Search found 14 matches

by steady_jake
Fri Jul 18, 2003 8:05 am
Forum: Money Management
Topic: Equity allocation for multi system trading
Replies: 9
Views: 7816

Dear Damian, Dear Sabrinian, I apologize for any sarcasm and thank you for bringing me to dimensions. :oops: Anyhow, I would take this opportunity to try to make my point clearer, if possible. Attributable to my ignorance, I have never seen a working money management model, which would apportion mon...
by steady_jake
Fri Jul 18, 2003 8:02 am
Forum: Money Management
Topic: Equity allocation for multi system trading
Replies: 9
Views: 7816

Dear Damian, Dear Sabrinian, I apologize for any sarcasm and thank you for bringing me to dimensions. :oops: Anyhow, I would take this opportunity to try to make the point, I was trying to make, clearer, if possible. Attributable to my ignorance, I have never seen a working money management model, w...
by steady_jake
Thu Jul 17, 2003 9:18 pm
Forum: Money Management
Topic: Equity allocation for multi system trading
Replies: 9
Views: 7816

Basically, you have a bunch of risk caps that ensure that you are diversified across sectors and do not have too much open risk in any one sector, market, or system. The reasoning behind this is that there doesn't seem too much diversification to be had within a sector. For example, US financials (...
by steady_jake
Thu Jul 17, 2003 6:59 pm
Forum: Money Management
Topic: Equity allocation for multi system trading
Replies: 9
Views: 7816

"There are some ideas so wrong that only a very intelligent person could believe in them" - George Orwell.
A Freudian slip, possibly?

J.
by steady_jake
Wed Jul 09, 2003 4:41 pm
Forum: Testing and Simulation
Topic: Benchmark Test Data
Replies: 15
Views: 12835

damian wrote:Dare I say it.... don't throw too many stones at me.... but could we use a randomly generated times series?
Just throw in fatter tails and skewed distribution. And whatever you may say about prices in general. That would be a "statistical" benchmark :wink: .

Jakub
by steady_jake
Wed Jul 09, 2003 4:37 pm
Forum: Stocks
Topic: shorting stocks
Replies: 7
Views: 9443

Re: Shorting Stocks

I have some prejudices here, but I think with reason. It seems to me that shorting stocks with a mechanical system would be difficult to do effectively, because the information flow on the short side is different from the information flow on the long side. Buying momentum longs tends to work becaus...
by steady_jake
Mon Jul 07, 2003 6:28 pm
Forum: Money Management
Topic: Timid Equity / Bold Equity - Position Sizing Method
Replies: 8
Views: 11378

Tomasz, ... you may find that on some occasions the %Risk model generates better returns while protecting your initial / timid equity equally well as the timid / bold equity model. And if so, what is the value of the timid / bold equity model? Let me look into this and get back to you in a couple of...
by steady_jake
Mon Jul 07, 2003 5:42 pm
Forum: Money Management
Topic: Timid Equity / Bold Equity - Position Sizing Method
Replies: 8
Views: 11378

Tomek, Now, I think that on the basis of those figures, you cannot claim that Timid & Bold approach allows you to increase profits WITHOUT increasing the drawdown. The logic of playing market's money as presented in Van's report is not to improve your reward to risk characteristics, but to go for th...
by steady_jake
Wed Jul 02, 2003 6:27 am
Forum: Testing and Simulation
Topic: Too Good to be True?
Replies: 17
Views: 15520

Forum Mgmnt, Damian was referring to CL (Crude Oil - Light) and KC (Coffee) futures prices Silly me.. What a shame... :oops: I was fixed on something referring to money management... You'll pretty quickly find out if your actual results don't match the testing, especially if you run historical tests...
by steady_jake
Tue Jul 01, 2003 5:34 pm
Forum: Testing and Simulation
Topic: Too Good to be True?
Replies: 17
Views: 15520

Dear Bondtrader, I think your input is very valuable. I agree that post dictive errors can be an issue if the system is not programmed properly. MetaStock is not free from this at all. Try to devise a system on the basis of the infamous ZicZac indicator, for example. The signals for trades made toda...
by steady_jake
Tue Jul 01, 2003 1:34 pm
Forum: Testing and Simulation
Topic: Too Good to be True?
Replies: 17
Views: 15520

Damian, thanks for encouragement. Please explain what do you mean by CL and KC? :( I did test the system with some mm models I know and all look more less equivalent. I still have to code a volatility-normalized model, though. Doug, thanks so much for your ideas. One other step that I would take is ...
by steady_jake
Mon Jun 30, 2003 9:28 pm
Forum: Testing and Simulation
Topic: Too Good to be True?
Replies: 17
Views: 15520

Too Good to be True?

MODERATOR'S NOTE: This topic was split from the "Trading the Equity Curve" topic in the Money Management forum. Forum Mgmnt, I have developed a system, which has confused me a little bit. I used to be day trading S&P's for a couple of years in the 90ties and after a break, I considered going into da...
by steady_jake
Mon Jun 30, 2003 4:30 pm
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 30866

But you may always move towards achieving this... :wink: By the way, I am curious if anyone of you would like to share their views on the possibility of curve-fitting money management models? And how the extent to which the mechanical system has been potentially curve-fitted can be statistically mea...
by steady_jake
Sat Jun 28, 2003 12:08 am
Forum: Money Management
Topic: Algorithms for trading the equity curve
Replies: 31
Views: 30866

To overcome this, the second method I have tested is as follows:
- only take the next trade if there has been an all time equity high within the last 20 trades.
Looks to me like a great way to curve-fit all sorts of things...or maybe I'm wrong...

Take care,

Jakub