Search found 126 matches
- Tue Dec 29, 2009 10:41 pm
- Forum: Trend Indicators and Signals
- Topic: Ablesys feedback
- Replies: 5
- Views: 6938
- Tue Dec 22, 2009 1:38 pm
- Forum: Market Psychology
- Topic: Trader Resolutions
- Replies: 7
- Views: 11248
Re: Trader Resolutions
Doug Hirschorn posted "13 Trader Resolutions for 2010" on a blog for CNBC. I thought it was worth passing on: 1. I will create game plans for all my trades. 2. I will only trade when I have an edge. 3. If I have 3 losing trades in a row, I will take a break, walk away, and clear my head. ...
- Mon Dec 14, 2009 11:37 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20689
Re: Quantification of system robustness
noddoodahs, how do you pick the outliers? Unusual R-multiple trades or best performing years? Isn't trend following all about keeping doing business to get the outliers? Good ol' box-plot analysis? Rare events are harder to get good statistical odds for. If 80% of the profits come from 20% of the t...
- Mon Dec 14, 2009 5:23 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20689
We're glad you joined, too, JezLiberty! Don't forget, lots of tips on the idea of testing robustness in that response [ http://www.tradingblox.com/forum/viewtopic.php?p=39802#39802 ] appeared after the section you quoted ... I found Taleb's rants to be about five or ten pages of good solid material,...
- Sun Dec 13, 2009 10:04 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 33973
- Sun Dec 13, 2009 10:04 pm
- Forum: Testing and Simulation
- Topic: indirect way to use percent-based indicators on BAC data?
- Replies: 12
- Views: 7488
If I'm using the spot prices to develop a trading system, I'm simulating actually buying the underlying. I mentioned four specific concerns with using a system designed on spot prices, against futures contracts. You are focusing on one of them, the impact of leverage. Leverage, once applied, is no l...
- Sat Dec 12, 2009 12:36 pm
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20689
I do know for certain, that we don't know for certain if any system can be robust forever. I believe that some things about the market will be constant, simply because it's a market of human individuals and human nature is constant (at least over our lifetimes). I also know for a fact, from research...
- Sat Dec 12, 2009 11:22 am
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20689
- Sat Dec 12, 2009 10:49 am
- Forum: Testing and Simulation
- Topic: Quantification of system robustness
- Replies: 27
- Views: 20689
Re: Quantification of system robustness
Sluggo beat me to the point. All of your measurements are going to be subjective. There ain't no such thing as an "objective" evaluation metric. Our biases color our choices. Sharpe, Sortino, IR, compounding, all have embedded assumptions about our preferences. Good luck. Find what YOU wan...
- Sat Dec 05, 2009 9:11 am
- Forum: Futures Markets
- Topic: Got gold?
- Replies: 11
- Views: 9868
- Fri Dec 04, 2009 5:14 pm
- Forum: Futures Markets
- Topic: Got gold?
- Replies: 11
- Views: 9868
- Thu Dec 03, 2009 12:20 pm
- Forum: Testing and Simulation
- Topic: indirect way to use percent-based indicators on BAC data?
- Replies: 12
- Views: 7488
The point of using ATR rather than %age-based moves is that the ATR will better scale itself to the different average volatility of different instruments. Using a percentage-based move of X percent might trigger a higher number of trades in some commodities than in does in most equities, and the sam...
- Thu Dec 03, 2009 12:07 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 33973
- Thu Dec 03, 2009 8:23 am
- Forum: Testing and Simulation
- Topic: indirect way to use percent-based indicators on BAC data?
- Replies: 12
- Views: 7488
- Wed Dec 02, 2009 5:17 pm
- Forum: Money Management
- Topic: Seykota's risk management web page - Lake Ratio description
- Replies: 21
- Views: 33973
- Wed Dec 02, 2009 5:11 pm
- Forum: Testing and Simulation
- Topic: indirect way to use percent-based indicators on BAC data?
- Replies: 12
- Views: 7488
- Tue Nov 24, 2009 2:28 pm
- Forum: Testing and Simulation
- Topic: What is the use of the Semideviation ratio?
- Replies: 9
- Views: 6157
Actually, I just today read the entire thread, start to finish, for the first time, today, before responding. It's said communication has seven steps and some of them are in the sender's camp, some of them in the receiver's camp. :D The relative ranking of different systems changes as the target inc...
- Tue Nov 24, 2009 1:04 pm
- Forum: Testing and Simulation
- Topic: What is the use of the Semideviation ratio?
- Replies: 9
- Views: 6157
- Tue Nov 24, 2009 12:47 pm
- Forum: Money Management
- Topic: Drawdown simulation and trading systems selection
- Replies: 4
- Views: 5726
I like the way you're thinking about combining systems and generating MC sims to tailor future expected results to fit your risk tolerance. But my liking that doesn't matter much, since I'm just some anonymous character on the internets. I do want to provide a set of cautions on the use of Monte Car...
- Sun Oct 05, 2008 11:18 pm
- Forum: Money Management
- Topic: Position Size, Volatility, and Trend
- Replies: 4
- Views: 5786
nodoodahs, If you size positions using a volatility adjusted algorithm, then your position sizes will automatically become larger when volatility is low and become smaller when volatility is high. Sebastian True, but does anyone have experience in varying position size based on volatility AND trend...