Search found 14 matches
- Fri Jul 18, 2003 8:05 am
- Forum: Money Management
- Topic: Equity allocation for multi system trading
- Replies: 9
- Views: 9408
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...
- Fri Jul 18, 2003 8:02 am
- Forum: Money Management
- Topic: Equity allocation for multi system trading
- Replies: 9
- Views: 9408
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...
- Thu Jul 17, 2003 9:18 pm
- Forum: Money Management
- Topic: Equity allocation for multi system trading
- Replies: 9
- Views: 9408
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 (...
- Thu Jul 17, 2003 6:59 pm
- Forum: Money Management
- Topic: Equity allocation for multi system trading
- Replies: 9
- Views: 9408
- Wed Jul 09, 2003 4:41 pm
- Forum: Testing and Simulation
- Topic: Benchmark Test Data
- Replies: 15
- Views: 15569
- Wed Jul 09, 2003 4:37 pm
- Forum: Stocks
- Topic: shorting stocks
- Replies: 7
- Views: 11024
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...
- Mon Jul 07, 2003 6:28 pm
- Forum: Money Management
- Topic: Timid Equity / Bold Equity - Position Sizing Method
- Replies: 8
- Views: 13050
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...
- Mon Jul 07, 2003 5:42 pm
- Forum: Money Management
- Topic: Timid Equity / Bold Equity - Position Sizing Method
- Replies: 8
- Views: 13050
- Wed Jul 02, 2003 6:27 am
- Forum: Testing and Simulation
- Topic: Too Good to be True?
- Replies: 17
- Views: 18021
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...
- Tue Jul 01, 2003 5:34 pm
- Forum: Testing and Simulation
- Topic: Too Good to be True?
- Replies: 17
- Views: 18021
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...
- Tue Jul 01, 2003 1:34 pm
- Forum: Testing and Simulation
- Topic: Too Good to be True?
- Replies: 17
- Views: 18021
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 ...
- Mon Jun 30, 2003 9:28 pm
- Forum: Testing and Simulation
- Topic: Too Good to be True?
- Replies: 17
- Views: 18021
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...
- Mon Jun 30, 2003 4:30 pm
- Forum: Money Management
- Topic: Algorithms for trading the equity curve
- Replies: 31
- Views: 36343
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...
- Sat Jun 28, 2003 12:08 am
- Forum: Money Management
- Topic: Algorithms for trading the equity curve
- Replies: 31
- Views: 36343