Search found 126 matches
- Fri Mar 11, 2011 12:03 pm
- Forum: Testing and Simulation
- Topic: Another new Goodness Measure; also, walking it forward
- Replies: 18
- Views: 10640
Yep that thread was the other contender for my post. However, as my ratio will still show changes with changes in leverage, i could not claim that it is actually independent of leverage- i fear the replies in your thread are right- there is no leverage-independant goodness function. this gets you cl...
- Fri Mar 11, 2011 11:49 am
- Forum: Testing and Simulation
- Topic: Another new Goodness Measure; also, walking it forward
- Replies: 18
- Views: 10640
Another new Goodness Measure; also, walking it forward
edit : this pic "sluggo's pic" is referenced a lot in this now newly split topic http://www.tradingblox.com/forum/files/1000words_451.png i have started employing a variation on MAR, that i feel is somewhat more representative of the actual growth vs pain relationship when varying leverage...
- Mon Mar 07, 2011 11:35 am
- Forum: Testing and Simulation
- Topic: Things you might do, even though they HURT performance
- Replies: 14
- Views: 11715
- Mon Feb 28, 2011 3:16 am
- Forum: Testing and Simulation
- Topic: Profit Target exits improve this system's performance
- Replies: 63
- Views: 47718
Seems like when the rate of change in p/l is rapid a chandelier reacts quicker. Is there such a thing as a dynamic chandelier? Yes. Have a think about donchian channels. By fixing time sensitivity, they are dynamically sensitive to volatility. If you view the atr parameter of chandelier as more of ...
- Thu Feb 24, 2011 2:32 pm
- Forum: Testing and Simulation
- Topic: "Subset" trading is not Diversification ?
- Replies: 3
- Views: 3127
hmm, this thread was right under my nose. good ole klatt!
- Thu Feb 24, 2011 11:15 am
- Forum: Testing and Simulation
- Topic: "Subset" trading is not Diversification ?
- Replies: 3
- Views: 3127
- Thu Feb 24, 2011 10:51 am
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47177
yes. you wrote that. yes. i agreed after reading it... yes. i had to fill out many superfluous lines of text to express that! :lol: it was worth highlighting 8) for one small paragraph in an entire thread of well written content, it was by far the most important thing of all. It should probably be b...
- Thu Feb 24, 2011 10:32 am
- Forum: Testing and Simulation
- Topic: Trading Frequency Poll - Feel free to participate!
- Replies: 3
- Views: 2536
- Thu Feb 24, 2011 9:48 am
- Forum: Testing and Simulation
- Topic: "Subset" trading is not Diversification ?
- Replies: 3
- Views: 3127
"Subset" trading is not Diversification ?
It could well be that i am merely getting hung up on semantics and that this goes nowhere, but let me lay this out anyway.... In a related thread I caught myself making a statement to the effect of: Less Things(i.e. timeseries,products,strats etc) allow for greater potential performance at the expen...
- Thu Feb 24, 2011 9:00 am
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47177
loving that hari seldon story AFJG. lmao! also loving jez's second post as much as his first- they highlight the relationships brilliantly and provide good meat for further discourse: if anything the new chart shows better the perils I am arguing- the potential adverse dV/dRho gets nutty for small p...
- Tue Feb 22, 2011 11:02 am
- Forum: Testing and Simulation
- Topic: Trading Frequency Poll - Feel free to participate!
- Replies: 3
- Views: 2536
- Tue Feb 22, 2011 10:40 am
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47177
actually screw my bullshit analogy, Jez Liberty's EXCELLENT post in this thread says it all just fine really. We know that over the long haul correlations of even combined equity curves tend to be about as stationary as speedy gonzalez on speed, bouncing around inside the large hadron collider. As s...
- Tue Feb 22, 2011 10:02 am
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47177
- Tue Feb 22, 2011 5:23 am
- Forum: Testing and Simulation
- Topic: Trading Frequency Poll - Feel free to participate!
- Replies: 3
- Views: 2536
- Tue Feb 22, 2011 5:22 am
- Forum: Testing and Simulation
- Topic: Trading Frequency Poll - Feel free to participate!
- Replies: 3
- Views: 2536
Trading Frequency Poll - Feel free to participate!
A Simple question, feel free to post in the thread to identify that you have answered the poll, or do not, and remain anonymous! The reason for the overlapping bins is because there is often a noticeable variance around the mean trade-rate, from one year to the next, so just pick the answer that bes...
- Tue Feb 22, 2011 4:54 am
- Forum: Testing and Simulation
- Topic: Blending noncorrelated (or anti-correlated) equity curves
- Replies: 50
- Views: 47177
i was wondering: does the use of root mean square measures(i.e. StDev) induce any parculiar effects when doing all these variance analysis for weightings? i.e. if we used a Rescaled MAD or AAD (median and average absolute deviations, respectively), would that be more sensible? I understand that Stde...
- Mon Aug 30, 2010 3:06 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16588
- Thu Aug 26, 2010 4:02 am
- Forum: Testing and Simulation
- Topic: Interesting articles
- Replies: 24
- Views: 16588
- Thu Jun 10, 2010 5:39 am
- Forum: Trader Psychology
- Topic: Is trading moral and ethical?
- Replies: 25
- Views: 39852
- Fri Apr 23, 2010 4:42 am
- Forum: Testing and Simulation
- Topic: Correlation - Inputs vs. Outputs
- Replies: 10
- Views: 6860