Search found 11 matches
- Sun May 15, 2005 6:05 pm
- Forum: Trader Psychology
- Topic: Overcoming bad habits acquired from day trading
- Replies: 17
- Views: 24169
- Thu Sep 23, 2004 5:35 pm
- Forum: Testing and Simulation
- Topic: System performance
- Replies: 9
- Views: 9628
- Sat Dec 06, 2003 3:08 pm
- Forum: Stocks
- Topic: Market Structure
- Replies: 0
- Views: 5154
Market Structure
I just came across this interesting study of long-term memory in a stock market. Using data from the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as t^(-alpha) with alpha ~ 0.6, corresponding to a Hurst exponent...
- Tue Sep 16, 2003 8:00 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52606
Menelik, I'd like to better understand your reasoning. You have talked about having your own definition of risk. Please give an example or two of the kind of scenarios that you feel are better handled by your method than by the fixed stop. Also, when do you get out? If you don't use a fixed stop, ho...
- Sat Sep 13, 2003 4:03 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52606
I'm still trying to get a feel for this problem so I've been playing around with some stock data. I'm hoping to get some idea of what nasty surprises might be out there by looking at tomorrow's true range vs. today's atr (10-day average). Following Menelik's suggestion, I normalized both by today's ...
- Thu Sep 11, 2003 1:55 pm
- Forum: Money Management
- Topic: Increasing leverage through LEAPs
- Replies: 16
- Views: 16457
Re: Increasing leverage through LEAPs
It doesn't really affect your argument, but I believe this should be $7.80.al2000 wrote:Using Interactive Brokers, the commission would be $78 ...
- Thu Sep 11, 2003 1:10 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52606
Menelik, I agree with you that a simple-minded use of ATR is probably not the final word on risk control. The thought of price fluctuations of 50% will make most folks a bit queasy, although this might be the result of an unconscious bias of using a too-long-term perspective. I just wanted to get th...
- Wed Sep 10, 2003 11:09 pm
- Forum: Testing and Simulation
- Topic: ATR Value
- Replies: 56
- Views: 52606
As I understand it, the use of ATR is an attempt to measure the actual dollar risk per unit traded. If I trade the same number of shares and there is a $5 move then my gain or loss is the same whether the unit price is $10 or $50. So if I am willing to risk a total of X and I will get out if the pri...
- Tue Sep 09, 2003 11:37 pm
- Forum: Testing and Simulation
- Topic: Monte Carlo Simulation
- Replies: 22
- Views: 26845
Is there any tools that could simulate a probability distribution with a <0.5 hurst coefficient, I think this would give us more realistic results. I can give you a procedure that will produce approximations of fractional Brownian motion. It's on page 495 of the book Chaos and Fractals by Peitgen, ...
- Sat Aug 30, 2003 7:33 pm
- Forum: Market Psychology
- Topic: Concepts of behavioral finance ...
- Replies: 11
- Views: 27104
- Wed May 07, 2003 10:48 pm
- Forum: Money Management
- Topic: %Risk vs %Vol or Both
- Replies: 4
- Views: 5688
I think our mate Gordon the Moderator is prompting discussion threads and thought. damian, that was my first thought, too. However, after being conditioned by other sites, my second thought was that Bondtrader was in for some serious flaming. :twisted: What a pleasure it is to visit this site. It's...