Traders' Roundtable

jason- true, but i think you have slightly misinterpreted my point, what you describe appears to be more a question of investors and their appetite for leverage. I was trying to convey that by optimizing on historical smoothness, you increase the chance of departure from this in walkforward. accepti...

Jason- very nice analogy Stan, - ok online this is gonna come across as a bit aggressive against your posts, apologies, but here goes: "The Industry" is awash with analysts and reports and expert opinion. It would have you believe that they can give you edge. The truth is that no prop trad...

ok this is a bit of a topic drift but [*]Use an optimization criterion that prizes smoothness of the equity curve , such as the R-squared correlation between the equity curve and a perfectly straight line Many individuals prefer a smooth ride too. sure sure, you are quoting from educated traders sta...

great thread. i see the pros and cons for individual vs group optimization, but here is something i thought of, as a possible weakness in combined portfolio optimization. say you take a simple one size fits all approach to parameter optimizing, you need to be aware that you are open to considerable ...

a bit of a side topic, but relevant to the post further up the thread: i place trades with a volatility sizing method where big vol-->smaller size. I analysed my historic trades, and wondered how each particular "tranche" of sizing contributed(i.e. 50-100%avg size, 100-200%avg size and 200...

Neil, I believe you have perhaps failed to see the full picture w.r.t. advantages/disadvantages of time based channel and atr based trailing stops. I hope you can follow my workmanlike explanation: Generally when observing the diffusion of price over time you can look at it in two ways: 1) Define ti...