Search found 20 matches
- Mon Sep 22, 2003 10:35 am
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52301
- Sat Sep 20, 2003 2:07 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52301
ATR, stops, positions size, etc.
You said, "even with no stop." How do you plan to size your positions? ...You see after all you’re stops matter; the size of your position depends on the stop ‘you’ pick. Hi Menelik, I believe you've hit on a common misconception, which is that "position sizing depends on the s...
- Sat Sep 13, 2003 6:48 pm
- Forum: Trader Psychology
- Topic: Which is harder for you folks?
- Replies: 9
- Views: 10623
Learning
I have vivid memories of my childhood violin teacher's instructions. "Every time you play a passage wrong," he would say, "you have to play it right 10 times to unlearn the mistake." His advise on learning a piece of music was for the student to listen to a good recording of it o...
- Wed Aug 27, 2003 12:49 pm
- Forum: Futures Markets
- Topic: Margin calculations
- Replies: 3
- Views: 5670
SPAN
Before I start digging around, you wouldn't happen to know where I could get examples of code (any language but Basic would be good) for writing my own Span calculation modules, would you? Hi Vince, I'm not aware of any code out in the public domain, but I haven't done a thorough search. Can the ca...
- Wed Aug 27, 2003 11:27 am
- Forum: Futures Markets
- Topic: Margin calculations
- Replies: 3
- Views: 5670
- Wed May 14, 2003 2:12 pm
- Forum: Money Management
- Topic: Research papers
- Replies: 5
- Views: 7462
Hi enigma, Much of academic finance deals with portfolios of assets that are bought and held, or the selection of securities that may comprise an asset class; managed futures would typically be represented as a single asset stream that is held as part of a larger portfolio. Studying the bet-sizing r...
- Tue May 06, 2003 12:48 pm
- Forum: Testing and Simulation
- Topic: Portfolio Selection
- Replies: 57
- Views: 68057
- Tue May 06, 2003 12:14 pm
- Forum: Testing and Simulation
- Topic: ;-)
- Replies: 16
- Views: 14041
- Thu May 01, 2003 5:48 pm
- Forum: Stocks
- Topic: Stock data
- Replies: 7
- Views: 9161
re: Stock data
Hi Forum Mgmnt, Do you mind taking a minute to specifically address the issue of survivorship bias? When testing a momentum strategy, for instance, I can't help thinking that the absence of (now delisted) companies such as Netscape, and Ascend, just to name two, could have a significant impact on re...
- Thu May 01, 2003 5:20 pm
- Forum: Trader Psychology
- Topic: I Hate Myself
- Replies: 19
- Views: 26618
re: I Hate Myself
Hi Toby, I think we've all experienced the same level of frustration at one time or another, so don't sit around and beat yourself up over it! But do take the time to absorb and seriously contemplate what Sir G and Kiwi were kind enough to offer; namely, good advice and good food for thought. It's p...
- Thu Apr 24, 2003 11:57 am
- Forum: Testing and Simulation
- Topic: Confirming Robustness
- Replies: 10
- Views: 9666
Robust and Adaptable
How about the scorpion as a model of robustness adaptability? They've been around for a while, too. In fact, a rancher friend recently told me that scorpions and cockroaches rarely inhabit the same locale because (beside having diametrically opposed climatic preferences), scorpions will dine on roac...
- Tue Apr 22, 2003 3:50 pm
- Forum: Trend Indicators and Signals
- Topic: VERY long term trends.
- Replies: 6
- Views: 9575
re: VERY long term trends
There are some enormous moves in nearly all markets...With a very big picture mindset, I can see great potential for strategic position accumulation over a very long period of time... There are whales to be ridden. I am pretty sure the idea of chasing these VLT moves can easily be dismissed by some...
- Mon Apr 21, 2003 6:48 pm
- Forum: Trader Psychology
- Topic: Interesting study on predicting prices
- Replies: 3
- Views: 6027
re: Interesting study on predicting prices
Great post, yp. Thanks.
There was an excellent section on actuarial versus subjective decision making in James P. O’Shaughnessy’s What Works on Wall Street. The 2nd chapter, entitled “The Unreliable Experts: Getting in the Way of Outstanding Performance,â€
There was an excellent section on actuarial versus subjective decision making in James P. O’Shaughnessy’s What Works on Wall Street. The 2nd chapter, entitled “The Unreliable Experts: Getting in the Way of Outstanding Performance,â€
- Sun Apr 20, 2003 3:11 am
- Forum: Trader Psychology
- Topic: Mindset: being who we believe we can be
- Replies: 9
- Views: 11468
Mindset: being who we believe we can be
[quote]I believe that if we have desires beyond where we currently are… that we aren’t where we want to be, we have somehow limited ourselves.
In your minds eye, think of ... whoever it is that you “believeâ€
In your minds eye, think of ... whoever it is that you “believeâ€
- Thu Apr 17, 2003 5:33 pm
- Forum: Stocks
- Topic: Interesting article about stocks fraud
- Replies: 8
- Views: 11588
re: story about future traveler
"Unfortunately, Yahoo!, a primary news source for many people on the Internet, reprints some Weekly World News..[but]...doesn't convey a strong 'bogus' warning to readers who don't notice the original source is the Weekly World News"
http://66.165.133.65/humor/iftrue/insider.htm
http://66.165.133.65/humor/iftrue/insider.htm
- Thu Apr 17, 2003 2:56 pm
- Forum: Market Psychology
- Topic: How does market psychology affect trading?
- Replies: 3
- Views: 13211
re: Very Good
Thanks, SirG.
That's Samurai Trader's Maxim Number One from Zen in the Markets, by Edward Allen Toppel. I should have attributed it earlier.
Excellent book, by the way. It got bylines by Milton Friedman, Jack Sander, and Leo Melamed.
- Howard
That's Samurai Trader's Maxim Number One from Zen in the Markets, by Edward Allen Toppel. I should have attributed it earlier.
Excellent book, by the way. It got bylines by Milton Friedman, Jack Sander, and Leo Melamed.
- Howard
- Thu Apr 17, 2003 12:28 pm
- Forum: Testing and Simulation
- Topic: Computing the MAR Ratio - Using what sort of drawdown?
- Replies: 4
- Views: 10495
re: Computing the MAR Ratio
Yes - TR calculates MAR as CAGR / MaxDD, and as yp said, it uses the closed daily MaxDD of total equity. I read somewhere recently that hedge fund rating agencies typically use end-of-month data points to calculate MaxDD, whereas CTAs are subject to MaxDD scrutiny on a daily time-frame. Can anyone c...
- Thu Apr 17, 2003 2:27 am
- Forum: Market Psychology
- Topic: How does market psychology affect trading?
- Replies: 3
- Views: 13211
re: How does market psychology affect trading?
Is market psychology important only when you are not trading a mechanical system? Doesn't a system take the psychology part out of it? George, There are a number of psychological factors which shape any investment decision-making process, many of which can exert an influence even in the design and ...
- Wed Apr 16, 2003 3:54 pm
- Forum: Testing and Simulation
- Topic: Maximum Adverse Excursion
- Replies: 16
- Views: 17784
Maximum Adverse Excursion
I’m curious to find out if anyone has had success employing the concept of Maximum Adverse Excursion. My understanding of the concept is that it is a practical application of the adage that, "The best trades never go very far against you." The literature I saw on the matter some time ago...
- Wed Apr 16, 2003 1:28 pm
- Forum: Testing and Simulation
- Topic: Fixed Fraction vs. other creative money management methods
- Replies: 6
- Views: 16081
Several of my preferred systems seem to perform better and better (higher and higer reward/risk ratio) as I increase heat, using a constant-percent-risk betsize protocol. Unfortunately the drawdowns get bigger than I can psychologically stand. That's an interesting observation, and one of the few e...