Search found 126 matches
- Fri Aug 24, 2012 5:48 am
- Forum: Testing and Simulation
- Topic: Drawdown Reduction Threshold
- Replies: 11
- Views: 7282
- Wed Aug 15, 2012 6:13 am
- Forum: Testing and Simulation
- Topic: Drawdown Reduction Threshold
- Replies: 11
- Views: 7282
Back in the day my colleague and I explored a whole raft of DDrm. All the ones with a discrete binary state switching gate(or multiple) were understandably crap or curvefitting exercises. We had some success with non-linear continuous drop-off functions and successfully used a couple of variants, bu...
- Fri Jul 27, 2012 4:20 am
- Forum: Testing and Simulation
- Topic: Asset allocation plus momentum , correlation
- Replies: 10
- Views: 10247
- Wed Jul 25, 2012 5:50 am
- Forum: Testing and Simulation
- Topic: Asset allocation plus momentum , correlation
- Replies: 10
- Views: 10247
Asset allocation plus momentum , correlation
Edited by Moderator: New discussion topic merits its own thread + title. Parent was this - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - i'll just leave this here as it seems to cover most sensible ideas on this subject. 1. go to the page, and downl...
- Wed Jun 13, 2012 4:37 am
- Forum: Trader Psychology
- Topic: Tracking open equity drawdown is detrimental to you.
- Replies: 0
- Views: 5493
Tracking open equity drawdown is detrimental to you.
Okay, anyone moderately well-versed in the subject knows the ins and outs of total, open, closed and core equity. And I know it is "industry standard" to use total equity DD. My [somewhat rambling] point here is that it is detrimental to your trader mental wellbeing, as it is nearly always...
- Wed Jun 13, 2012 4:01 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 22110
- Wed Jun 13, 2012 3:37 am
- Forum: Testing and Simulation
- Topic: The Mirage
- Replies: 37
- Views: 22110
My testing now is more about probabilities, and individual ideas is more bespoke and then is a guide....using many trend following principles - but its not a one turn key solution whereby number of instruments, data time frames or such play such a crucial part. Agreed The trap is this: thinking tra...
- Mon Jun 11, 2012 3:33 pm
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 40622
- Mon Jun 11, 2012 3:46 am
- Forum: Testing and Simulation
- Topic: Strong May Results for Mechanical/Trend Following Systems
- Replies: 59
- Views: 40622
- Tue May 29, 2012 3:36 pm
- Forum: Testing and Simulation
- Topic: Blood on the streets...
- Replies: 25
- Views: 18687
- Tue May 29, 2012 3:43 am
- Forum: Market Psychology
- Topic: Is Trend Trading a "Bubble"
- Replies: 8
- Views: 12198
taking the specific output of the general equations doesn't exactly give a full representation: in the pure maths rabbits go extinct and so do foxes. nature is a little more complex and resilient than the raw simple equations make out... would be interesting to live in a universe where i could meet ...
- Mon May 28, 2012 5:44 am
- Forum: Market Psychology
- Topic: Is Trend Trading a "Bubble"
- Replies: 8
- Views: 12198
- Tue May 22, 2012 4:01 am
- Forum: Testing and Simulation
- Topic: Long term trend following on equities a fool's game?
- Replies: 64
- Views: 52962
I like this thread. AFAICT the application of a momentum screening approach is the single best way to get edge in stock trading. All of the successful equities traders that I ever met(not an exactly massive sample admittedly) never had even halfway decent actual entry/exit logics. e.g. they were jus...
- Tue May 08, 2012 3:52 am
- Forum: Testing and Simulation
- Topic: Long Vs Long/Short Futures
- Replies: 2
- Views: 2804
I am very sorry to do this in the first reply, but I have to torpedo the merit of your futures analysis: 1)you are identifying the possibility of a 5-10% improvement in a noisy annual sharpe statistic. In the context of the amount of data available, annual sharpe is a very low sample rate figure and...
- Tue Apr 24, 2012 6:21 am
- Forum: Testing and Simulation
- Topic: Adding an additional indicator...
- Replies: 1
- Views: 2034
mike you might want to check out the other sub-forums for users thoughts. In the case that you don't find anything constructive, well, that is info in itself. I highly recommend just playing around with the search function, and maybe taking a few weeks to read through the many many high quality thre...
- Wed Apr 18, 2012 12:06 pm
- Forum: Testing and Simulation
- Topic: Triple moving average...
- Replies: 43
- Views: 18887
yes, what fabusa wrote. there is a good thread somewhere around here dedicated to that discussion... I in terms disagree about finding the sweet spot as it's sounds rather curve fitting. The sweetspot can be pretty wide, so not much of a spot, but more of a large thoroughfare, with the river on one ...
- Wed Apr 18, 2012 4:26 am
- Forum: Testing and Simulation
- Topic: Triple moving average...
- Replies: 43
- Views: 18887
- Wed Mar 07, 2012 3:26 am
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 11114
I remember playing around with LAD for a couple of weeks back in 2003 or so, looking at intraday momentum application. It wasn't any good at that application tbh, as it suffers from signal/execution price dislocation just like a DMA approach, for example. The RMR approach does look like an interesti...
- Mon Mar 05, 2012 11:52 am
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 11114
- Mon Mar 05, 2012 10:23 am
- Forum: Testing and Simulation
- Topic: annual profit target
- Replies: 16
- Views: 11114