I have re-read this thread and have some final comments. To me position/risk management can be grouped into: 1. Growth optimal position sizing...
As always when you rely on historical relationships the warnings above are valid. Common sense should always be used. If your position sizing...
As you say above, building the scenarios from historical data is the most crucial part of the LSP method. I guess it will always be hard to create...
Weâre currently using LSP so I might have some input. First some clarifications on what LSP does. The goal of LSP is to find the allocation...
I also like the work of Ralph Vince. His writing style and the fact that some of his definitions are different from those used by others mean that...
Comparing GDP figures to determine standard of living is always tricky (even when using PPP). I remember reading an article about it in The...
For anyone new to system verification it is actually a good suggestion to use some silly ideas like the ones above in order to put together a...
Be prepared that correlations will vary over time. So be very careful in your interpretations. Look e.g. at the 2009 rally in almost all asset...
Congratulations and good luck trading with the big guys! /Hugin
These are interesting questions and I believe addressing them is required in order to have a working trading strategy. If the system generates...
I'm no FPGA expert but from what I've heard the solution Mitrionics provides is to convert code written in a variant of C into something that can...
About two years ago I heard about some guys that looked at implementing high frequency algorithms for a small hedge fund using tools from...
I would consider anything that can affect the trading system's ability to generalize well to be a parameter. Apart from the explicit parameters of...
For a trade indicator to be useful I believe it should be consistent and not signal a trend if the underlying price generating process does not...
I use an adaptive, rather short, window of up to 40 days. The main benefit over most other standard trend indicators is that it addresses fake...
We have used a trend indicator based on regression. The basic input is the steepness of the regression line using the price data. One problem with...
I like Ralph Vince's Leverage Space Portfolio model. Implementing his principles requires you to know about optimization (e.g. Genetic Algorithms)...
We coded the one we use, so I'm not familiar with the capabilities of standard software tools, like TS, Ninja, etc. Maybe someone on ET knows more...
Depends on what you trade, but for stocks I suggest a Monte Carlo simulation comparing the result from your system with a large (>10000) number of...
As I understand from a quick look is that they instead of looking at the log of close to close returns use the log of the high to low ratio as the...
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