Search found 51 matches

by yoyo2000
Sun Dec 13, 2009 9:34 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 29338

nodoodahs,I follow your key-words on google searching,but it'seem that the first and main results pointing to this forum :) and there is only mentions in brief found,as sluggo said. In my opinion,there are three kinds of performance indicators(PI,for short),the first kind is basic one,including net ...
by yoyo2000
Sun Dec 13, 2009 9:18 pm
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 5070

Yoyo2k, There was a blox posted that did calculate % daily return for ...... yes,that's what I will do,thanks. Of course it's possible to devise a trading system based on spot moves, and then apply it to futures contracts. ...... * the fact that leverage, once applied, is no longer constant and is ...
by yoyo2000
Thu Dec 03, 2009 10:36 am
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 29338

I search both Mark Johnson's figures and g.c.Ratio on google,but couldn't get valuable result.

that's why i post here for help.
by yoyo2000
Thu Dec 03, 2009 10:24 am
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 5070

nodoodahs,your thouhgt about ATR is very intelligent,yes,in general,low price results in a relative low price range in any market state,in this case,it's fine to use point-based price series. AFJ Garner,neither CSI nor blox provides unadjusted or spot data of my country's markets,so I have to collec...
by yoyo2000
Mon Nov 30, 2009 12:02 am
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 5070

Adrian77,sorry to reply so late. ATR is a great tech,but in some situation,percent move is better,for example,a 200 points move when the price is 1200 may be a huge move,but a it's only a minor step when the price is 4000. So it maybe better when applying both atr and percent move together,and selec...
by yoyo2000
Sun Nov 29, 2009 11:47 pm
Forum: Money Management
Topic: Seykota's risk management web page - Lake Ratio description
Replies: 21
Views: 29338

hi,ted,i'm interested in your words "...Why does Mark Johnson calculate and print a half dozen different goodness figures? Why did g.c. invent the g.c. Ratio? ..."
could you please post the links about Mark Johnson's figures and g.c.Ratio?
I could find them myself.
regards.
by yoyo2000
Mon Sep 21, 2009 10:49 pm
Forum: Testing and Simulation
Topic: indirect way to use percent-based indicators on BAC data?
Replies: 12
Views: 5070

indirect way to use percent-based indicators on BAC data?

From the algorithm,ony point-based indicators could be used directly on the back-adjusted continuous data,this bring much discommodiousness,is there any indirect way to use percent-based or absolute-price-level-based indicators on this kind of data? For the judgement of "if price go above 5% of last...
by yoyo2000
Mon Sep 21, 2009 9:35 pm
Forum: Testing and Simulation
Topic: Could percent-based indicators be used on RAD futures data?
Replies: 4
Views: 3442

Oh,thanks,sluggo,you are always so warmhearted,but my spoken english is so poor,i think i could not talk with Mr. Stridesman at all,even he wanna to talk with me :( so i prefer to paste data and process here,guys who are interested in the RAD data could discuss here. below is my example data. from t...
by yoyo2000
Mon Sep 21, 2009 1:43 pm
Forum: Testing and Simulation
Topic: Could percent-based indicators be used on RAD futures data?
Replies: 4
Views: 3442

unfortunately,I got a "The requested resource could not be loaded. libcurl returned the error:
Couldn't resolve host 'www.thomasstridsman.com'" error when I tried to access stridsman's web,could you please give me some other clues,please?

regards.
by yoyo2000
Mon Sep 21, 2009 4:58 am
Forum: Testing and Simulation
Topic: Could percent-based indicators be used on RAD futures data?
Replies: 4
Views: 3442

Could percent-based indicators be used on RAD futures data?

The RAD futures data from Mr. Strideman is a kind of continuous data which multiply a factor on the the data that should be adjustd,instead of moving it up or down to eliminate the price gaps. Strideman said,the RAD data could keep the percent-based relationship between price data.Well, in the case ...
by yoyo2000
Sat Sep 19, 2009 4:04 am
Forum: Testing and Simulation
Topic: up or down bias in back adjust continuous data?
Replies: 2
Views: 2015

Got it,thank you,7432.

The point is historical reality v.s. trading reality.
And I think,mybe it's reasonable to remove the bias from inflation when there are more than 10 years,but others bias is from the adjusting rules of continuous data,it's inherent.

regards.
by yoyo2000
Thu Sep 17, 2009 11:12 am
Forum: Testing and Simulation
Topic: up or down bias in back adjust continuous data?
Replies: 2
Views: 2015

up or down bias in back adjust continuous data?

Hi,guys,recently I read an article about continuous data,which said, "When early contract prices in a concatenated set are significantly less than their real contract counterparts, they tend to produce a bias that in simulated trading would heavily favor the act of buying over selling. In addition, ...
by yoyo2000
Mon Jan 22, 2007 9:29 pm
Forum: Testing and Simulation
Topic: Contango and Backwardation in Data
Replies: 4
Views: 3634

Trading on Back-Adjusted continuous futures data,one could get the profit from the difference between entry price and exit price,in this case,it seems that the trading/simulation result have nothing to do with contango and backwardation,for example,(2760-2639)=(3012-2891).
by yoyo2000
Tue Jun 13, 2006 3:30 pm
Forum: Testing and Simulation
Topic: How to select the two legs of a pair trading?
Replies: 4
Views: 3820

I'v read joe ross' book,Trading Spreads and Seasonal,it explains the theory,introduces seasonality for pair trading,I learnt much from his book,but still says nothing about the issue of my post here. Could you tell me how to get his email?maybe it's a good idea to send him an email for this question...
by yoyo2000
Sat Jun 10, 2006 8:26 am
Forum: Testing and Simulation
Topic: How to select the two legs of a pair trading?
Replies: 4
Views: 3820

How to select the two legs of a pair trading?

Someone here trades commodity pair/spread ? I'm interested in pair.spread trading of commodity,but the ways I got about how to select two legs for trading pair/spread in commodity are all by subjective/fundemantal judgement,it seems that there is no way to do so mechanically ? For example,in the cas...
by yoyo2000
Wed Apr 19, 2006 3:00 am
Forum: Money Management
Topic: A method to monitor and adjust system's risk?
Replies: 5
Views: 6431

OK,it's a good defination,I decide to collect several methods and list them side by side to track,and select the fittest one.

Thanks,guys.
by yoyo2000
Tue Apr 18, 2006 9:39 am
Forum: Money Management
Topic: A method to monitor and adjust system's risk?
Replies: 5
Views: 6431

but maybe the first one which should be made clear is,how to calculate risk?
should I calculate risk by statistics,or VaR,or straightforward $ or percent calculation?
The following monitoring and adjusting method should be designed based on the foundation of the type of risk calculation.
by yoyo2000
Mon Apr 17, 2006 1:21 pm
Forum: Money Management
Topic: A method to monitor and adjust system's risk?
Replies: 5
Views: 6431

A method to monitor and adjust system's risk?

I wanna to design a method to monitor the whole system's risk/exposure,when the risk/exposure is too big,the method could limit the heat of the system by reducing the position size.

but I don't know the exact direction,could anyone here shed me the light,please?

thanks in advance.
by yoyo2000
Sun Apr 16, 2006 12:54 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127871

c.f.,do you plan to publish your article ?
I'm longing for it :D
by yoyo2000
Sat Dec 17, 2005 12:10 am
Forum: Testing and Simulation
Topic: Somewhat puzzle on porfolio test procedure and MC
Replies: 0
Views: 2490

Somewhat puzzle on porfolio test procedure and MC

Recently I met a problem about sequence of testing porfolio,position sizing,and monte carlo simulation. When running a trading strategy on a single security in a software,and accepting its performance,I used to test it on a porfolio to conform its performance robustness. But this time,different secu...