Search found 51 matches
- Thu May 22, 2003 3:58 pm
- Forum: Money Management
- Topic: perplexed: Position Sizing
- Replies: 10
- Views: 15557
What to do, if anything, about a laggard mkt in a portfo
Would you clarify this one point please? Using a fixed fractional position sizing method, each individual market tests well on single contract testing. It seems contradictory to me to use fixed fractional position sizing while doing single contract testing. Probably I've misunderstood! :oops: thx, mj
- Mon May 19, 2003 12:48 pm
- Forum: Trend Indicators and Signals
- Topic: Moving Averages - Comments?
- Replies: 7
- Views: 11228
Moving Averages for trading
Thirteen's a moving average system with decent results: http://www.tradingblox.com/forum/viewtopic.php?p=844&highlight=%2Athirteen%2A#844 . if( MACD(Close, 13, 130) > 0.0 ) then buy tomorrow at the market; if( MACD(Close, 13, 130) < 0.0 ) then sell tomorrow at the market; However, I and others w...
- Fri May 16, 2003 6:39 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 34010
Seykota's Lake Ratio
Seykota takes the daily equity values E(i) and calculates the data series P(i), the "peaks", defined as P(i) = MAX(E(n)) for n=1 to n=i Then he calculates two numbers, WATER and EARTH: WATER = SUM( P(j) - E(j) ) for j=1 to ndays EARTH = SUM( E(k) ) for k=1 to ndays His Lake Ratio = WATER/E...
- Thu May 01, 2003 7:14 pm
- Forum: Testing and Simulation
- Topic: Portfolio Selection
- Replies: 57
- Views: 68316
Hi Forum Mgmnt, yes we certainly are using different methods of calculation. You're computing a monthly Sharpe Ratio, I'm computing an annual one. Here's illustrative calcs done both ways on the Thirteen data: Annual return = 62.151% Annual risk-free rate = 5.000% Annual standard deviation = 36.838%...
- Wed Apr 30, 2003 12:13 pm
- Forum: Money Management
- Topic: Optimal f
- Replies: 87
- Views: 153349
- Wed Apr 30, 2003 10:07 am
- Forum: Testing and Simulation
- Topic: Portfolio Selection
- Replies: 57
- Views: 68316
- Wed Apr 23, 2003 10:05 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26782
- Sat Apr 19, 2003 2:25 pm
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26782
- Sat Apr 19, 2003 10:31 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26782
- Fri Apr 18, 2003 10:58 am
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26782
The most useful result from Monte Carlo techniques, for me personally, is an estimate of the cumulative distribution function of possible outcomes. I like to run a few thousand MC tests, create a CDF, and plot it. Then I stare at the plot and introspect. I look at the 1% and 5% points on the CDF and...
- Thu Apr 17, 2003 10:05 am
- Forum: Testing and Simulation
- Topic: Computing Skid
- Replies: 10
- Views: 10808
Compting skid
I've always liked the method used by Technical Tools (may they rest in peace). Their data management software contained a couple of built-in trading systems, with a unique way of letting the user specify slippage ("skid") for backtesting: as a percentage. For a moment consider long trades....