Search found 16 matches

by C3PO
Tue May 10, 2005 1:57 pm
Forum: Money Management
Topic: Article: The Hidden Cost of the Stoploss
Replies: 3
Views: 5744

Article: The Hidden Cost of the Stoploss

Just curious about what people here think of this article. The graphs for Figure 1 and Figure 2 are at the end of the article. The Hidden Cost of the Stoploss Robert Mcrae, Arcus Investment Risk control is a complex subject, and an area where simple and robust guides are particularly valuable. Few c...
by C3PO
Mon Jan 24, 2005 8:11 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 11741

So for NYSE stocks, does an MOO order means one will either get filled at the opening price or not get filled at all? For Nasdaq stocks, one will always get a fill, but the slippage can be significant because it's essentially a market order immediately after the market opens at 9:30? How does the Su...
by C3PO
Mon Jan 24, 2005 12:50 am
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 11741

I am referring to getting in on the open, the first trading price for the day.

Just to make sure we're talking about the same thing, I'm referring to the "Open" prices that you see in historical pricing data.
by C3PO
Sun Jan 23, 2005 11:29 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 11741

One clarification: I am interested in getting filled at the open price, not a market order immediately after the market opens. What is the best way to achieve this and what would be the percentage of trades that get filled? What is the best way to achieve this for NYSE and/or Nasdaq listed stocks? I...
by C3PO
Sat Jan 22, 2005 7:31 pm
Forum: Testing and Simulation
Topic: Execution and slippage for MOO and MOC Orders
Replies: 16
Views: 11741

Execution and slippage for MOO and MOC Orders

Can anyone comment on the slippage and executability of market on open and market on close orders for stocks?

1) Are you usually able to get fills at the MOO or MOC price?
2) If not, what is the slippage?

Let's say trade size is around 5,000 shares.

Thanks.
by C3PO
Wed Dec 15, 2004 5:52 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12610

I suspect your question comes more from the limits of products like TradeStation that don't allow you to do portfolio-level simulation than because the approach you are attempting to take makes sense in an objective sense. I don't use Tradestation or products like it. Kevin, thanks for your help. T...
by C3PO
Mon Dec 13, 2004 5:13 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12610

Kevin, I have read P. 159 of Portfolio Management Formulas along with the rest of the chapter. Thanks for the info. However, it doesn't address my question about one system's equity affecting the equity of another system when using the same pool of equity. It just says to use the same pool of equity...
by C3PO
Tue Dec 07, 2004 10:47 am
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12610

A conservative guy would assume that the trade which had gone already against him will turn out to be a loser and calculate the new risk as 0.18*640000. What is the rationale for using 640,000? System 1 is based on it's own rules that are independent of System 2. Without System 2, System 1 would ha...
by C3PO
Tue Dec 07, 2004 7:25 am
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12610

Example for two systems: System_1 : f = 0.18 System_2 : f = 0.2 1 st case: The two systems are independent When system_1 gives a signal allocate 0.16 of your capital to it When system_2 gives a signal allocate 0.18 of your capital to it Gbos, thanks for your reply. Lets stick with this example wher...
by C3PO
Tue Dec 07, 2004 7:13 am
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12610

Re: Optimal-f in a portfolio

Optimal-f concept is independent of the 2% risk per trade rule; Optimal-f is a rule unto itself. To make a comparison, let's say you were trading 30 markets. The simple equity allocation is 1/N, or 1/30, which is 0.0333 of total equity per market. With this level of capital, Optimal-f could be as h...
by C3PO
Mon Dec 06, 2004 11:49 pm
Forum: Money Management
Topic: Diversification Question
Replies: 16
Views: 12610

Diversification Question

Hello, I apologize if this is a beginner question, but I seem to be having trouble grasping how one should integrate fixed fraction position sizing with diversification. Below is an example. Starting Capital: $1,000,000 Markets Traded: 5 Optimal-f for market #1: .10 Optimal-f for market #2: .15 Opti...
by C3PO
Sun Dec 05, 2004 4:11 pm
Forum: Money Management
Topic: Proper use of open, closed, and hybrid trade equity?
Replies: 2
Views: 3537

Thanks for the reply. I was hoping that someone would confirm that my example is only a one market one position game, because I wanted to follow up with a question about diversification with fixed fraction. If I understand correctly, the purpose of using a fixed fraction is to achieve an optimal bet...
by C3PO
Sun Dec 05, 2004 11:32 am
Forum: Money Management
Topic: Proper use of open, closed, and hybrid trade equity?
Replies: 2
Views: 3537

Proper use of open, closed, and hybrid trade equity?

Hello, I have read a few posts on applying fixed fraction position sizing to either open trade equity (OTE), closed trade equity (CTE), or hybrid trade equity (HTE). However, I wanted to ask how this is used in practice. In the example below, it seems that the equity under all 3 methods will be the ...
by C3PO
Wed Dec 01, 2004 4:31 am
Forum: Money Management
Topic: FIxed fraction sizing conflicts with % risk sizing?
Replies: 4
Views: 5109

After reading your reply over a few times and other reading, I think I understand now. If I am not mistaken, you are saying that the Kelly ratio is one way of determining the "Account % Risk" in the formula you've given. So using the numbers from my example, the position size would be = ($1,000,000 ...
by C3PO
Wed Dec 01, 2004 2:28 am
Forum: Money Management
Topic: FIxed fraction sizing conflicts with % risk sizing?
Replies: 4
Views: 5109

Thanks for the reply. I think I have used incorrect terminology to describe my question so let me clarify. Please just assume that when I say "fixed fractional", I mean the Kelly ratio. As I understand the use of the Kelly ratio, you would bet 0.10 of your equity with each trade in the example I pro...
by C3PO
Wed Dec 01, 2004 12:13 am
Forum: Money Management
Topic: FIxed fraction sizing conflicts with % risk sizing?
Replies: 4
Views: 5109

FIxed fraction sizing conflicts with % risk sizing?

Hello, I apologize if this is a beginner question, but I seem to be confused about how fixed fraction position sizing (e.g., Kelly ratio) is supposed to work with % risk position sizing. I have spent some time searching the forums but did not find an answer. It seems to me that the two conflict with...