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  1. Stops Vs. Drawdown

    Profit, I really don't see how having a stop can hurt a trader with a good system. Even if the stop is triggered, there is always time to get back...
    Post by: vita, Sep 12, 2008 in forum: Risk Management

  2. Maximum number of YM, NQ and ES cars to drive?

    Thanks for the reply. I studied many time-scales data, but I couldn't find a consistent pattern between lot size and slippage. Your feedback is...
    Post by: vita, Sep 12, 2008 in forum: Index Futures

  3. Maximum number of YM, NQ and ES cars to drive?

    Many thanks to all for the quick replies. Cheers.
    Post by: vita, Sep 11, 2008 in forum: Index Futures

  4. Maximum number of YM, NQ and ES cars to drive?

    Vielen Dank!
    Post by: vita, Sep 11, 2008 in forum: Index Futures

  5. Maximum number of YM, NQ and ES cars to drive?

    Gents, any recommendation for the maximum lot size in a single intraday market order without too much market impact in any of the following...
    Thread by: vita, Sep 11, 2008, 9 replies, in forum: Index Futures

  6. Stops Vs. Drawdown

    Great thread guys. If the trading system has an indicator for the direction of the order flow, operating as Trader B is more profitable. On...
    Post by: vita, Sep 11, 2008 in forum: Risk Management

  7. How do you structure yourself financially for trading full time?

    I found this cbot-hosted presentation on Trading Taxes highly informative: http://mediasrv1.cbot.com/02062007_green Good luck.
    Post by: vita, Sep 9, 2008 in forum: Professional Trading

  8. System Presentation

    Sure, here are other topics they would be interested to see in your presentation: 1) Return (PnL) Histogram 2) Equity curve 3) Drawdown...
    Post by: vita, Sep 4, 2008 in forum: Professional Trading

  9. System Presentation

    It's a pickle. Unfortunately there are many reputable firms, even GS, which ask you to present your model in front of their Quants in order to...
    Post by: vita, Sep 4, 2008 in forum: Professional Trading

  10. Going on my Own

    Check out Robert Green's Trader Tax, he talks about your options "www.greencompany.com". This cbot presentation is also informative:...
    Post by: vita, Aug 25, 2008 in forum: Professional Trading

  11. Sharpe ratio

    You nailed it. The problem is that unless our return distribution is stationary (i.e., having the same mean and stddev) over time, all of the...
    Post by: vita, Aug 22, 2008 in forum: Professional Trading

  12. Sharpe ratio

    Raymond, you notice that the Sharpe Ratio calculation is based on the assumption that the mean of the return histogram grows with "time" while the...
    Post by: vita, Aug 21, 2008 in forum: Professional Trading

  13. Anyone know where I can find True Average Range

    This has the formula and a link to an interactive chart at the very bottom:...
    Post by: vita, Aug 19, 2008 in forum: Professional Trading

  14. any day trading Hedge Funds?

    I think they use high-frequency data to generate their signals. I've also heard they hold positions for 10-20 minutes, if justified.
    Post by: vita, Aug 19, 2008 in forum: Professional Trading

  15. Working as a Junior trader

    Quantitative Finance curriculum should have courses on CAPM and portfolio optimization. Aside from basic portfolio theory, I'd suggest you to read...
    Post by: vita, Aug 5, 2008 in forum: Professional Trading

  16. Sharpe ratio

    The answer to your 1st question is NO. Although the histograms are NEVER perfectly Normal, they must have only mode and not many fat tail. The...
    Post by: vita, Aug 1, 2008 in forum: Professional Trading

  17. Sharpe ratio

    Sharpe ratio calculation can be really tricky. This is one general way I'd do it. Depending on your preferred time frame, record your daily,...
    Post by: vita, Aug 1, 2008 in forum: Professional Trading

  18. Managed Accounts

    You may find the following thread a good place to get an idea what is involved. http://www.elitetrader.com/vb/showthread.php?s=&threadid=118059
    Post by: vita, Jul 30, 2008 in forum: Professional Trading

  19. Money Mgmt beats Stops Everytime - Example

    ProfitTakgFool, your point can be actually observed in the ATR data if you plot the growth of ATR vs. chart time scale, i.e. the slope of the ATR...
    Post by: vita, Jul 26, 2008 in forum: Risk Management

  20. Money Mgmt beats Stops Everytime - Example

    Great discussion. I'd also like to emphasize on considering the location of stops and limit orders (if any) w.r.t. the levels. I'd also like...
    Post by: vita, Jul 26, 2008 in forum: Risk Management
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