Search found 19 matches
- Sun Mar 26, 2006 3:49 pm
- Forum: Testing and Simulation
- Topic: Is Monte Carlo Analysis Useful?
- Replies: 6
- Views: 7479
Faulting Monte Carlo by saying that it cannot account for correlation is like faulting Calculus because it is limited to single variables. That's an incorrect claim. Correlation can definitely be accounted for in Monte Carlo analysis. There are standard techniques of accounting for correlation and l...
- Fri Mar 10, 2006 12:13 am
- Forum: Testing and Simulation
- Topic: Risk Reward Ratios
- Replies: 6
- Views: 6576
Hedge fund managers have to please their clients, the majority of whom seem to prefer a steady stream of returns rather than absolute returns. Look at Toby Crabel's performance - great in risk-adjusted metrics, not so great in absolute returns. The net result is that his is one of the bigger hedge f...
- Thu Mar 09, 2006 12:33 am
- Forum: Testing and Simulation
- Topic: Difference Between Exponential and Simple Moving Averages
- Replies: 7
- Views: 9265
Here's an equity curve comparison for one system, with ATR measured as 1. a simple moving average (SMA); 2. an exponential moving average with smoothing factor 1/n (Wilder's EMA), and 3. the traditional 2/n smoothing factor (Traditional EMA). Wilder's EMA and the simple moving average provide simila...
- Wed Mar 08, 2006 11:53 pm
- Forum: Testing and Simulation
- Topic: Difference Between Exponential and Simple Moving Averages
- Replies: 7
- Views: 9265
Thanks to everyone for their answers. In my opinion, it seems reasonable to relate the smoothing factor to the length. With a simple moving average, the length is a necessary ingredient, and exponential moving averages are typically expressed in terms of length, 10-day, 50-day, 100-day, etc., so I t...
- Tue Mar 07, 2006 11:10 pm
- Forum: Testing and Simulation
- Topic: Difference Between Exponential and Simple Moving Averages
- Replies: 7
- Views: 9265
Difference Between Exponential and Simple Moving Averages
I use average true range to measure volatility for setting stops, position sizing, etc. I use both Trading Recipes and Tradestation, and have learned from doing comparison tests that the two programs calculate ATR differently. TR calculates ATR as an exponential moving average (the same way Welles W...
- Sun Feb 19, 2006 11:49 pm
- Forum: Testing and Simulation
- Topic: Recent Trend-following system performance
- Replies: 11
- Views: 12352
Recent Trend-following system performance
[MODERATOR'S NOTE: This posting and the two that follow were split from another topic on the "Top 10 Trading Systems of All Time"] >I won't be too harsh judging mechanical systems performance from the >last few years, especially 2005. From the 2005 public funds return >(futures mag, same i...
- Sun Jan 08, 2006 9:39 pm
- Forum: Money Management
- Topic: Ryan Jones on his Fixed Fractional strategy.......
- Replies: 12
- Views: 19710
Fixed Ratio Vs. Fixed Fraction
I personally am not a big fan of fixed-ratio position sizing either. Just for fun, I thought it would be an interesting exercise to update Mark Johnson's test in Trading Recipes. Attached is a comparison chart using the same 89-13 channel breakout system, with the same portfolio that Mark Johnson us...
Jim Rogers fund affected by Refco debacle
From http://today.reuters.com/investing/financeArticle.aspx?type=bondsNews&storyID=2005-10-20T205909Z_01_N20537083_RTRIDST_0_FINANCIAL-REFCO-ROGERS-UPDATE-3.XML NEW YORK, Oct 20 (Reuters) - A commodities fund backed by investor Jim Rogers said on Thursday it was unlikely to allow clients to imme...
Is Man next?
From - http://www.theglobeandmail.com/servlet/ArticleNews/TPStory/LAC/20051010/RHEDGE10/TPBusiness/Canadian "The U.S. Securities and Exchange Commission has also begun an informal inquiry into allegations that the U.S. brokerage arm of Man Group PLC, one of the world's largest hedge fund compan...
Update
I closed my Refco LLC account Friday morning, and it took until Monday afternoon for them to wire my funds. I spoke with client services Monday morning, and they told me that they were deluged with withdrawal requests and were backlogged. I wonder if there will be any Refco customers left after this...
- Sun Feb 22, 2004 10:49 am
- Forum: Trader Psychology
- Topic: Has any one taken Van K. Peak Performance Home Study Program
- Replies: 15
- Views: 23428
Entries and Exits
I don't recall Tharp making the claim that exits are more important than entries in his PP course, but somewhere in either PP or his Trading System Development course he shows backtest results for a random entry system with traditional trend-following exits that shows profits consistent with other l...
- Tue Feb 17, 2004 2:47 pm
- Forum: Trader Psychology
- Topic: Has any one taken Van K. Peak Performance Home Study Program
- Replies: 15
- Views: 23428
Van Tharp - lots of useful information, but some fluff too.
I found the Peak Performance home study course to be very useful. In addition to the psychological/discipline information, Tharp does some NLP modeling of two traders - one succesful anonymous discretionary trader (who seems a lot like Larry Williams), and one successful systems trader (who seems a ...
- Sun Feb 08, 2004 11:21 pm
- Forum: Money Management
- Topic: The Myth of Mathematics
- Replies: 8
- Views: 9669
Correlation
Correlation can be handled using Monte Carlo simulation. Most decent Monte Carlo software packages, such as Crystal Ball and @Risk, allow for correlation.
- Fri Feb 06, 2004 9:23 pm
- Forum: Market Psychology
- Topic: Are Stock Indices Different?
- Replies: 12
- Views: 27237
The following reply to Van's post is also illuminating:
http://mastermindforum.com/phorum/read. ... 929&t=5833
http://mastermindforum.com/phorum/read. ... 929&t=5833
- Tue Feb 03, 2004 5:04 pm
- Forum: Trend Indicators and Signals
- Topic: Asymetric Trend Trading
- Replies: 3
- Views: 8459
Asymmetry for Trend Following Longs and Shorts
Peter Aan has done some research in this area and it's published in the documentation for his "Mystery System." The optimized version of the Mystery System is asymmetric. [I have no relation to Peter Aan other than being a satisfied customer of his relatively cheap [$95] research report on...
- Fri Jan 16, 2004 9:26 am
- Forum: Money Management
- Topic: The Myth of Mathematics
- Replies: 8
- Views: 9669
Theory of Runs
Actually, Chris, the topic you've brought up is treated very extensively in mathematics and it's called the "theory of runs." Your example is the following: if the probability of a winning trade = 0.5, then the probability of three losses in a row in three trades is 0.5^3 = 0.125. You then...
- Sun May 25, 2003 11:56 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 34049
- Wed Apr 23, 2003 7:44 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26824
Hi Forum Mgmnt, What you've described is a form of Monte Carlo simulation - sampling from a histogram based on historical data, even one modified to account for fat tails, is just as much a form of Monte Carlo as is anything else. Also, it is possible to perform correlated (i.e., non-independent) Mo...
- Sun Apr 20, 2003 10:10 pm
- Forum: Testing and Simulation
- Topic: Portfolio Selection
- Replies: 57
- Views: 68413