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Yuki,
Again for the most part no argument ... but for example a system
designed to trade NDX and/or QQQ's on a purely end of day basis could
be used to trade the corresponding MF's at Profunds, Rydex and/or
Potomac where individually or collectively one would have no trouble
swinging seven figure trades. What happens once one gets into the
middle eight figures I have no idea but I'd be happy to have and deal
with the problem.
Fred
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> 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
>
> mailto:yukitaga@x...
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