Search found 11 matches

by jimsta
Tue Dec 23, 2003 4:45 am
Forum: Money Management
Topic: If ATR doubles - Get Out ????
Replies: 11
Views: 13406

A doubling of N sounds like a volatility breakout. In 5 years trading that has been my only in signal. If the trades going in the right direction then great, if not get out.
by jimsta
Sun Dec 21, 2003 8:55 pm
Forum: Money Management
Topic: Correlation
Replies: 19
Views: 13829

Interesting topic. I have found correlation to be like picking direction ( long or short ). Because the instruments go up and down in an apparent random, so must the interaction between them. Fund managers are always rebalancing their portfolios in an attempt to avoid one area becoming the dominant....
by jimsta
Tue Nov 25, 2003 4:43 am
Forum: Money Management
Topic: Closed-trade vs. open-trade drawdown
Replies: 3
Views: 6211

Open or closed

To me closed drawdowns are like the backtesting regime. They are the history that got the account this far. They represent the huge subject of how to measure systems, that I have yet to see a failsafe answer for. Emotionally live drawdowns are the worry, fear of that ultimate draw down that takes al...
by jimsta
Sun Sep 14, 2003 1:47 am
Forum: Testing and Simulation
Topic: Weight assignment to indicators
Replies: 7
Views: 5667

I have seen an example where many different moving averages are used at once, When they all have the same value it is taken as a signal. It looked impressive. Anything that distracts one from the price change looks risky to me. While busy watching this "indicator" the eyes are not on what is happeni...
by jimsta
Sun Sep 14, 2003 1:18 am
Forum: Testing and Simulation
Topic: Random Trades
Replies: 12
Views: 11904

Interesting posts. Random entry is one thing, but random exit is another. Any random exit will automatically revert to zero. A statistical hypothesis is a claim that a result can be obtained from a sample test. The level of significance is determined by the rejection region of the bell curve. The ta...
by jimsta
Mon Aug 18, 2003 5:06 pm
Forum: Testing and Simulation
Topic: Historical Data
Replies: 31
Views: 29221

The first question asked what type of data and where from. Where from, I have tried a variety of user pays providers for both stocks and futures and found most of them satisfactory for both data and histories, if they are popular its probably because they are ok. What type, is by far the more import...
by jimsta
Thu Aug 14, 2003 7:30 am
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 12159

PS

What Mark actually said, was that the parameters are the only constant in the situation he described. I agree. When I said in my most recent post that the data was the only thing that had changed, I ignored the component that says who the user of the system was. Because what was meant, was to focus ...
by jimsta
Thu Aug 14, 2003 6:50 am
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 12159

Word meanings

Firstly I would like to thank the authors of those recent comments, some of their contributions bought me to this forum, after their excellent contributions to Chuck's forum. It depends what is meant by the words used. Data is what the system is run over, eg, the OHLC EoD for the chosen vehicle, lik...
by jimsta
Sun Aug 10, 2003 2:03 am
Forum: Testing and Simulation
Topic: Stat analysis of curve-fitting
Replies: 16
Views: 12159

Stat analysis of curve fitting.

First up, if by curve fitting you mean getting a sample of data and running your system over it until you have tweaked it enough to get the optimal result, then I'd call that curve fitting. If you mean testing your method to get the different elements to work together properly then I think that is o...
by jimsta
Sat Aug 02, 2003 1:14 am
Forum: Testing and Simulation
Topic: Long Term vs. Short Term Strategies
Replies: 8
Views: 8195

Long or short term.

The original post started of with the premise of randomness in short time frames. When the amount of information to be gathered is small its statistical integrity cannot be guaranteed. There is clear rules about sample sizes. A popular measure is the moving averages, you need longer time frames for ...
by jimsta
Wed Jul 23, 2003 6:31 am
Forum: Testing and Simulation
Topic: Benchmark Test Data
Replies: 15
Views: 13284

Data

Data is the heart of the whole issue for me. I took statistically acceptable sample sizes* from a wide variety of data, including from different times, commodities, currencies,American and Australian stocks and randomly generated from the spreadsheet. When I compared them in an unadulterated form th...