Search found 121 matches

by ksberg
Tue Mar 02, 2004 5:21 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127819

Bernouilli distribution

Thanks for the links Kianti. Interesting to note how the presenters jump right over the Bernouilli assumption and apply it directly to trading. Maybe their style always result in an equal amount of money won or lost on every trade! ;-) One thing that makes Vince an interesting study is that he actua...
by ksberg
Tue Mar 02, 2004 11:45 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127819

Risk of Ruin, Optimal-f

Forum Mgmnt, I'd be interested in seeing the paper, if and when you get around to it. One reason I'm interested in your paper is that Ralph discusses Risk-of-Ruin, and goes on to show how it's integral to bet size. Actually, I think his premise is the two things are different sides of the same coin,...
by ksberg
Tue Mar 02, 2004 3:31 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127819

Turtle and Optimal-f

Forum Mgmnt, In my opinion, you are playing with serious fire if you trade even 80% of optimal f. Optimal f or even 80% thereof assumes you have a good picture of what the population of possible trades looks like. This seems to be a dubious foundation upon which to build your wealth. I agree 100% (e...
by ksberg
Mon Mar 01, 2004 11:48 pm
Forum: Custom C++ or Java Platforms
Topic: VB.net Programming and Custom Software design
Replies: 16
Views: 23844

SmartQuant

Karakoram, All these are excellent points. After collecting up your requirements, and starting your design, you might want to consider commercial or open source libraries to implement some of those requirements. It sure helps whittle down the work. One library that comes to mind is SmartQuant ( http...
by ksberg
Mon Mar 01, 2004 12:24 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127819

Input Series

Almost forgot to state a basic assumption: the input trade series used to callibrate any sizing method must be a single, constant contract for each trade.

Cheers,

Kevin
by ksberg
Mon Mar 01, 2004 12:20 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127819

Formulas

c.f. Just for the sake of grounding this discussion which I find hard to follow since we haven't agreed on definitions of either approach or the formulas, would you mind outlining the formulas you used to generate the above graph, what was required as inputs for each bet size type, and where you got...
by ksberg
Sun Feb 29, 2004 12:02 pm
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127819

Optimal-f stuff

Gambler ruin does occur on the right side of the peak, but the one point to the right side and one point to left should be logically equivalent No? There is variance involved no? lperepol, I think you've hit the nail on the head. You can take and graph what is optimal for any particular run. If you...
by ksberg
Sat Feb 28, 2004 5:01 am
Forum: Money Management
Topic: Optimal f
Replies: 87
Views: 127819

Optimal-f, Monte Carlo, and Kelly

Iperepol, warm greetings from a former web-footed Seattlite. I was wondering if any one compared Monte Carlo methods to Ralph Vince's formula? Ralph does spend some ink in mentioning Monte Carlo as a means. I read his book "The New Money Management" and was disappointed. I am confident that I could ...
by ksberg
Fri Feb 27, 2004 12:52 pm
Forum: Testing and Simulation
Topic: Calculated Starting Account Size?
Replies: 9
Views: 8251

Starting Capital

Jake, Spot on. The 1987 price shock would be another great example to include , not avoid, when testing for initial capital and account performance. In other words, I would enumerate these kind of events, then start a back testing run just prior to the each event with the starting capital. My perspe...
by ksberg
Fri Feb 27, 2004 3:21 am
Forum: Testing and Simulation
Topic: Calculated Starting Account Size?
Replies: 9
Views: 8251

Starting Capital

Jake, I like your idea of testing with initial starting capital on a rolling, yearly basis. For many situations, it's easy to automate and report these type of results, and make comparisons between reports. I'd like to build on that idea, but consider doing it based on events. Events, of course, wil...
by ksberg
Sat Feb 21, 2004 12:30 am
Forum: Testing and Simulation
Topic: By What Measure? - How do You Know if a System is Good?
Replies: 83
Views: 80509

MAR and Geometric Mean

Ross,

Looks like MAR is off by 1 decimal. I find it easiest to express CAGR as %, then dividing by Max DD % keeps the same units. The example with CAGR=9.16% and MaxDD=48.4% would yeild MAR=0.18.

Otherwise, looks good.

Cheers,

Kevin
by ksberg
Tue Feb 17, 2004 4:21 pm
Forum: Trader Psychology
Topic: Has any one taken Van K. Peak Performance Home Study Program
Replies: 15
Views: 18509

Van Tharp Course

I do have the materials mentioned. I'll give the caveat that I have not finished going through his entire course, so I can comment on what I know. I believe there is value in some of the exercises and mental preparations contained in the material, especially when they can shed light on habits or goa...
by ksberg
Tue Feb 17, 2004 12:51 am
Forum: Testing and Simulation
Topic: Identifying Efficiency in a 3D Matrix
Replies: 11
Views: 8971

System Performance

Ted, thank you much for organizing the links ... very insightful discussions.

I have a question for moderator: with all these different threads, where is the best place to continue the discussion?

Thanks,

Kevin
by ksberg
Mon Feb 16, 2004 7:27 pm
Forum: Testing and Simulation
Topic: Identifying Efficiency in a 3D Matrix
Replies: 11
Views: 8971

Performance Measures

Hi Ross! :-) I'll throw a couple things into the kettle, both from Ralph Vince "Portfolio Management Formulas". On page 45 of Ralphs starts with "Let's begin by determing what is a good measure of performance ...". He then derives a Pessimistic Return Ratio (PRR) as follows: PRR = (((W-(W^0.5)))/T)*...
by ksberg
Wed Feb 11, 2004 12:21 am
Forum: Testing Software
Topic: Trading System Languages Likes and Dislikes
Replies: 31
Views: 25852

Trading Language(s)

I happen to agree with verec, maybe because we both think in Java (?). The libraries and constructs make a HUGE difference for usuability. So I will second what he mentions, and add a few bits ... Other extremely important aspects are orthogonality, composition, and cannonical form. By orthogonality...
by ksberg
Tue Feb 10, 2004 4:20 am
Forum: Custom C++ or Java Platforms
Topic: FIX
Replies: 3
Views: 6639

FIX resources

Shakyamuni, I assume you're familiar with www.fixprotocol.org? They have a listserve mailing list where you can contact other people working fix implementations directly. Unfortunately, I searched the archives and best I could come up were the following ... One day there'll be ISO XML - the result o...
by ksberg
Sun Feb 08, 2004 7:18 pm
Forum: Money Management
Topic: Question? Ralph Vince & How much to put on a trade?
Replies: 9
Views: 10634

Optimal-f

Joe, Ralph provides BASIC code for finding Optimal-f in Appendix B, page 189. He describes two methods for find Optimal-f starting on page 84. Optimal-f isn't succinctly described in a short formula. To quote one web source "Optimal-f is found in a round about way". The optimization involves walking...
by ksberg
Sun Feb 08, 2004 1:50 am
Forum: Money Management
Topic: Scaling / 'Pyramiding'
Replies: 31
Views: 38289

Scaling

Scaling, or adding additional units/positions makes an interesting study. As shakyamuni suggests, there are all sorts of "shapes" one could apply, and they have widely different characteristics. I use the term "scaling in" when the total size of aggregate position is known in advance, and "scaling u...
by ksberg
Sun Feb 08, 2004 12:48 am
Forum: Money Management
Topic: What's the best way to learn about Money Management
Replies: 9
Views: 11488

Money Management

Unfortunately, the term "Money Management" is used to mean different things by different traders. Some people mean using stops, period. Some people mean cutting losses. Some people tie it back to risk exposure in the portfolio, some people imply bet size, some even include scaling. So, when talking ...
by ksberg
Thu Feb 05, 2004 12:20 pm
Forum: Money Management
Topic: Accuracy of worst drawdown
Replies: 10
Views: 10088

ksberg, I used to do #2 and #3. Now I am experimenting with #4. http://www.tradingblox.com/forum/viewtopic.php?p=5749&highlight=#5749 Haven't tested Turtle system yet. My instinct predicts that #4 could do it with scaling-in and with correlated position limits and all the rest .... if desired . It'...