Search found 752 matches
- Fri Sep 30, 2005 12:55 pm
- Forum: Money Management
- Topic: risk control in all-in portfolio system
- Replies: 11
- Views: 11757
Reversal System
Hubster, you can still accurately manage risk and position size on a reversal system. You can still have and "hold" stops so long as you have a mechanism to get back into the market if you are stopped out. Take an N Day breakout: 90 day high to enter, 90 day lo to exit. You can attach a 2 ...
- Fri Sep 23, 2005 12:54 pm
- Forum: Money Management
- Topic: Eckhardt is better than Richard Dennis in money management ?
- Replies: 7
- Views: 10714
- Thu Jul 07, 2005 5:01 pm
- Forum: Custom C++ or Java Platforms
- Topic: Yet another ATS platform (Erlang)
- Replies: 7
- Views: 11035
Perhaps for those poor simpletons such as myself who know a bit about markets but little about technology you could explain, in simple English involving the use of as little computer jargon as possible, what it is you are offering (if indeed you are offering anything - the purpose of your post is, t...
- Tue Jun 28, 2005 7:09 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12681
- Tue Jun 28, 2005 7:00 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12681
Where can I find the Druz paper? On his website? Yes, re Jerry Parker, his views at that futures conference a couple of years ago were most interesting. Re 1 to 2 trades a year, I think one can take comfort from adding many more markets to the test and taking the total portfolio above 100 assuming a...
- Tue Jun 28, 2005 6:31 am
- Forum: Testing and Simulation
- Topic: Recent vs. Distant Results
- Replies: 17
- Views: 12681
- Tue May 31, 2005 3:22 am
- Forum: Testing and Simulation
- Topic: Triple Moving Average vs. All The Others
- Replies: 40
- Views: 39463
Triple MA
I am using Trading Blox. I also use Trading Recipes.
- Sat May 28, 2005 3:54 am
- Forum: Testing and Simulation
- Topic: Triple Moving Average vs. All The Others
- Replies: 40
- Views: 39463
- Sat May 21, 2005 4:08 am
- Forum: Testing and Simulation
- Topic: adjusted or not adjusted
- Replies: 5
- Views: 4900
CSI UA
Even within backadjusted contracts there are many different possibilities to test. Detrending for instance which puts a long time series in today's prices and, it is argued, helps to correct the long only bias in inflationary commodities which have risen over time. And price series where backadjusti...
- Tue Apr 05, 2005 4:40 am
- Forum: Money Management
- Topic: Timid Equity / Bold Equity - Position Sizing Method
- Replies: 8
- Views: 13035
Timid/Bold Equity
As Steady Jake said, the start date is vital. So it is for any system. If you are lucky enough to start at a favourable moment for your system (assuming it is a half reasonable LTTF with a sensible bet size and portfolio), your build up of capital will be rapid - especially risking 7.5% of Bold Equi...
- Fri Mar 18, 2005 8:45 am
- Forum: Testing and Simulation
- Topic: Has Trend Following Really Gotten Harder?
- Replies: 10
- Views: 13512
Hmm, I must say I wrote instituational brokerage research for Swiss Bank Corporation way back in the 80's. I have to tell you we were always only too pleased to have that chucked around in every way possible. It was our advertising, our calling card. That was its purpose. My less kind friends used t...
- Fri Mar 18, 2005 5:51 am
- Forum: Testing and Simulation
- Topic: Has Trend Following Really Gotten Harder?
- Replies: 10
- Views: 13512
- Sat Mar 12, 2005 4:25 am
- Forum: Trader Psychology
- Topic: Overcoming bad habits acquired from day trading
- Replies: 17
- Views: 23275
And as I have often pointed out before, for the first few years of trend following, you may well NEED a day job. Unless you are well heeled enough or have other sources of income, it is likely to take a few years to build your account to the size where you can make regular withdrawals to live off. B...
- Tue Mar 08, 2005 10:35 am
- Forum: Trader Psychology
- Topic: Are You Suited to Trend Following
- Replies: 42
- Views: 82963
Market timing Sluggo and with the benefit of hindsight. Buy and hold when linked to market timing also involves prediction. Look what the same investments in the SPDR or QQQ would have done since January 2000 by way of example. While relieved that I have at least performed no worse than the Barclays...
- Wed Jan 12, 2005 4:33 am
- Forum: Trader Psychology
- Topic: Meditation
- Replies: 32
- Views: 38773
Meditation
Trade Wynds After 30 years of teaching and practice what stage have you reached? I recently read a Jack Kornfield book and suspect that sadly he, for instance, has not attained the ultimate goal. His work The Path of Heart does not reflect an equanimity in the writer. I would be fascinated to meet s...
- Tue Dec 21, 2004 5:01 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100515
- Mon Dec 20, 2004 1:57 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100515
I was also talking purely about mechanical systems traders. I guess I can be forgiven for the mistake of not making that plain, given the forum. To talk of the trading records of Kovner, Tudor Jones, Luis Bacon and so on was not my intention. For one thing I imagine they are mostly discretionary wit...
- Mon Dec 20, 2004 1:30 pm
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100515
Yes, sorry Gordon, quite right,very sloppy of me. I should have made plain I was talking about longer termn trend followers in general. I have indeed looked at Crabel's funds for my own investment purposes and while you are of course absolutely correct about the MAR, the CAGR is lowish (from memory)...
- Mon Dec 20, 2004 6:29 am
- Forum: Testing and Simulation
- Topic: By What Measure? - How do You Know if a System is Good?
- Replies: 84
- Views: 100515
As has been pointed out a number of times, you have to add back in management and performance fees to these CTA performances which of course improves MAR. But I have come to exactly the same conclusion as you have. Over the long term I am doubtful that such high MARs are achievable in the real world...
- Mon Dec 06, 2004 11:35 am
- Forum: Trader Psychology
- Topic: Cross roads..
- Replies: 3
- Views: 7284
At middle age, life for many becomes a spiritual journey in the broadest sense. You enter the world with nothing and leave with nothing and yet most of us spend (or have to spend) our entire lives in the pursuit of material gain or at least material subsistence. As life wears on, more of us seek ans...