Search found 109 matches

by Jake Carriker
Fri Feb 13, 2004 11:36 am
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 15119

Hi Mark, Since I was putting forward an idea that might help solve the problem proposed by King_Tiger, but I don't use the idea personally, I guess I did not think through all the ramifications of testing the idea on backadjusted contracts. It seems to me that the ATR values from backadjusted prices...
by Jake Carriker
Fri Feb 13, 2004 9:29 am
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 15119

If one did want to use ATR as a measure of volatility for the purposes of liquidating a trade when volatility passes a certain threshold, one way to "normalize" ATR would be to simply divide it by price. That way ATR is always expressed as a percentage of price. No matter what the stock pr...
by Jake Carriker
Thu Feb 12, 2004 3:51 pm
Forum: Testing and Simulation
Topic: Monte Carlo analysis of trading systems
Replies: 17
Views: 20574

You are correct in what you write Kianti. The method I proposed will end up with the same net performance, but drawdowns and profits will be distributed differently over the timeline of the curve. Given that, perhaps this is not the "fatal mistake" jankiraly refers to. I will have to give ...
by Jake Carriker
Thu Feb 12, 2004 1:07 am
Forum: Testing and Simulation
Topic: Monte Carlo analysis of trading systems
Replies: 17
Views: 20574

Well, if the idea is to scramble the monthly returns I don't think that the "used" numbers should be placed back in the "bag". A strict reordering of the sequence of returns would imply making a little pile of your slips of paper beside the bag as they are drawn and only replacin...
by Jake Carriker
Tue Jan 27, 2004 9:04 pm
Forum: Testing and Simulation
Topic: Too Good to Be true ???
Replies: 7
Views: 7902

Hi William, I agree that max slippage assumptions will kill the profitability of almost any system, however, IMHO there is still some value in it. I believe Mark Johnson once said on this forum or another, I am not sure, (paraphrasing) that he does not know what a good system is, just whether a syst...
by Jake Carriker
Mon Jan 26, 2004 1:47 pm
Forum: Testing and Simulation
Topic: Too Good to Be true ???
Replies: 7
Views: 7902

You might consider testing over a longer time period (20+ years) as well as testing on out of sample data. You might also look at "stress testing" (as you implied you will be doing over the next couple of weeks). This could include imposing very negative slippage assumptions like buying at...
by Jake Carriker
Mon Dec 29, 2003 1:12 pm
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 15119

Chris, I primarily use Trading Recipes, and it does not support testing on timeframes smaller than daily. Therefore, I cannot really make any suggestions regarding applying systematic strategies to intraday timeframes. I am sure there are others in the forum that test intraday on Tradestation, Amibr...
by Jake Carriker
Mon Dec 29, 2003 9:31 am
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 15119

As an update to my last post, I have tested several versions of this type volatility exit with several types of medium to long term trend following systems using Trading Recipes. My conclusions are not surprising. Although an exit like this improves the backtested results of certain individual syste...
by Jake Carriker
Sun Dec 21, 2003 11:20 pm
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 15119

Hi guys, I'm a long time lurker, first time poster. I have heard this notion before, and when I saw it here I took it upon myself to test it a bit. Preliminary results show promise. I tested several versions and found that using a shorter period ATR (say 8-13 bars) and comparing it to a longer perio...