Traders' Roundtable

Mark's method called ACD, its all explained in his book Logical Trader...
From what I can remember from looking at this book, Fisher spends lots of time talking about his method but he never explains how to calculate his "magic number." I think he said it had something to do with volatility, and ...

sluggo wrote:Clinton-Nasdaq boomlet

Was that followed by the Bush bustlet? But then the market improved after everyone saw Bush's bottom.

I just came across this interesting study of long-term memory in a stock market.


Using data from the London Stock Exchange we demonstrate that the signs of orders obey a long-memory
process. The autocorrelation function decays roughly as t^(-alpha) with alpha ~ 0.6, corresponding
to a Hurst ...

Menelik,

I'd like to better understand your reasoning. You have talked about having your own definition of risk. Please give an example or two of the kind of scenarios that you feel are better handled by your method than by the fixed stop. Also, when do you get out? If you don't use a fixed stop ...

I'm still trying to get a feel for this problem so I've been playing around with some stock data. I'm hoping to get some idea of what nasty surprises might be out there by looking at tomorrow's true range vs. today's atr (10-day average). Following Menelik's suggestion, I normalized both by today's ...

al2000 wrote:Using Interactive Brokers, the commission would be $78 ...

It doesn't really affect your argument, but I believe this should be $7.80.

Menelik,

I agree with you that a simple-minded use of ATR is probably not the final word on risk control. The thought of price fluctuations of 50% will make most folks a bit queasy, although this might be the result of an unconscious bias of using a too-long-term perspective. I just wanted to get ...

As I understand it, the use of ATR is an attempt to measure the actual dollar risk per unit traded. If I trade the same number of shares and there is a $5 move then my gain or loss is the same whether the unit price is $10 or $50. So if I am willing to risk a total of X and I will get out if the ...

Is there any tools that could simulate a probability distribution with a <0.5 hurst coefficient, I think this would give us more realistic results.

I can give you a procedure that will produce approximations of fractional Brownian motion. It's on page 495 of the book

Chaos and Fractals by ...

I think our mate Gordon the Moderator is prompting discussion threads and thought.

damian, that was my first thought, too. However, after being conditioned by other sites, my second thought was that Bondtrader was in for some serious flaming. :twisted:

What a pleasure it is to visit this site ...