Leonardo,
Given your trading strategy, what is your thought regarding diversification?
Cheers,
Menelik
Search found 73 matches
- Mon Mar 22, 2004 10:25 pm
- Forum: Futures Markets
- Topic: Trading strategies and discussion
- Replies: 13
- Views: 12988
- Fri Feb 06, 2004 2:26 pm
- Forum: Testing and Simulation
- Topic: PERFORMANCE ANALYSIS
- Replies: 1
- Views: 4351
This all seems to work okay although I am finding the results a little worse on the 2000 - 2004 period. It seems unusual to me that if you do your parameter altering on 1990 - 2000 then apply this mildly optimised strategy to 1975 - 1990 that the results are in fact even better , but that they shou...
- Wed Jan 21, 2004 5:18 pm
- Forum: Testing and Simulation
- Topic: Stationarity
- Replies: 9
- Views: 11836
MCT wrote: The distribution of price change from years past is less likely to repeat than the distribution of price change from the recent past. Just curious: Is this logic, is this a fact or is this an assumption? 1)Historical back testing is akin to back-fitting experience. In that regard, our ex...
- Tue Jan 20, 2004 9:27 pm
- Forum: Testing and Simulation
- Topic: Stationarity
- Replies: 9
- Views: 11836
- Tue Jan 20, 2004 3:20 pm
- Forum: Testing and Simulation
- Topic: Stationarity
- Replies: 9
- Views: 11836
Stationarity
Given this is a forum mostly populated by pure mechanical system traders, I still haven’t yet read posts that addressed Stationarity - the statisticial term for ever-changing cycles. ..Or maybe I must have missed it. A number series is stationary if the process that generated the series has been c...
- Wed Jan 14, 2004 3:03 pm
- Forum: Trader Psychology
- Topic: Too much reading ...
- Replies: 58
- Views: 64352
- Wed Jan 14, 2004 12:58 pm
- Forum: Trader Psychology
- Topic: Too much reading ...
- Replies: 58
- Views: 64352
- Wed Jan 14, 2004 12:06 pm
- Forum: Trader Psychology
- Topic: Too much reading ...
- Replies: 58
- Views: 64352
In the context of Chinese culture, liberation means, more specifically, a liberation from the strict rules of convention. Mistrust of conventional knowledge and reasoning is not all that strong in western culture. In the east all knowledge is suspect. It is based on the firm belief that the human in...
- Wed Jan 14, 2004 10:24 am
- Forum: Trader Psychology
- Topic: Too much reading ...
- Replies: 58
- Views: 64352
I enjoyed reading this thread. just a short comment ...on Socratic Ignorance: It is important to note that Socrates himself did not claim to know better than others - he thought he was in a better position than those that didn't understand the central role of ignorance in the human experience. i.e. ...
- Sat Dec 06, 2003 10:44 am
- Forum: Testing and Simulation
- Topic: Improve Risk:Reward by using different time frames?
- Replies: 20
- Views: 31882
- Tue Oct 14, 2003 9:51 pm
- Forum: Trader Psychology
- Topic: Technical analysts exhibit no skill in predicting.....
- Replies: 7
- Views: 9193
John, I’ll second that. That was an excellent point. As to Elliot Waves I would also add the perspective it presents is of immense value. For instance, it suggests that the market goes three steps forward for every two steps back. If you can manage your fear during the two steps back and your gree...
- Sat Oct 11, 2003 5:01 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
Hi John, There are few discretionary traders on this forum and it feels odd at times ... the irony is, there is more to learn from mechanical trend followers than most other types of traders … What I’m suggesting is quite radical. Many such as William Eckahardt and Nassim Taleb have suggested th...
- Fri Oct 10, 2003 12:41 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
mickslam, Let me begin by saying ... sorry. My posts focuse on the philosophical and theoretical aspect of things...I find that more important than simple number crunching. I believe, we have to theorize and philosophize in order to extract real meaning from our sample tests... Many serious traders ...
- Fri Oct 03, 2003 2:16 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
- Mon Sep 22, 2003 12:21 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
Nathan: 100,000 portfolio. 2% risk, or $2000. 2atr stop stock A. $50 stock. 5atr = $10 stop. 200 shares to risk $2000. dollar commitment on trade = 50 * 200 = $10,000. Max theoretical loss = $10,000 Stock B. $10 stock 5atr = $10 stop. 200 shares to risk $2000 dollar commitment to trade = 10 * 200 =...
- Mon Sep 22, 2003 12:09 am
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
- Sat Sep 20, 2003 11:44 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
- Sat Sep 20, 2003 8:59 am
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
The second is 10 times more volatile than the second. Let's use your volatility position sizing strategy as I understand it. The first instrument will get 10 times as much allocated to it as the second. What if you are wrong in your direction. Then, that large move works against you - you are expos...
- Thu Sep 18, 2003 7:58 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 51985
- Thu Sep 18, 2003 7:54 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100859