Search found 109 matches
- Fri Feb 13, 2004 11:36 am
- Forum: Money Management
- Topic: If ATR doubles - Get Out ????
- Replies: 11
- Views: 15205
Hi Mark, Since I was putting forward an idea that might help solve the problem proposed by King_Tiger, but I don't use the idea personally, I guess I did not think through all the ramifications of testing the idea on backadjusted contracts. It seems to me that the ATR values from backadjusted prices...
- Fri Feb 13, 2004 9:29 am
- Forum: Money Management
- Topic: If ATR doubles - Get Out ????
- Replies: 11
- Views: 15205
- Thu Feb 12, 2004 3:51 pm
- Forum: Testing and Simulation
- Topic: Monte Carlo analysis of trading systems
- Replies: 17
- Views: 20648
- Thu Feb 12, 2004 1:07 am
- Forum: Testing and Simulation
- Topic: Monte Carlo analysis of trading systems
- Replies: 17
- Views: 20648
- Tue Jan 27, 2004 9:04 pm
- Forum: Testing and Simulation
- Topic: Too Good to Be true ???
- Replies: 7
- Views: 7929
Hi William, I agree that max slippage assumptions will kill the profitability of almost any system, however, IMHO there is still some value in it. I believe Mark Johnson once said on this forum or another, I am not sure, (paraphrasing) that he does not know what a good system is, just whether a syst...
- Mon Jan 26, 2004 1:47 pm
- Forum: Testing and Simulation
- Topic: Too Good to Be true ???
- Replies: 7
- Views: 7929
- Mon Dec 29, 2003 1:12 pm
- Forum: Money Management
- Topic: If ATR doubles - Get Out ????
- Replies: 11
- Views: 15205
Chris, I primarily use Trading Recipes, and it does not support testing on timeframes smaller than daily. Therefore, I cannot really make any suggestions regarding applying systematic strategies to intraday timeframes. I am sure there are others in the forum that test intraday on Tradestation, Amibr...
- Mon Dec 29, 2003 9:31 am
- Forum: Money Management
- Topic: If ATR doubles - Get Out ????
- Replies: 11
- Views: 15205
As an update to my last post, I have tested several versions of this type volatility exit with several types of medium to long term trend following systems using Trading Recipes. My conclusions are not surprising. Although an exit like this improves the backtested results of certain individual syste...
- Sun Dec 21, 2003 11:20 pm
- Forum: Money Management
- Topic: If ATR doubles - Get Out ????
- Replies: 11
- Views: 15205
Hi guys, I'm a long time lurker, first time poster. I have heard this notion before, and when I saw it here I took it upon myself to test it a bit. Preliminary results show promise. I tested several versions and found that using a shorter period ATR (say 8-13 bars) and comparing it to a longer perio...