacts can make all the difference to size - and this is not dependant on performance. Given the little I know about trend trading compared to others here, please correct me if I am wrong.... If the biggest dr...
- Wed Jan 27, 2010 3:55 am
- Forum: Trader Psychology
- Topic: Is trading moral and ethical?
- Replies: 25
- Views: 40870
- Wed Jan 20, 2010 8:04 am
- Forum: Trader Psychology
- Topic: As a Man Thinketh - James Allen
- Replies: 12
- Views: 20679
- Mon Jan 18, 2010 12:23 pm
- Forum: Data Providers and other non testing software
- Topic: Synthetic CSI Spreads
- Replies: 2
- Views: 3330
I did this the slow way in excel, by just taking the last trade, and we in putted it into my own system. (I dont own TB yet) Jez Liberty is correct in his last paragraph. For accuracy using the H and L is largely irrelevant unless using tick data, as you need to match the timing of when they occurre...