Search found 27 matches

by Trading Leech
Thu Jul 14, 2011 12:00 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 6218

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...
by Trading Leech
Wed Jul 13, 2011 7:50 pm
Forum: Testing and Simulation
Topic: Trend Following and Financial Maths (Brownian motion, etc.)
Replies: 14
Views: 6218

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...
by Trading Leech
Wed Jul 13, 2011 7:43 pm
Forum: Money Management
Topic: The turtle sizing rules are flawed
Replies: 8
Views: 6521

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...
by Trading Leech
Wed Jul 13, 2011 2:58 pm
Forum: Money Management
Topic: The turtle sizing rules are flawed
Replies: 8
Views: 6521

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.
by Trading Leech
Wed Jul 13, 2011 2:13 pm
Forum: Money Management
Topic: The turtle sizing rules are flawed
Replies: 8
Views: 6521

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 ...
by Trading Leech
Tue Nov 30, 2010 11:00 pm
Forum: Testing and Simulation
Topic: Historical Stock Data
Replies: 4
Views: 2547

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 need—not what I want. It looks like I can find affordable historical stock data (from CSI Data )...
by Trading Leech
Mon Nov 29, 2010 2:50 pm
Forum: Testing and Simulation
Topic: Historical Stock Data
Replies: 4
Views: 2547

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...