Has anyone here varied position size on index futures based on the combination of volatility and trend?
I'm thinking larger in uptrends when volatility is low, and a different set of rules when there is a downtrend.
Any reports?
Search found 126 matches
- Sun Oct 05, 2008 9:25 pm
- Forum: Money Management
- Topic: Position Size, Volatility, and Trend
- Replies: 4
- Views: 5796
- Sun Oct 05, 2008 4:32 pm
- Forum: Futures Markets
- Topic: too much bad news no 87 scenario yet
- Replies: 26
- Views: 23071
Usually, as long as people believe or hope it'll soon get better, it's not over. It only get's better, when none are left with optimism. Then they ring the bell ... or don't they? :wink: Regards, Asamat SOMEBODY always has optimism at the bottom. You know how I KNOW this? Because there was a tick t...
- Thu Sep 04, 2008 4:33 pm
- Forum: Futures Markets
- Topic: E-mini Russell 2000 Futures
- Replies: 8
- Views: 9344
- Wed Aug 27, 2008 8:37 pm
- Forum: Data Providers and other non testing software
- Topic: Database of fundamental stock data
- Replies: 4
- Views: 4821
Try also: * the AAII and their computerized investing data; it lacks on the technicals but has a wealth of fundamental data. * Keelix.com uses AAII data going back 11 years (in different evaluation intervals) for fundamental testing * the Motley Fool has a mechanical investing forum, and their membe...
- Tue Jun 17, 2008 9:49 am
- Forum: Market Psychology
- Topic: Placing Orders in the Market
- Replies: 1
- Views: 7586
- Sat May 31, 2008 8:53 am
- Forum: Trend Indicators and Signals
- Topic: professional traders idea & help
- Replies: 7
- Views: 8256
- Fri May 30, 2008 5:07 am
- Forum: Trend Indicators and Signals
- Topic: professional traders idea & help
- Replies: 7
- Views: 8256
Look here for some definitions, including that for the PPO. You can create it on a spreadsheet. http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators Add columns for PPOs with different parameters of long and short moving averages. Examine the average return when different rang...
- Thu May 29, 2008 8:58 am
- Forum: Trend Indicators and Signals
- Topic: professional traders idea & help
- Replies: 7
- Views: 8256
I've been informed it's in India. Cool. It looks like most stock indices in terms of trend-following; intermediate-strength trends follow through, very strong trends (think percentage-based moving average convergence/divergence or PPO) tend to mean-revert, and there's a slight upward bias. If I were...
- Thu May 29, 2008 8:19 am
- Forum: Trend Indicators and Signals
- Topic: professional traders idea & help
- Replies: 7
- Views: 8256
- Fri May 23, 2008 3:06 pm
- Forum: Trader Psychology
- Topic: Trusting your system
- Replies: 24
- Views: 33199
- Tue May 20, 2008 3:53 pm
- Forum: Testing and Simulation
- Topic: Conceptualizing ideal bet size
- Replies: 4
- Views: 4976
Don't underestimate the power of randomness. Perform the following Monte Carlo in your spreadsheet of choice. Pick an odds of winning (P), a bet size (R), and a payoff ratio of wins to losses (WL). Maybe P = 35%, R = 1%, and WL = 2:1. This is a positive expectancy system, winning 2% on wins and losi...
- Mon May 19, 2008 1:48 pm
- Forum: Testing and Simulation
- Topic: CFD and transactions cost, really shocking and interesting!!
- Replies: 3
- Views: 3443
The three advantages of the futures contracts are (1) leverage, (2) low transaction expense, and (3) leverage. With those three advantages, applied across a lot of markets simultaneously, it's a lot easier to make simple trend-following systems work than it is without them. Your filters for which ma...
- Sun May 18, 2008 8:09 pm
- Forum: Futures Markets
- Topic: Is anybody long silver still?
- Replies: 3
- Views: 5016
- Thu May 15, 2008 7:40 am
- Forum: Testing and Simulation
- Topic: Form papertrading to trading, is the risk OK?
- Replies: 3
- Views: 3505
How much money does your system require, at a minimum, in order to trade it as tested? Don't tell me! Just think about that number. Now think about how you'd FEEL if you started trading it today, and by the end of 2008 you had LOST 2/3 OF IT! Would that stop you from continuing to trade the system? ...
- Tue May 13, 2008 10:20 am
- Forum: Testing and Simulation
- Topic: Common sense defied...
- Replies: 11
- Views: 7625
I can think of a reason: signal to noise ratio can be higher with less frequent updates. I've seen the same thing happen with tracking stocks' relations to a single moving average or to their 52-week high -- sometimes if you check every day, or intraday, you'll see lots of conflicting signals, but t...
- Sun May 11, 2008 9:18 am
- Forum: Testing and Simulation
- Topic: How to make profit in stock market
- Replies: 20
- Views: 18351
Check my first reply, I pointed you towards those who I believe have the best day-trading or very-short-term trading ideas. You may be able to codify a system from their material. I post my trading ideas and returns regularly on my blog. You can read it and my archives and decide for yourself if I'm...
- Fri May 09, 2008 5:24 pm
- Forum: Testing and Simulation
- Topic: How to make profit in stock market
- Replies: 20
- Views: 18351
- Fri May 09, 2008 2:14 pm
- Forum: Testing and Simulation
- Topic: How to make profit in stock market
- Replies: 20
- Views: 18351
Also from the Trading Blox home page: We have three great products for the needs of every trader: 1) Trading Bloxâ„¢ Turtle -- an excellent starting platform. Includes three great systems (Turtle, Triple Moving Average, and Donchian), plus all the bells and whistles of our high end backtesting and o...
- Fri May 09, 2008 9:49 am
- Forum: Testing and Simulation
- Topic: How to make profit in stock market
- Replies: 20
- Views: 18351
- Thu May 08, 2008 12:08 pm
- Forum: Testing and Simulation
- Topic: How to make profit in stock market
- Replies: 20
- Views: 18351