Thanks. I haven't even started playing with position sizing. This was just a reversal strategy - one entry per position - for educational value, mostly. This is the second time I've seen you post events vs. time and the offer of the market. I'm thinking p/f charting (or finding pivots) and acquiring a percentage of the daily range through pyramid limit orders. *edit* the signal gets much better on higher resolution charts. The offer of the market could be the trends that make up the daily range............ -process engineer with a trade console
The standard is a multiple of the dialy range not a percentage of the dialy range. Process is the name of the game. Use a binary vector.
Offer of the market = daily range (difference between the minimum bid and maxumum offer for the day). Binary vector = either up or down, depending on event based signal Capturing offer of market via binary vector = event based trend following strategy on minute bars, encompassing daily price range.............
For followers of the CW of the financial industry all of this is called "unbelievable". It is certainly unbelievable and this "unbelievability" has been verified in the most direct ways. The market offers and CW types DO NOT TAKE THE OFFER, EVER.
Convert your chart to log log and findout if trading scale change is affecting your confidence. Then calculate how your confidence is being affected. You can also use the log log to model the corporate leverage test you saw in "Margin call". the "mentalist character and the DEMI character "knew" they had stepped out of bounds. So did their boss of bosses. Who cares, the whole scene was just a "sales" scene. My other post was the non sales version of corporate trading. what is fun to consider is going into these outfits and seeing if it is possible to add more than sales to the business. If you follow Rosenthal Collins you can recognize that it was not possible there. Therefore, they had to pull my name from their propaganda.
Thanks again. I'm going to meditate on that for a while. I have very little finance background so I'm not familiar with much of what you write. Designing a trading system is just like designing a control system, from a mechanical engineering standpoint. Actually it's much simpler........
Interesting. I still maintain that coupling a proven trend system with a proven range system and switching when the curves cross (plus a threshold amount) would beat either system, hands down, had they gone solo......... Your thoughts?
Lol Hershey reminds me of Prechter - good at marketing an obscure method that promises to unlock the hidden order to the market, yet no one can turn it into a system with hard rules which can be backtested. Speaking of, Van Tharp has a System Quality concept in his latest book, _Super Trader_: the value of a system (if it is profitable); i.e. how easy it is on your health compared to the killing it makes, is the ratio of Expectancy to std. deviation of R: Less than .17 being very hard to trade, .2-.29 being good and .7+ being holy grail. A grail system can be leveraged huge and not blow up (or blow out your blood pressure). I haven't quantified my crude little trend system but it breaks down at about 8x leverage. I can settle for 2x to meet my objectives, but 3x might be doable if I take up cycling again, to deal with the heat. Note that this only has a p/f of 1.4.