Search found 16 matches
- Tue May 10, 2005 1:57 pm
- Forum: Money Management
- Topic: Article: The Hidden Cost of the Stoploss
- Replies: 3
- Views: 6847
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...
- Mon Jan 24, 2005 8:11 pm
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14892
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...
- Mon Jan 24, 2005 12:50 am
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14892
- Sun Jan 23, 2005 11:29 pm
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14892
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...
- Sat Jan 22, 2005 7:31 pm
- Forum: Testing and Simulation
- Topic: Execution and slippage for MOO and MOC Orders
- Replies: 16
- Views: 14892
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.
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.
- Wed Dec 15, 2004 5:52 pm
- Forum: Money Management
- Topic: Diversification Question
- Replies: 16
- Views: 16933
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...
- Mon Dec 13, 2004 5:13 pm
- Forum: Money Management
- Topic: Diversification Question
- Replies: 16
- Views: 16933
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...
- Tue Dec 07, 2004 10:47 am
- Forum: Money Management
- Topic: Diversification Question
- Replies: 16
- Views: 16933
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...
- Tue Dec 07, 2004 7:25 am
- Forum: Money Management
- Topic: Diversification Question
- Replies: 16
- Views: 16933
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...
- Tue Dec 07, 2004 7:13 am
- Forum: Money Management
- Topic: Diversification Question
- Replies: 16
- Views: 16933
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...
- Mon Dec 06, 2004 11:49 pm
- Forum: Money Management
- Topic: Diversification Question
- Replies: 16
- Views: 16933
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...
- Sun Dec 05, 2004 4:11 pm
- Forum: Money Management
- Topic: Proper use of open, closed, and hybrid trade equity?
- Replies: 2
- Views: 4480
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...
- Sun Dec 05, 2004 11:32 am
- Forum: Money Management
- Topic: Proper use of open, closed, and hybrid trade equity?
- Replies: 2
- Views: 4480
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 ...
- Wed Dec 01, 2004 4:31 am
- Forum: Money Management
- Topic: FIxed fraction sizing conflicts with % risk sizing?
- Replies: 4
- Views: 6572
- Wed Dec 01, 2004 2:28 am
- Forum: Money Management
- Topic: FIxed fraction sizing conflicts with % risk sizing?
- Replies: 4
- Views: 6572
- Wed Dec 01, 2004 12:13 am
- Forum: Money Management
- Topic: FIxed fraction sizing conflicts with % risk sizing?
- Replies: 4
- Views: 6572
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...