Search found 110 matches
- Fri Feb 27, 2009 11:12 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
For those who actually do perform the experiment, I predict you will find some of the results quite surprising . It may induce you to change the composition of your portfolio, or to change the way you think about composing portfolios. And for those who don't, think of the time and money and effort ...
- Fri Feb 27, 2009 10:33 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
- Thu Feb 26, 2009 7:29 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
- Thu Feb 26, 2009 6:53 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
Alp: Regarding Crittendens work, which is very interesting: It is important to note that the test period includes one of the greatest secular bull markets of all time. Crittenden states clearly that the system performance on data from the seventies is substantially weaker. Well, apart from some bea...
- Tue Feb 24, 2009 10:33 am
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
- Mon Feb 23, 2009 12:10 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
- Sat Feb 21, 2009 4:44 pm
- Forum: Testing and Simulation
- Topic: Original turtle rules
- Replies: 8
- Views: 7692
It's always a danger to become fixated on some particular parameter or entry technique or money management algorithm that you read about in a book or whatever, and then pretty soon you are searching for the Holy Grail, entirely missing the forest for the trees. ... My gut feeling says there might b...
- Sat Feb 21, 2009 7:27 am
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
Re: Query to the System Design Community
The System: Enters on Breakout of "X" Day H/L, 5 ATR Stop,Trailing Stop of "Y" days, risks 1%?Trade, uses no leverage. What do you mean by <Trailing Stop of "Y" days>? Apart from other suggestions given above, have you also tried adding an initial stop? With regard to ...
- Fri Feb 20, 2009 10:34 pm
- Forum: Testing and Simulation
- Topic: Query to the System Design Community
- Replies: 29
- Views: 16520
If the long term trend is up, AND If the short term trend has been down for the recent past, AND If the short term trend just switched from down to up, today... This looks like something interesting to play and experiment with. P.S.: Is Dallas the oldest member in the community (joined in 31 Dec 19...
- Mon Feb 16, 2009 10:29 pm
- Forum: Money Management
- Topic: Drawdown Reduction Threshold:
- Replies: 18
- Views: 14322
- Mon Feb 16, 2009 10:25 pm
- Forum: Money Management
- Topic: Drawdown Reduction Threshold:
- Replies: 18
- Views: 14322
No, I was really just interested in the relationship between DD and return and a few other things. Roscoe, did you test the drawndown reduction threshold rule or instead only the relationship between bet size and return? The original Turtle system concept works like a changing bet size, i.e., as th...
- Fri Feb 13, 2009 7:24 pm
- Forum: Futures Markets
- Topic: Not quite liquid enough: NI , VX
- Replies: 8
- Views: 7994
Charlie Wright: Most definitely. The major assumption that trend-following managers made in the last 30 years has been that a diversified portfolio of non-correlated futures markets lowers risk. Our research confirms that in the last few years, all the world’s futures markets have been correlatin...
- Thu Feb 12, 2009 8:39 pm
- Forum: Money Management
- Topic: Drawdown Reduction Threshold:
- Replies: 18
- Views: 14322
- Wed Feb 11, 2009 6:57 pm
- Forum: Futures Markets
- Topic: Not quite liquid enough: NI , VX
- Replies: 8
- Views: 7994
- Thu Feb 05, 2009 7:27 pm
- Forum: Trader Psychology
- Topic: The Robusti family
- Replies: 16
- Views: 23866
You are the one that lays down the rules, the system testing procedures. You are also the developer of the first trading system. Some time later (T=10 years? T=2 years? T=6 months?), you develop the second trading system. After another T units of time, you develop the third system. T units of time ...
- Sun Feb 01, 2009 3:11 pm
- Forum: Trader Psychology
- Topic: The Robusti family
- Replies: 16
- Views: 23866
Stig Ostgaard
Attached is the performance of "LACM Trend Following Diversified Share Class", by Stig Ostgaard, a former turtle himself. His performance seems to be better than his "Robusti" predecessors. Yet, if he's being honest about this philosophy, it still looks like a strategy of the Rob...
- Sun Feb 01, 2009 11:44 am
- Forum: Trader Psychology
- Topic: The Robusti family
- Replies: 16
- Views: 23866
The glitch is that (maybe like with the 13.9 years of 5-min bar data) these systems have MAR ratios of 0.3 to 0.5 and such like. They make money, astonomically so over time with the power of compounding. But nothing remotely close to what any of us aspire to achieve over the next five years. You al...
- Sun Feb 01, 2009 8:34 am
- Forum: Trader Psychology
- Topic: The Robusti family
- Replies: 16
- Views: 23866
Creativity and imagination
Although this might be a bit off-topic, but I feel it's also rather connected to the main issue we're discussing about, is the issue of creativity and imagination in trading. I feel that trading somehow ends up killing our creativity and imagination because of the random component of markets. It's a...
- Sun Feb 01, 2009 8:21 am
- Forum: Trader Psychology
- Topic: The Robusti family
- Replies: 16
- Views: 23866
Thanks sluggo for bringing forth with greater clarity an issue I was not able to do so in another thread. I sense there is a kind of taboo in this regard as we're dealing with some of the many facets of fear and uncertainty: 1) first and foremost we want to believe we've done the proper tests and th...
- Sun Jan 25, 2009 7:42 am
- Forum: Testing and Simulation
- Topic: Discretion
- Replies: 8
- Views: 5726
From Mechanical Trading Systems , by R. L. Weissman : [quote]Traders and system developers alike must be ever mindful of paradigm shifts in market dynamics. Because markets are rarely stagnant, what worked in the past may not be robust enough to survive dramatic shifts in the dynamics of market beha...