Search found 254 matches

by Kiwi
Fri Nov 21, 2003 2:58 pm
Forum: Brokers
Topic: Veritrader for Aberration
Replies: 3
Views: 5098

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...
by Kiwi
Thu Nov 20, 2003 4:48 pm
Forum: Money Management
Topic: Question about money management
Replies: 18
Views: 15813

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...
by Kiwi
Thu Nov 20, 2003 5:38 am
Forum: Money Management
Topic: Question about money management
Replies: 18
Views: 15813

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 ...
by Kiwi
Wed Nov 19, 2003 8:57 pm
Forum: Testing and Simulation
Topic: Synthetic instruments, based on indicators
Replies: 11
Views: 9953

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...
by Kiwi
Mon Nov 17, 2003 4:23 pm
Forum: Trader Psychology
Topic: Effects of Automation on Discipline
Replies: 3
Views: 5527

Excellent Chessman. I have found the same to be true ... following my system consistently reduces stress and generates faith in myself. It seems to provide some separation between yourself and the price and equity movements.

John
by Kiwi
Mon Nov 17, 2003 12:41 am
Forum: Trader Psychology
Topic: Effects of Automation on Discipline
Replies: 3
Views: 5527

I am curious Chessman. Have you continued as you were? How are things feeling now?
by Kiwi
Tue Nov 11, 2003 5:40 am
Forum: Testing and Simulation
Topic: Win/loss ratios
Replies: 3
Views: 4389

Many will say 2.5 or 3 to 1 as a target.

But I have one good system that is 0.8 to 1 and another that is 1:120 so rules can sometimes be profitably broken.

John
by Kiwi
Sun Nov 09, 2003 7:49 pm
Forum: Testing and Simulation
Topic: Interesting test results (for a budding tester at least)
Replies: 5
Views: 7325

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...
by Kiwi
Tue Oct 28, 2003 4:19 pm
Forum: Testing and Simulation
Topic: I need a simple solution to a complex issue.
Replies: 14
Views: 12510

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...
by Kiwi
Tue Oct 28, 2003 4:08 pm
Forum: Market Psychology
Topic: Are Stock Indices Different?
Replies: 12
Views: 25913

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 ...
by Kiwi
Tue Oct 28, 2003 4:53 am
Forum: Testing and Simulation
Topic: I need a simple solution to a complex issue.
Replies: 14
Views: 12510

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...
by Kiwi
Mon Oct 20, 2003 5:08 pm
Forum: Trader Psychology
Topic: I hate myself
Replies: 11
Views: 11319

I enjoyed Chucks response and have to say he could have used the heading " Become a Professional Day Trader and: " The thing I have most learnt about by trading 1min bars is exactly the issue you faced (other than that c.f. was right and its often like watching the lawn grow while waiting ...
by Kiwi
Mon Oct 13, 2003 6:55 pm
Forum: Trader Psychology
Topic: Keeping a journal
Replies: 1
Views: 4420

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...
by Kiwi
Mon Oct 13, 2003 6:47 pm
Forum: Trader Psychology
Topic: Technical analysts exhibit no skill in predicting.....
Replies: 7
Views: 9138

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 ...
by Kiwi
Fri Oct 10, 2003 4:44 pm
Forum: Testing and Simulation
Topic: ATR Value
Replies: 56
Views: 51853

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...
by Kiwi
Thu Oct 09, 2003 5:31 pm
Forum: Testing and Simulation
Topic: Maximum Adverse Excursion
Replies: 16
Views: 17723

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...
by Kiwi
Sun Oct 05, 2003 2:27 am
Forum: Stocks
Topic: Stock Volume
Replies: 5
Views: 9352

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...
by Kiwi
Mon Sep 29, 2003 1:19 am
Forum: Brokers
Topic: Interactive Brokers
Replies: 20
Views: 41691

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 ...
by Kiwi
Sun Sep 28, 2003 8:48 pm
Forum: Testing and Simulation
Topic: It’s all about: Accumulation and Compounding
Replies: 2
Views: 4431

Thank heavens we're not 20 then Chuck.
by Kiwi
Sun Sep 28, 2003 8:45 pm
Forum: Testing and Simulation
Topic: System Diversification
Replies: 11
Views: 10424

You have an excellent point Kev, To have a hope of overcoming it I think you have to go beyond statistical testing into the question of why system a) will make money while system b) loses it and then test it in those conditions. Its not enough to just look at the correlations and say "historica...