If you're trading forwards or futures, be sure to include the costs of continuously rolling over your positions: you pay the bid-ask spread AND...
I've read the book. I enjoyed it immensely. There are many ways to look at its contents; the one that I prefer is: This is a fully...
There are, of course, ways of measuring the smoothness of the equity curve. If you're running thousands of computerized what-if scenarios and...
Perhaps you could do a Google search on some of the words and phrases in this image. The URL worked fine for me on 09 December 2005.
This package includes Monte Carlo. http://unicorn.us.com/trading/prosizer.html...
A. % of profitable days B. % of profitable weeks C. % of profitable months D. Length of longest drawdown in months E. % of days making new...
TAE = Total Account Equity = cash + Tbills + open trade equity Today's return = TAE(today) / TAE(yesterday) Step 0: decide on a nominal...
There's no rush. Wait a while, see if the site grows. Meanwhile trade your method using your own money and build up your track record. If and...
A big thank-you to user freehouse for posting the article!
Or, if trading several instruments (a portfolio) simultaneously, drawing portfolio-wide returns from the return set (i.e. the equity curve) to...
Amazon dot com sells a book called "Monte Carlo methods in finance" and another one called "Monte Carlo simulation in finance." Maybe they might...
Suppose you had a team of five tremendously talented computer programmers working for you. What program(s) would you have them write, to analyze...
A mutual fund's manager charges a fee of 0.5% to 1.5% per year. On a million $Can that's 5K to 15K $Can per year. Not much of a salary. A...
How much out of sample testing is enough? However much you need, to feel confident. Fill in the blank: If I tested _____ months out of...
Another candidate for the greatest feeling in the world: Closing out your positions for exogenous reasons unrelated to your trading system...
INDEX futures? Bought the Dec Nasdaq futures (fullsize) at market on the open. Bought the Dec DAX futures on Eurex too. Apart from indexes,...
Here is an example of something that NONE of the commercially available tools can do. Not one of them: Test the strategy of trading 3...
I think the numbers of this system are quite good, and many people would be happy to trade it. For those who believe an equity curve is a waste...
I recommend you study the entire equity curve rather than summary statistics. If you are deciding between 3 systems, slurp their equity curve...
If you're a professional money manager, the "best" thing to do is say you're a discretionary trader, even if you in fact religiously follow a 100%...
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