Search found 109 matches

by Jake Carriker
Fri Nov 18, 2005 11:00 am
Forum: Money Management
Topic: CAPITAL REQUIREMENT
Replies: 10
Views: 13294

To augment Sluggo's suggestion a bit, here is a twist that I use. Notice that using exponential betsizing it isn't to long before (given a profitable system), even with a small amount of starting equity, you are trading much larger sums. This is great when we want to make as much money as possible. ...
by Jake Carriker
Wed Jul 20, 2005 11:58 am
Forum: Testing and Simulation
Topic: Adjusted Prices
Replies: 11
Views: 7746

...I really need to invest more energy in understanding it before I can be comfortable. That doesn't seem like a bad thing to do at all. Once you think through the whole process and make the concepts second nature you have a good chance of lessening the "D'oh!!!" factor later on. As an ex...
by Jake Carriker
Tue Jul 19, 2005 12:37 pm
Forum: Testing and Simulation
Topic: Adjusted Prices
Replies: 11
Views: 7746

I see Damian made some of my points for me as I wrote my last message. To be clear, Momentum / ATR presents no problem for backadjusted data, if momentum is defined as price minus price some bars back (i.e. a price change described in points). Momentum / Price or Price / ATR or other such comparison...
by Jake Carriker
Tue Jul 19, 2005 12:33 pm
Forum: Testing and Simulation
Topic: Adjusted Prices
Replies: 11
Views: 7746

Backadjusted data retains the integrity of price changes from one bar to the next, not the absolute price levels. You cannot use backadjusted data to accurately calculate price percentage changes. However, this type of data does not distort indicators like highest high, lowest low breakout channels,...
by Jake Carriker
Tue Mar 15, 2005 12:47 pm
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 15601

Kianti,

Yep.

Jake
by Jake Carriker
Mon Mar 14, 2005 9:34 pm
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 15601

Hi Wonkabar, I still don't think I understand how you lose 60 cents (given the spread you qoute) on the roll. I read the paper you posted and I notice that the "roll return" they cite does not pertain to rolling contracts from one month to the next, but is a reference to the implied hypoth...
by Jake Carriker
Sun Mar 13, 2005 11:11 am
Forum: Testing and Simulation
Topic: contango/backwardation
Replies: 16
Views: 15601

Hi Wonkabar, I study rolling fairly extensively, but I don't understand your comments about making or losing value on the roll depending on the spread relationship of the old and new contract months. I don't believe that for my trading systems I make or lose money on a roll (ignoring the effect of p...
by Jake Carriker
Thu Jan 06, 2005 12:02 pm
Forum: Testing Software
Topic: remote access to your main pc
Replies: 2
Views: 5569

I use GotomyPC and have been quite happy with it. There are other applications like NetOp that also offer remote access.

I would not use GotomyPC for anything that is necessarily mission critical, but I have never had a problem accessing my PC remotely through the service.

Jake
by Jake Carriker
Thu Dec 16, 2004 10:28 pm
Forum: Futures Markets
Topic: spread btwn cash and far out month 07
Replies: 2
Views: 3907

You are correct, conventional wisdom is that a highly backwardated market is more bullish than a contango market (if the market is normal, and not inverted all the time). Crude oil is one that tends to be inverted alot. Larger degrees of inversion can indicate high demand in the near month or spot m...
by Jake Carriker
Thu Nov 18, 2004 10:27 am
Forum: Trend Indicators and Signals
Topic: stalking the first big trend when starting out
Replies: 11
Views: 15571

I agree with GR and the others that Leonardo's post about stalking the cotton trade (and the controled risk plunging technique in general) is a great one. I also agree with Leonardo that it is a wonderful time to be starting out as a trader or money manager. I notice that a lot of the LTTF systems t...
by Jake Carriker
Mon Nov 08, 2004 10:39 am
Forum: Testing and Simulation
Topic: Data set up for backtesting
Replies: 9
Views: 10634

Hi TC, my views on the rolling methods you mention are that I like to test them all and see how I feel about the results. If a trader wants to pay the narrowest spreads and incur the least slippage while rolling, he might look for the point where liquidity shifts from one contract to another (i.e. t...
by Jake Carriker
Mon Nov 01, 2004 6:48 pm
Forum: Testing and Simulation
Topic: Data set up for backtesting
Replies: 9
Views: 10634

If you have backadjusting software like CSI's Unfair Advantage, you can put contracts together in a variety of different ways in order to come up with something to your liking. Looking at charts with volume and open interest plotted on them while you change rolling parameters can be enlightening. On...
by Jake Carriker
Tue Oct 26, 2004 12:45 pm
Forum: Futures Markets
Topic: A swan strikes
Replies: 15
Views: 14756

Right on, GR. I know the drill. I end up taking this issue into TTP at the next opportunity, and I don't change my strategy a bit. Sometimes a loss is just a loss. I deterimine that my trading strategy does not benefit from changing the system based on this event, and I trade through to today withou...
by Jake Carriker
Fri Oct 22, 2004 12:30 pm
Forum: Money Management
Topic: Question about money management
Replies: 18
Views: 15810

Hello Bunter, I will try to clearly outline the two betsizing strategies (commonly called % risk and % volatility) that you are asking about. First, % risk - To size positions using this method you need the following inputs: 1. a fixed percentage of trading capital that makes up the numerator of the...
by Jake Carriker
Mon Oct 11, 2004 10:39 am
Forum: Testing and Simulation
Topic: Simulation w/ Fees
Replies: 3
Views: 4899

I also account for fees in my testing. I am glad c.f. plans to put this functionality in VT. Though a given fee structure tends to affect similar strategies in predictable ways, it is nice to be able to see the difference fees make, especially when marketing a new trading program. If people see that...
by Jake Carriker
Wed Sep 29, 2004 11:38 am
Forum: Futures Markets
Topic: does anyone have
Replies: 5
Views: 5835

Tradingcoach, In general, CTAs are money managers. Some of the more reputable systems vendors register as CTAs as well. A CTA is very different from a broker, though like the rest of the financial services world, the lines between the roles of sales, execution services, and trading advice is often b...
by Jake Carriker
Tue Sep 28, 2004 11:24 pm
Forum: Futures Markets
Topic: does anyone have
Replies: 5
Views: 5835

Call the CME and ask them to send you a copy of their booklet, How to Become a CTA. It is a great little book that they will send you for free.

Also look at http://www.iasg.com and other tracking / alternative investment allocator websites for more info.

Best,
Jake
by Jake Carriker
Tue Sep 28, 2004 8:27 pm
Forum: Money Management
Topic: VaR
Replies: 21
Views: 22874

Ah, I did not see the links I was trying to point to were already included at the site Kevin linked to. Good catch. BTW, the Taleb site also has both the pro and con articles.

Jake
by Jake Carriker
Tue Sep 28, 2004 4:16 pm
Forum: Money Management
Topic: VaR
Replies: 21
Views: 22874

Speaking of VAR, there is an interesting series of articles that debate its usefullness near the bottom of Nassim Taleb's web page at http://www.fooledbyrandomness.com . The links to the articles are under the heading "The Value-at-Risk Debate". I tend to agree with Taleb's views on VAR, a...
by Jake Carriker
Mon Sep 20, 2004 4:37 pm
Forum: Data Providers and other non testing software
Topic: CSI DATA
Replies: 2
Views: 4733

Trendyguy, #1. You can plot indicators (custom and standard) on charts in CSI. I think the charting is clunky, and I don't use it for in depth technical studies. I use CSI primarily for EOD price data, not charting. #2. Yes, you can set it to roll on the X day of any given month (Expiration month, m...