The breaking of a wave cannot explain the whole sea.
lets develop a system which is very very simple but effective. 7 replies
How To Develop Winning Automated Trading Systems 15 replies
Change a losing system into a Winning system 68 replies
Develop a System that Fits You, by Dr Van K. Tharp 3 replies
DislikedSome nice stuff here that you don't usually see on FF, no wonder the thread diedIgnored
DislikedBless your heart Mr. cookie monster, I do believe that's your second consecutive off-topic post in this thread. If I didn't know better I'd think you're attempting to sprinkle cookie crumbs all over this thread. Pretty clever trolling for someone who confuses easily.Ignored
QuoteDislikedMay you detail what you mean by "continuous Kelly Criterion".
Average(returns) / Variance(returns)
QuoteDislikedAnother question: did you try with other convex (risk averse) utility functions? I'm especially thinking of the square root. Did you try with concave utility functions (risk seeker)?
QuoteDislikedBy "try" do you mean mixing a % of equity method with risk averse utility functions such as square root / log in some way? I'm not sure how I would go about that (so obviously no). I have experimented with many different algorithms but beating Kelly (even fractional Kelly as a risk-averse alternative) is a <hard> problem. It can be done in the short term but in the long term? And can it be done systematically in the short term? If so then perhaps a Nobel prize would be in your future!
Disliked...I prefer a SAR method, where longs are closed out by initiating shorts. ...Ignored
DislikedI read lot of academic papers and some excellent discussions about money managment but there are very limited information about the risk managment .Apart from MAE/MFE anaysis(MAE to profit ratio etc..) entry exit efficiency ratio I havent seeen anything good.Your feedbacks appreciatedIgnored
Disliked{quote} You asked for feedback so I would like to write my 2 cents if you don't mind. I do not like SAR method because you are always in the market (there are times to go long, there are times to go short and there are times to go fishing :-) ). The more you stay in the market, the more you are exposing you open position to unknown risks. I prefer to define a good exit criteria (which is not a simple task) and exit as soon as the related criteria is met.Ignored
Disliked{quote} Apologies for the late reply. I don't consider myself to be an expert on any of these topics. However, I have found that simulation is one of the better ways to discover what works and what doesn't. In particular, running different MM simulations with regards to a particular system can be useful to discern what works for a particular strategy and what doesn't. Like you, I haven't found much in the way of practical papers on the subject. I also don't think it is possible to generalize all MM observations to all systems. In that spirit, the...Ignored
QuoteDislikedWhat I am trying to do is along with the market state analysis ,filter the signals with neural network and GA when it is below the certain MAE ratio .Lets say ratio 1(no drawdown) is the optimal signal.So monte carlo simulation can be better substitue to this? I am trying to learn how to use quant share software currently http://www.quantshare.com/ .They have some advanced MM ,neural network, GA, brute force features.
DislikedHi FXEZ As irrelevant as it sounds to this particular thread, it is the only way I could send a message to you. I thank you for your most selfless contribution and the "pairs with beta" indicator should be in every serious market-neutral traders' pocketbook. I've been testing a strategy using your great tool, just to let you know that your work made a difference. It is rather unfortunate to see most people are looking for a trade-easy-system-handout, yet contributors in FF did not get proper respect for their works. You have mine. P.S. I'm about...Ignored
Disliked{quote} Hi Tardigrade, appreciate your comments. I always felt Pairs with Beta was one of my better creations, so I'm glad you're getting some value out of it. I'm not active on the forum much but I'll drop by your thread to make a few comments.Ignored