Increasing volatility as of late

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
LeviF
Roundtable Knight
Roundtable Knight
Posts: 1436
Joined: Mon Dec 22, 2003 12:24 pm
Location: Des Moines, IA
Contact:
Contact LeviF

Increasing volatility as of late

Post by LeviF »

Others experiencing the same?
Attachments
chart.jpg
chart.jpg (51.68 KiB) Viewed 3385 times
Top
sluggo
Roundtable Knight
Roundtable Knight
Posts: 2987
Joined: Fri Jun 11, 2004 2:50 pm

Post by sluggo »

It probably varies with (A) your portfolio, (B) your average hold time, (C) your risk management. Systems that reject trades and/or resize trades to keep total risk in a well defined & narrow range probably have a different profile than systems who take every single entry signal and do so at fixed %risk per trade. Run a half dozen systems having VERY different characteristics and compare the plots.
Attachments
couplea_breakouts.png
couplea_breakouts.png (36.48 KiB) Viewed 3334 times
Top
LeviF
Roundtable Knight
Roundtable Knight
Posts: 1436
Joined: Mon Dec 22, 2003 12:24 pm
Location: Des Moines, IA
Contact:
Contact LeviF

Post by LeviF »

Yeah, I suppose you're right. With forex, I havent found any meaningful/helpful way to group or limit instruments, and simply limiting portfolio risk seems to hurt performance.
Top
Post Reply

Return to “Testing and Simulation”