Search found 9 matches

by Neil
Wed Mar 03, 2004 7:40 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 148420

tables

Thanks Forum Mgmnt,

I looked at the Excel help files and you can select a bunch of cells, hold down shift, click on edit and it will allow you to copy as a .gif and paste it into a file.

regards, Neil
by Neil
Sun Feb 29, 2004 6:51 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 148420

optimal? f

Kevin, It's good to see optimal f get a good airing. I get the impression that Ralph Vince has just confused the issue. I find clarity in Van Tharp (trade your way to financial freedom, and Special report on money management) as well as Nauser Balsara's Money Management for Futures Traders. I apprec...
by Neil
Sun Feb 29, 2004 5:43 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 43833

pyramids

"How will that distribution change, when I introduce pyramiding." (Is this, what you are doing Neil?) I'm looking at the distribution of R-multiples to decide how much of my profits to risk to further positions and whether it is worth adding to a position at all. Positions added are addit...
by Neil
Sun Feb 29, 2004 6:18 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 148420

optimal f

All, Before I was aware of Kelly and just starting out learning to trade it crossed my mind that if you run a series of trades using 2% account size and then the same series using 80% the results were going to be very different to put it mildly. I decided to test it using excel. The system was a ver...
by Neil
Sun Feb 29, 2004 5:11 am
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 43833

Trend longevity

Shakyamuni, It seems that Veritrader does the job beautifully. The first page of the results shows a histogram and cumulative frequency chart of R-multiple distributions. Using this to deduce the probability of the trend contininuing and how much further it might go, I've managed to produce a chart ...
by Neil
Wed Feb 11, 2004 2:00 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 43833

trend longevity

Shakyamuni, I would define trend longevity in terms of R multiples. R being the initial risk. This would standardise all trends as all entries are made with 2ATR stops. Life gets a little complicated with contract rollovers but I would view these as a continuation rather than a new trade. It would b...
by Neil
Wed Feb 11, 2004 6:18 am
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 43833

pyramids and stops

Sebastian, I agree with you that an n day stop is certainly very good at trend following with the basic 4 entry turtle setup. My problem with it is that if you get lucky on a very strong trend, say a 6ATR move in 3 days, you cannot claim a profit for at least 20 days. This does not allow you to add ...
by Neil
Tue Feb 10, 2004 5:44 pm
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 43833

pyramids

I have been using a modified turtle sytsem for a few months now with good effect. Playing the market's money. 1. As soon as a position shows a stopped in profit, risk a percentage of that profit, 25%? and add a further trade with 2ATR entry. 2. As that extra position moves into open profit the stop ...
by Neil
Wed Jan 21, 2004 6:08 pm
Forum: Trend Indicators and Signals
Topic: EXIT signals ...
Replies: 29
Views: 40062

Volatility Stops

Babyturtle at last someone has mentioned ATR stops. If a 2ATR stop is good enough for the enty stop then why not use a larger multiple of ATR as a trailing stop. Say 3 or 3.5? when I compare this to to the price low of n days ago as a stop (as in the turtle system), I find that the ATR stop is super...