Search found 121 matches
- Mon Sep 06, 2004 12:03 am
- Forum: Trend Indicators and Signals
- Topic: Which futures markets trend the most?
- Replies: 18
- Views: 33434
ADX ranks again ...
TC, agreed ... no need to get fixated on the SP when there are other opportunities. Your comment on trend length agrees with my casual observation. BTW: returning to Mark's study, here's how the indices you mention stack up, and their current trade volumes. I hilited top (green) and bottom (red) ran...
- Sun Sep 05, 2004 2:38 am
- Forum: Trend Indicators and Signals
- Topic: Which futures markets trend the most?
- Replies: 18
- Views: 33434
The trend is my friend
I think the S&P has not earned its bad reputation among trend following traders. With 0% T-Bill interest, $20 commission, 10% slippage, $50k starting account, and a 1.5ATR stop in Veritrader, I found some trends. Well, it could be that I'm living in a different universe. Maybe it's time I check...
- Sat Sep 04, 2004 1:59 am
- Forum: Trader Psychology
- Topic: An ironically bad trade based on fundametals ...
- Replies: 3
- Views: 6729
Re: good story.
Hmm, the phrase "marginal utility" comes to mind.Nathan wrote:hey u ended the night up 1 free beer. You came out ahead!!!
K
- Fri Sep 03, 2004 1:32 am
- Forum: Trend Indicators and Signals
- Topic: Which futures markets trend the most?
- Replies: 18
- Views: 33434
- Thu Sep 02, 2004 10:13 pm
- Forum: Trend Indicators and Signals
- Topic: Which futures markets trend the most?
- Replies: 18
- Views: 33434
- Sun Aug 29, 2004 11:00 am
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 152280
- Sat Aug 28, 2004 6:15 pm
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 152280
Re: comparing strategies
Vince say that you have to calculate optimal f's for different strategies (market systems) en then use the geometric mean (which follows from the f) to compare the strategies to see which strategie performs best. Why can't you just compare the returns of some stocks for the strategies? Why can't yo...
- Thu Aug 26, 2004 4:01 pm
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50743
- Thu Aug 26, 2004 2:02 am
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50743
Psychology
I note that this is a thread under Trading Psychology, yet we're probably treading on a thread that might belong under System Testing. I know other threads have addressed system measures better than MaxDD. However, for better or worse, I think MaxDD as a measure is here to stay because of the powerf...
- Wed Aug 25, 2004 8:13 pm
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50743
Chance
My opinion on using Monte Carlo methods for testing trading system performance is that the Monte Carlo results may be misleading. My reason for stating this is that Monte Carlo simulations assume independence of the individual trades. (i.e. each new trade is independent from the previous trades.) L...
- Wed Aug 25, 2004 7:53 pm
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50743
In this case, there was a 3 in 4 chance that MaxDD didn't exceed 42.3% (or following, a 1 in 4 chance that MaxDD is greater than 42.3%). The question remains: what do you do with the information that the probability of MaxDD greater than 42.3% is 25%? Does it boost your confidence in the system? Do...
- Wed Aug 25, 2004 6:00 pm
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50743
ksberg for the benefit of someone like me who is a know-nothing, what does the first chart represent? Literally each increment in the first chart represents a 1% group in the sample space. So, adding 75 x 1% groupings from the LHS gives 75% probability, or the cummulative probability. Here is an ea...
- Wed Aug 25, 2004 5:34 pm
- Forum: Trader Psychology
- Topic: Dealing with a drawdown
- Replies: 29
- Views: 50743
New Measures
I think this thread points to some room for possible improvement in system testing software. Knowing the size (or %) of the maximum drawdown isn't sufficient data. It would be much better to take all the drawdowns encountered in the system test calculations and report the statistics of the entire s...
- Mon Aug 23, 2004 12:52 am
- Forum: Trader Psychology
- Topic: trading myths.
- Replies: 18
- Views: 24942
- Sat Aug 21, 2004 9:45 pm
- Forum: Trader Psychology
- Topic: trading myths.
- Replies: 18
- Views: 24942
it seems people would rather attempt to argue than share any thoughts from their personal experience. Great but, im not interested in that. Richard, I disagree with you but who cares. it seems people are so eager to contradict with their two cents, they may not even bother to first understand a dif...
- Fri Aug 20, 2004 6:24 pm
- Forum: Trader Psychology
- Topic: trading myths.
- Replies: 18
- Views: 24942
- Fri Aug 20, 2004 12:32 am
- Forum: Trader Psychology
- Topic: trading myths.
- Replies: 18
- Views: 24942
- Thu Aug 19, 2004 9:40 pm
- Forum: Trader Psychology
- Topic: trading myths.
- Replies: 18
- Views: 24942
Myths or ...
Nathan, There are several ways to go about myth busting. Presenting research and facts tends to be among the best. Clarifying misconceptions is another. Sometimes it helps to trace the source of misinformation. I believe that #1 and #2 are misquotes. What I recall seeing is that money management (po...
- Sat Jul 24, 2004 2:49 pm
- Forum: Money Management
- Topic: Definition of 'Money Management' vs. 'Risk Control'
- Replies: 2
- Views: 4940
Many Definitions
Christian, I think you'll find many definitions for money management, which is one reason Van Tharp used a different, more specific term "position sizing". You will also hear "bet size", or even allocation (which can also mean other things). Some traders use the term money manage...
- Fri Jul 16, 2004 12:09 pm
- Forum: Testing and Simulation
- Topic: ATR Channel B/o System
- Replies: 12
- Views: 12394
Minor Variations
I think we can expect minor variations between implementations. Anyone who's done Numerical Analysis can relay how mathematical imprecision effects all computers. Throw in different numerical precisions and formats due to language or platform choice, and there are bound to be differences, even with ...