Search found 411 matches
- Wed Feb 06, 2008 2:25 pm
- Forum: Testing and Simulation
- Topic: Duplicating results in Way of the Turtle
- Replies: 13
- Views: 9377
risk %
Than can I ask what % of their account most traders here risk on any one trade?
- Thu Jan 31, 2008 6:15 pm
- Forum: Testing and Simulation
- Topic: Duplicating results in Way of the Turtle
- Replies: 13
- Views: 9377
Duplicating results in Way of the Turtle
I duplicated the Bollinger Breakout results that are described in the WotT book. The position sizing he used were 0.5% equity / ATR of a given market. This has nothing to do with the stops however, because positions are exited at the 350 day SMA. The actual risk taken on typically varies from 2% to ...
- Thu Jan 31, 2008 3:05 pm
- Forum: Testing and Simulation
- Topic: Reliable number of trades?
- Replies: 2
- Views: 4167
Reliable number of trades?
How does one know if a system generates enough trades to be statistically reliable into the future? Would 100 trades over 10 years on a basket of 30 futures be adequate?
- Wed Oct 13, 2004 1:21 pm
- Forum: Testing and Simulation
- Topic: Can I buy EOD futures data from someone?
- Replies: 3
- Views: 6059
Can I buy EOD futures data from someone?
I want 5 or 10 years worth of reliable continous contract adjusted data that I can use for system testing. Please email me at levif@caiowa.com
- Wed Sep 22, 2004 9:31 am
- Forum: Testing and Simulation
- Topic: System performance
- Replies: 9
- Views: 9628
System performance
What do you consider to be good performance? I have been working on a long/short stock trading system for a while and i'm running out of ideas. My system scans the universe of liquid stocks (about 5,000) and takes a position size of 1% of equity. I have tested the system on the last six years of dat...
- Wed Sep 01, 2004 9:12 am
- Forum: Stocks
- Topic: Shorting Stocks
- Replies: 6
- Views: 10587
- Tue Aug 31, 2004 11:48 pm
- Forum: Stocks
- Topic: Shorting Stocks
- Replies: 6
- Views: 10587
- Tue Aug 31, 2004 3:09 pm
- Forum: Stocks
- Topic: Shorting Stocks
- Replies: 6
- Views: 10587
Shorting Stocks
In my research, i have found that shorting stocks, using a long-term trend following system, doesn't work very well. However, this could very well be because stocks that decline and get delisted no longer appear in traditional data sources. On the other hand it could be that because the long term tr...
- Wed Aug 18, 2004 10:35 am
- Forum: Stocks
- Topic: NASDAQ vs. NYSE
- Replies: 1
- Views: 5775
NASDAQ vs. NYSE
Has anyone noticed differences between the way NASDAQ and NYSE stocks trade and orders are executed? I'm refering to fills and slippage.
- Thu Aug 05, 2004 3:31 pm
- Forum: Stocks
- Topic: Portfolio Selection Tools
- Replies: 0
- Views: 5564
Portfolio Selection Tools
Does anyone know of a way to create a portfolio of stocks that exhibited certain characteristics one year ago to then backtest one year later? ie--select a basket of stocks that had a certain PE range one year ago, then backtest them to today.
- Fri Jan 02, 2004 12:05 pm
- Forum: Stocks
- Topic: Stock Volume
- Replies: 5
- Views: 9425
What % of a stock can be purchased w/out affecting price?
Just out of curiousity.