Search found 51 matches
- Sun Dec 13, 2009 9:34 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 33973
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 ...
- 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: 7488
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 ...
- Thu Dec 03, 2009 10:36 am
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 33973
- 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: 7488
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...
- 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: 7488
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...
- Sun Nov 29, 2009 11:47 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 33973
- 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: 7488
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...
- 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: 4428
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...
- 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: 4428
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.
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.
- 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: 4428
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 ...
- Sat Sep 19, 2009 4:04 am
- Forum: Testing and Simulation
- Topic: up or down bias in back adjust continuous data?
- Replies: 2
- Views: 2725
- Thu Sep 17, 2009 11:12 am
- Forum: Testing and Simulation
- Topic: up or down bias in back adjust continuous data?
- Replies: 2
- Views: 2725
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 addit...
- Mon Jan 22, 2007 9:29 pm
- Forum: Testing and Simulation
- Topic: Contango and Backwardation in Data
- Replies: 4
- Views: 4631
- 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: 4866
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...
- 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: 4866
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...
- Wed Apr 19, 2006 3:00 am
- Forum: Money Management
- Topic: A method to monitor and adjust system's risk?
- Replies: 5
- Views: 7814
- Tue Apr 18, 2006 9:39 am
- Forum: Money Management
- Topic: A method to monitor and adjust system's risk?
- Replies: 5
- Views: 7814
- Mon Apr 17, 2006 1:21 pm
- Forum: Money Management
- Topic: A method to monitor and adjust system's risk?
- Replies: 5
- Views: 7814
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.
but I don't know the exact direction,could anyone here shed me the light,please?
thanks in advance.
- Sun Apr 16, 2006 12:54 pm
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 151302
- Sat Dec 17, 2005 12:10 am
- Forum: Testing and Simulation
- Topic: Somewhat puzzle on porfolio test procedure and MC
- Replies: 0
- Views: 2910
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...