## Search found 27 matches

Thu Jul 14, 2011 12:00 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 6363
hehe YEAH it was a bit aggressive Trouble is the truth always hurts !! Hehehe, you are completely right. However, for better or worse (probably worse), I chose financial mathematics as my field and I guess I'll just have to go with the flow until I graduate. But yeah, I'm beginning to realize how t...
Wed Jul 13, 2011 7:50 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 6363

### Trend Following and Financial Maths (Brownian motion, etc.)

This may be a long shot, but I'll give it a try. Does trend following have anything at all to do with what people learn in financial mathematics -- things like Brownian motion, the Black-Scholes model, stochastic processes, etc.? Can the two be linked together in any ways? Have some interesting resu...
Wed Jul 13, 2011 7:43 pm
Forum: Money Management
Topic: The turtle sizing rules are flawed
Replies: 8
Views: 6647

### Re: The turtle sizing rules are flawed

However, this doesn't make any sense to me whatsoever. To demonstrate why, consider this extreme case scenario: A stock currently priced at \$1,000,000 per share with N = ATR = \$1. Your example is rather theoretical one because ATR = 1\$ with price \$1000 000 has never been seen in real prices fluctua...
Wed Jul 13, 2011 2:58 pm
Forum: Money Management
Topic: The turtle sizing rules are flawed
Replies: 8
Views: 6647
Tim Arnold wrote:Turtles traded futures, not stocks.
I know, but I just used stocks above for "simplicity" (because I'm more familiar with stocks). But it doesn't matter. My question holds no matter what the contract type is.
Wed Jul 13, 2011 2:13 pm
Forum: Money Management
Topic: The turtle sizing rules are flawed
Replies: 8
Views: 6647

### The turtle sizing rules are flawed

The turtle rules (as seen in e.g. Michael Covel's "The Complete TurtleTrader") for telling how many contracts to buy are these: You have \$1,000,000 account, and you risk 2% of that on each trade, i.e. you risk \$2,000 on each trade. You calculate N (the ATR) for the particular contract, and you want ...
Tue Nov 30, 2010 11:00 pm
Forum: Testing and Simulation
Topic: Historical Stock Data
Replies: 4
Views: 2622
Thanks for the replies so far! I guess there is simply no way for me to obtain affordable data going as far back as I want. So maybe my wants are unrealistic. Thus, maybe I should be focusing on what I needâ€”not what I want. It looks like I can find affordable historical stock data (from CSI Data )...
Mon Nov 29, 2010 2:50 pm
Forum: Testing and Simulation
Topic: Historical Stock Data
Replies: 4
Views: 2622

### Historical Stock Data

I require historical stock data (open,high,low,close,volume, and possibly earnings) going back many, many, decades. What are the best data sources for this? Let me rephrase: Where do all those books like "How to Make Money in Stocks" get all their data on those stocks from olden times like Utah Secu...