Search found 3 matches

by Hubster
Wed Jun 01, 2005 5:22 pm
Forum: Money Management
Topic: risk control in all-in portfolio system
Replies: 11
Views: 9200

And TrendMonkey you led me into my 2nd question: Has anybody ever researched the idea of trading a system across a portfolio of commodities, but adding or removing markets (e.g., corn) based on the trendiness of the particular market. This would assume you could somehow measure/quantify how well (or...
by Hubster
Wed Jun 01, 2005 5:12 pm
Forum: Money Management
Topic: risk control in all-in portfolio system
Replies: 11
Views: 9200

damian, By typical 1-2% i was referring to how it is often said that you shoudn't risk more than 1-2% on any trade. Such a rule doesn't seem applicable to an all-in system, since in such a system you don't abandon a trade once you lose 1-2%, but rather you take a loss until you get a reversal signal...
by Hubster
Wed Jun 01, 2005 12:10 pm
Forum: Money Management
Topic: risk control in all-in portfolio system
Replies: 11
Views: 9200

risk control in all-in portfolio system

Here is an issue i'm struggling with: I developed a system that is always in the market, that is, each signal is a reversal signal. There also an algorithm that indicates how much to trade. It trades several markets at once, a portfolio, for example 10 futures markets at once. However, how do i know...