 |
Trader's Roundtable
A forum for mechanical system traders.
|
 |
| View previous topic :: View next topic |
| Author |
Message |
ksberg
Roundtable Knight
Joined: 23 Jan 2004
Posts: 208
Location: San Diego
|
 Posted: Fri Sep 24, 2004 9:52 am Post subject: |
 |
|
| Forum Mgmnt wrote: | | If 3% is considered conservative, it's no wonder most traders lose money. |
LOL ... maybe a better term is realistic. IMHO, the numbers are starting to sound more in-line with reality (e.g. 1-2% vs. 8%). BTW: why would I bet 3% if it meant a nearly 50% chance of creating a 50% drawdown? To me, that doesn't make sense, and doesn't appear to be conservative.
One other triangulation on reality here. I think this optimal value all depends on the system and approach. Afterall, with 4 units scaling, default Turtle is really risking 4% per position. I have one option for "scaling into size" in my trade engine. Using this with "R11" would be betting 0.75% per trade at the above level; less than Turtle. The key difference is that Turtle doesn't always risk 4%, because not every signal scales.
Ok, so far we hadn't formally considered how to optimize systems that scale. Elsewhere in the forum, discussions suggested treating each scaled unit as a separate system [good idea: I just can't recall who mentioned it]. Using that technique would mean creating separate trade sets for each unit (all unit-1 trades, all unit-2 trades, etc), and optimizing on each set. We'd then have an idea of what would be optimal for each scaled unit.
Cheers,
Kevin |
|
| Back to top |
|
 |
yoyo2000
Roundtable Fellow
Joined: 30 Jan 2004
Posts: 58
|
| Posted: Sun Apr 16, 2006 10:54 am Post subject: |
|
|
c.f.，do you plan to publish your article ?
I'm longing for it  |
|
| Back to top |
|
|
|
|
You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot vote in polls in this forum
You can attach files in this forum
You can download files in this forum
|
|
FAQ
Search
Usergroups
Register
Profile
Log in to check your private messages
Log in
