Traders' Roundtable

Yes CSI is just EOD.

It may be possible to do the back adjusting in Excel - but this seems like a blunt instrument. Excel will puke at the sheer volume of data to start with.

I would use some form of procedural language - C, Delphi, Matlab ... whatever. Doesn't really matter. It would be a trivial ...

With that said, I'm really open to ideas on how it might be accomplished so it can be tested to see if it add to our knowledge and ability.

I've noticed this option in several Monte Carlo tools. I presume it is a very similar problem to solve, except for dates and not trades. I've e-mailed you ...

Roger,
Great job on the software. I've been reading charts for 20 years and I cannot visually tell the difference between your sythetic data and the original time series.

Several questions if you don't mind:

1. I wonder if you have given any thought to some method of retaining the short term ...

Thanks Roscoe.
Your formula is less agressive initially but the results converge as profit grows, which is as you would expect.

Did you source this from his book/recent material?

Cheers.

hi sluggo,

Thanks for the heads up. I am working from his course notes dating back to 1997 - which may be problematic. I found them quite difficult to follow but my formula seemed to give the correct results for various worked examples he provided.

Having said that, the introduction of initial ...

I borrowed a copy of the notes from Jones' course (circa late 90's). After working through his math and applying a little quadratic algebra ...... his fixed ratio approach can be expressed with the following formula.

l = (1+sqrt(1+8*e/d))/2;

where:
e = equity
d = delta
l = number of lots

After ...

Leapfrog,

I consider his first 2 books to be veritable bibles. I'm yet to fully comprehend his third book- so I can't recommend it. I can never seem to finish it.

His ideas tend to be controversial, but as a trader, they are too important to be dismissed summarily out of hand.

Good reading.

Leapfrog,

If memory serves me correctly Ralph Vince published (his 1st book I believe) several variations to the risk of ruin formula that specifically dealt with various capital withdrawal regimes.

If you want the formulas and don't have the book I can post them - let me know.

Cheers

Hi Roger,

I'll put my hand up. If you're creating some software to generate synthetic data I'd love to have the opporunity to "play" with it.

Cheers