04/23/2012 Live Update

[TWT]

VIX: Inverted H&S project with target = 28.50

[MrMiyagi]

Yahoo headline over the weekend said we were gonna have a good week

[uempel]

I need a help:

I designed a system, the back test shows, the bigger the stop loss, the higher the winning rate and for the 10K invested, the bigger stop loss even gets better performance, so it seems the bigger stop loss is not a problem here. However the stop loss reads ridiculous to me, if you think 6*ATR(10) is acceptable, how about 20*ATR(10)? Anyone has better idea to check besides the winning rate, the performance, anything else I can add to judge which parameter is the best to use? I really don't want to use a system with 20*ATR(10) as stop loss.

Cobra, it depends on the time frame. If somebody doesn't mind when his capital is tied up for a longer period the bigger stop loss makes sense. The placement of the stop loss is in context with time frame...

[jaijailyc]

some support @ 1357 / 1358

[q2model]

I need a help:

I designed a system, the back test shows, the bigger the stop loss, the higher the winning rate and for the 10K invested, the bigger stop loss even gets better performance, so it seems the bigger stop loss is not a problem here. However the stop loss reads ridiculous to me, if you think 6*ATR(10) is acceptable, how about 20*ATR(10)? Anyone has better idea to check besides the winning rate, the performance, anything else I can add to judge which parameter is the best to use? I really don't want to use a system with 20*ATR(10) as stop loss.

How about volatility of the performance?

any easy way to measure this?

Simple way is to use: Information ratio/sharpe ratio: http://www.investopedia.com/terms/s/sha ... z1ss9PdK4R

[Cobra]

with important support broken, now we all know the next target. to me, a little lower low is enough. I don't hope much on the bear side as overall this is not a bear friendly market.

[q2model]

also the question is how to measure the performance.

The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?

So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?

Not necessarily true -- can you do 15% in the next 4 years? There is opportunity cost as well, if for next 4 years, you can only make like 1%, then you are better off with 60% in 5 years

[Cobra]

target $135.59, for ES, it's 1350. 60% chances.

[jarbo456]

also the question is how to measure the performance.

The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?

So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?

absolutely. you need to annualize the performance to get a better hold of how successful the strategy is. obviously, you can do this by measuring the CAGR of the system. another often used practice is calculating the sharpe ratio of your system. if your variance is too high, your stop loss too wide, your sharpe ratio will surely suffer.

[Mr. T]

Yahoo headline over the weekend said we were gonna have a good week

News of Pat Morita's Ghost breaks........ speculation of Ghost uprising, and WW3 vs spectral adversaries........

Ben vows to bog the ghosts down in reams of green paper = but no ones knows if that's how to fight ghosts.

Markets in retreat.

[MrMiyagi]

136$ seems to be holding for now, 1 & 2 min Stochastics turned up

[sachsun]

AAPL double bottom on 5 min chart. Oversold

[BullBear52x]

If q's stop here for the day, most will too.

[jarbo456]

also the question is how to measure the performance.

The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?

So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?

Not necessarily true -- can you do 15% in the next 4 years? There is opportunity cost as well, if for next 4 years, you can only make like 1%, then you are better off with 60% in 5 years

hahaha...then again, all of these systems analysis are fraught with their own sets of subjective opinions (stastically measured opinions of course! ).

ask the fund of funds guys and the hedge fund incubators - they are all trying to figure out how to differentiate a "successful model" from a mediocre to crappy one.

[seeyou]

with important support broken, now we all know the next target. to me, a little lower low is enough. I don't hope much on the bear side as overall this is not a bear friendly market.

bear fake out ahead of fed meeting .. bottom today

[Cobra]

also the question is how to measure the performance.

The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?

So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?

absolutely. you need to annualize the performance to get a better hold of how successful the strategy is. obviously, you can do this by measuring the CAGR of the system. another often used practice is calculating the sharpe ratio of your system. if your variance is too high, your stop loss too wide, your sharpe ratio will surely suffer.

OK, let's define "annualize".

Assume 260 trading day a year.

you get 1% in 10 days, so your annualized return is 26%, correct?

As for sharp ratio, seems very difficult to write a program to calculate it. I need a simple formular. Nowadays, in my system, because of Pyramid support, I need calculate exact entry, exit, and position. All by myself, I cannot rely on a software that supports all this. So I don't have the sharp ratio.

[Petsamo]

Anyone wanna short UNG ?

[BullBear52x]

Anyone wanna short UNG ?

over 2.5% run today, only showing green shoot. I will buy once it pull back to 5dma (14.62)

[marscormier]

Cobra,

can you look at GOOG intraday. Will it make another attempt at $590?

[Buckethead]

also the question is how to measure the performance.

The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?

So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?

absolutely. you need to annualize the performance to get a better hold of how successful the strategy is. obviously, you can do this by measuring the CAGR of the system. another often used practice is calculating the sharpe ratio of your system. if your variance is too high, your stop loss too wide, your sharpe ratio will surely suffer.

OK, let's define "annualize".

Assume 260 trading day a year.

you get 1% in 10 days, so your annualized return is 26%, correct?

As for sharp ratio, seems very difficult to write a program to calculate it. I need a simple formular. Nowadays, in my system, because of Pyramid support, I need calculate exact entry, exit, and position. All by myself, I cannot rely on a software that supports all this. So I don't have the sharp ratio.

My experience with funds is that unless you are managing more than $5million and really the minimum is $20 million to be taken seriously, these statistics are meaningless because of the issue of scalability of the strategy. Taking wide stop losses, sharpe, and annualized returns really mean nothing to the investor world unless it is scalable to at least millions of dollars. Like I know a housewife who works at a prop firm part time with some money up and she has an 6 Sharpe but only trades 100 shares.