carnivores eh?!Chris67 wrote: its a bugger that some groups like meat
but to paraphrase the well known australian natural philosopher Michael Dundee:
"You can live off it , but it trades like shit!"
If you are fully loaded (ie the risk to stop levels of all positions in the portfolio is 40%) and all positions simultaneously hit their stop level and you exit the positions at that level, then you will lose 40% of the portfolio by value. A $100m portfolio will be reduced to $60m.Max Sector Risk: 10%
Max Total Risk: 40%
Anthony would you be so kind as to post a table of the data that this graph is based on? I would like to do a version adjusted for inflation. Without adjusting for CPI the 1980s and 1990s systems such as turtles looked better than they were.AFJ Garner wrote:For the sake of completeness here is Turtle 1970 to end 1990. Again using the same settings as in the article except for the end date of the test.
Could you clarify one point about the parameters of the modified turtle system?AFJ Garner wrote: As I stated in the article, main parameters used were as follows:...
You make some very good points.Chris67 wrote:Stopsareforwimps - I get a feeling your analysis / assumptions are going down the wrong path for adjusting historical returns for inflation
I try to match my holdings to my expected future consumption. To the extent that some of my future consumption is Martin Randall tours I need some holdings in GBP. As most of my consumption is local I think it makes sense to have a bias to my local currency. On the other hand a friend of mine, who came here a while back from the then chaos of Argentina, advises me to treat living in any country as a temporary situation - things can go bad quickly and you need to be in a position to move on if need be. If you accept that, a basket would be better.AFJ Garner wrote:Construction of the basket is a whole topic in itself. Rather like the argument against market cap weighting for stock investment, do you really want the great majority of your assets in USD or Yen or whatever? Or would you prefer a more equal weighted approach?
How can this be modified for those of us that don't have Builder?AFJ Garner wrote:Sluggo reminded me today that the 3rd line of the Can Fill Order Script of the Thermal BBBO RM Blox needs to be "commented out" for a sytem such as the Donchain which uses stops. For anyone trying to duplicate my results using the Blox suggested above, this change is vital.
Code: Select all
IF (order.IsEntry != TRUE) THEN IF (FindString(order.executionType, "Stop") != -1) THEN ' order.Reject( "So called stops are not honored" ) ENDIF ENDIF