Search found 118 matches
- Tue Jul 08, 2003 7:26 pm
- Forum: Stocks
- Topic: shorting stocks
- Replies: 7
- Views: 11089
Hey Louis, To estimate conservatively, you should use the lowest price the following day for your entry point. It is rare not to get an execution all day long in equities (unless it's thin, or you're trading futures), so it's hard to imagine you'll need to go to a third day. Maybe you can use Single...
- Tue Jul 08, 2003 7:18 pm
- Forum: Testing and Simulation
- Topic: When to change system rules
- Replies: 9
- Views: 10458
Ok Enigma, no one answered this one yet, so I'll take a stab at it: In the purest sense, if you found better rules, trade the better rules. Having said that, no one can predict how good a system WILL BE, so maybe you can slowly roll into the new system. For example, you can allocate 25% of the money...
- Mon Jun 30, 2003 5:38 pm
- Forum: Brokers
- Topic: Interactive Brokers
- Replies: 20
- Views: 44456
I put in a message for the grains to be added to their system. They will get back to me on the A/C/E grains, but they have already notified me that if something is strictly pit traded, they won't have it available: it must be electronic. One more thing: checks that are deposited are not available fo...
- Mon Jun 30, 2003 8:55 am
- Forum: Brokers
- Topic: Interactive Brokers
- Replies: 20
- Views: 44456
specs on IB
Hi Damian, I was just about to start posting a sequence of threads of different firms that I have used when I saw your thread. I'm currently trading with Interactive Brokers, so I'll list everything down here: 1. I haven't seen anyone's commissions lower yet. 2. If you don't generate more than $30.0...
- Mon Jun 23, 2003 10:47 pm
- Forum: Trader Psychology
- Topic: Dos and Donts of Drawdowns
- Replies: 23
- Views: 30773
- Wed Jun 11, 2003 1:07 pm
- Forum: Money Management
- Topic: Algorithms for trading the equity curve
- Replies: 31
- Views: 36566
- Wed May 28, 2003 10:50 pm
- Forum: Forex
- Topic: Electronic Spot Forex Markets
- Replies: 14
- Views: 17669
Re: 2% margin
An example would be really helpful, because I don't know what "direction of the carry" and "assuming your positioned to recieve the carry" mean in context with various margin %'s. What are the fees: are there variable and fixed fees? Or just one or the other?
Thanks,
Edward
Thanks,
Edward
- Wed May 28, 2003 9:29 pm
- Forum: Testing and Simulation
- Topic: Win/ loss ratio and system expectancy
- Replies: 16
- Views: 16949
- Wed May 28, 2003 9:22 pm
- Forum: Forex
- Topic: Electronic Spot Forex Markets
- Replies: 14
- Views: 17669
Re: FX trading
Can you explain what you mean by the "2% margin or they will charge you carry even if interest rates are in your favor"?Jester wrote:Oh, one more important item. Make sure you sign up for 2% margin or they will charge you carry even if interest rates are in your favor.
Edward
- Sun May 25, 2003 1:05 pm
- Forum: Testing and Simulation
- Topic: Back Adjusting Futures Data
- Replies: 18
- Views: 18993
- Sun May 25, 2003 11:51 am
- Forum: Testing and Simulation
- Topic: System Diversification
- Replies: 11
- Views: 10545
Re: System Diversification
Almost five months later I’m currently in a drawdown of 20%, trading 12 times the number of contracts I was previously. Hi Gekko, AbsoluteReturn was asking why you are now trading twelve times as many contracts in real time vs. when you were testing, and that maybe you have a postition sizing iss...
- Fri May 23, 2003 1:39 pm
- Forum: Money Management
- Topic: perplexed: Position Sizing
- Replies: 10
- Views: 15568
Chuck said that when you had a drawdown you should not decrease the bet size. The reason he recommended this was that he demonstrated from a sequence of trades that when you reduced bet size you had an overall reduction in expectancy. The argument was posted to the Omega list where a better statist...
- Fri May 16, 2003 7:27 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 34043
Re: Seykota's Lake Ratio
People who love the MAR measurement are probably not going to like the Lake Ratio. The Lake Ratio includes all drawdowns in its construction, not just the maximum drawdown. If system A has one 30% drawdown and lots of 10% dd's, while system B has one 20% drawdown and lots of 15% dd's, Lake Ratio wi...
- Fri May 16, 2003 6:10 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 34043
Seykota's risk management web page - Lake Ratio description
http://www.seykota.com/tribe/risk/index.htm Ed Seykota wrote a small piece on risk management, which is an extension of the coin flip risk model he worked on with Dave Druz. He also covers other topics such as portfolio selection, the Lake Ratio, and trading psychology, in brief. Talking about Seyko...
- Wed May 14, 2003 2:52 pm
- Forum: Stocks
- Topic: Market Volatility
- Replies: 7
- Views: 10093
Hi Enigma, There are two separate issues that you are inquiring about. The level of the index does NOT imply the level of volatility. 10% volatility is 10% volatility, no matter what the level is. The markets can fluctuate 10% if the Dow is at 10,000, just as it can when it was at 1,000. The second ...
- Wed May 14, 2003 2:20 pm
- Forum: Testing and Simulation
- Topic: Hypothetical vs real time results.
- Replies: 9
- Views: 8656
Hey Damian, The spreads on certain mini contracts are much wider than the full contract, while others have better liquidity and volume. Let's say at midnight Eastern Standard Time, the full Yen (12.5 million) will look like this: 300 bid .008621, 120 ask .08624 while the mini contract will look like...
- Wed May 14, 2003 1:18 am
- Forum: Stocks
- Topic: Market Volatility
- Replies: 7
- Views: 10093
- Wed May 14, 2003 12:58 am
- Forum: Testing and Simulation
- Topic: Locked limit down/up
- Replies: 5
- Views: 6960
Hi Damian, When a market is locked limit up for several days in a row, the exchange will sometimes allow a range expansion for the limit moves. If you have a predetermined fixed amount for locked limits, can you automatically adjust for that in your system? I kind of like bbc's concept where no trad...
- Wed May 14, 2003 12:38 am
- Forum: Testing and Simulation
- Topic: Hypothetical vs real time results.
- Replies: 9
- Views: 8656
- Mon May 12, 2003 2:41 am
- Forum: Trend Indicators and Signals
- Topic: asymmetric bias in the markets?
- Replies: 7
- Views: 8318
Looks like we agree on a very similar note John - I talked about my system results in the first post, and my data for equities goes back 12 years. My cumulative profits came more from the downside even though the data I used has an upward bias (my data started in the Persian Gulf War time) - this MI...