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Hi Fred,
Wednesday, February 5, 2003, 11:13:07 PM, you wrote:
Ffyc> I'm not arguing your statement in terms of how one might trade
Ffyc> in the real world, but you are not going to design & optimize a
Ffyc> trading system based on constant dollar trades are you ?
Not necessarily constant currency terms, but I am going to look at
every stock in the basket that I propose to test, and I'm going to
restrict the position size for that issue to something that I think
is realistic for that market. To just let the system "run wild" and
build up numbers that would never exist in the real world produces a
meaningless result -- at least to me.
And yes, once you get to a certain size, constant currency trades may
be something that you'll have to live with -- more likely constant
share size positions. I cannot trade full bore in many markets I
like to trade. Well, I probably could actually, because I trade only
very liquid stuff, but I know I wouldn't want to be running 300,000
share blocks on a 3 million share day. On a 10 million share day (in
an individual stock) I wouldn't be quite so shy, but the average may
be closer to 4 or 5 million, and there are days of course when it
drops down to less than 2 million. So there are very practical
limits, and your system has to acknowledge them or it's meaningless,
again at least to me.
To be quite honest, I keep most of my positions to the low six
figures US in size. I really don't like to leave ripples in the pool
either coming or going. And you will find it hard to get those
larger bids and offers filled at the prices your system is telling
you they will get filled at. No, I take that back, you will find it
impossible when you start "super-sizing" your orders.
Best,
Yuki
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