Search found 5 matches
- Thu Sep 06, 2007 1:11 pm
- Forum: Testing and Simulation
- Topic: How much edge do I need? (and other Edge-Ratio questions)
- Replies: 9
- Views: 10595
- Thu Sep 06, 2007 11:42 am
- Forum: Testing and Simulation
- Topic: How much edge do I need? (and other Edge-Ratio questions)
- Replies: 9
- Views: 10595
Thank you for your interest, Explorer. yes, you are right I was testing a short-term trading system where inclusion of stops was necessary. My stops were volatility based (ATR) and I was stepping through the multiplier and I calculated the MAE to determine if I was stopped out. It did definitely wor...
- Thu Sep 06, 2007 2:44 am
- Forum: Testing and Simulation
- Topic: How much edge do I need? (and other Edge-Ratio questions)
- Replies: 9
- Views: 10595
Yes I am still monitoring the thread, but I have lost interest in this topic for three reasons. 1) I realized through extensive testing that edge as defined in the book mentioned above without considering stops is nonsense. Thus, I developed my own implementation that includes stops. 2) Lack of inte...
- Fri Jul 06, 2007 9:45 am
- Forum: Testing and Simulation
- Topic: How much edge do I need? (and other Edge-Ratio questions)
- Replies: 9
- Views: 10595
Hi explorer, thanks for your interest. I don't know if I can help you since I don't own or use the Trading Blox Software. But I have done some testing with the edge ratio as described in the book and found it rather meaningless without considering stops. What I mean by that, is that the position mig...
- Fri Jun 15, 2007 3:28 am
- Forum: Testing and Simulation
- Topic: How much edge do I need? (and other Edge-Ratio questions)
- Replies: 9
- Views: 10595
How much edge do I need? (and other Edge-Ratio questions)
These questions are for c.f. and everybody who has read and implemented or used the Edge Ratio measurement described in Faith's "Way of the Turtle" (this book is excellent, btw). I have implemented the method for measuring the edge ratio of an entry setup described in the book mentioned ab...