|
PureBytes Links
Trading Reference Links
|
Hello Howard:
Have you tested Optimal f or the other equity strategies? I'd like to
know how you would describe your results.
I took a simple, single contract system and wrote an algorithm (in
basic) to simulate reinvestment using various %'s of Op f. I used a
portfolio of 9 futures markets chosen (subjectively ) for lack of
correlation. The results were scary in terms of volatility. This, of
course, jives with some of the of the real life results I've heard
over the grapevine.
During one test, I accidently created a dummy single contract account
which was referenced for capital availability, and the compounding was
based on it. The result was a radically smoother equity curve than
any of the straight Op f tests, but of course a radically reduced TWR.
Still, I am excited about its potential. It would take someone
smarter than I to describe exactly what I did mathematically, but it
is tradeable (that is, it can be done in real time). As I am not
trading currently I am not using it. But I look forward to getting
"out of the lab" and putting it to use.
I agree with Vince that one can invest their time in finding a holy
grail system of entries and exits or one can take a simple, reasonably
profitable system and max it out by compounding. I am definitely in
the latter camp.
As for the options tests I mentioned, my first, limited test was
rather a let down (granted, I only ran it on one market), but I know I
haven't begun to scratch the surface of its potential and when I
recover from my disappoinment I'll get back at improving it.
I'd like to hear about your experiences with f and the other equity
strategies. Also, at some point, I may solicit actual p/l printouts
from a few traders to test Optimal f (both Vince's and my own hybrid)
for feasability.
I'm the type of guy who likes to know what he is getting into before
he commits, thus my passion with simulation.
Look forward to hearing from you. I'm going to post this on the forum
as well.
Yours,
CW
---Howard Bandy <hbandy@xxxxxxxxxxxxx> wrote:
>
> Hi Charles --
>
> I have studied optimal f and am acquainted with one or two other
money management strategies. I would like to join the discussion list.
>
> Thanks,
> Howard
>
> -----Original Message-----
> From: Charles Wright [SMTP:redeemed10@xxxxxxxxx]
> Sent: Sunday, February 22, 1998 1:28 PM
> To: omega-list@xxxxxxxxxx
> Subject: Portfolio Simulations using TS
>
>
>
> I use TS mostly to test different trading approaches, rather than as a
> mechanical system. I've done studies on the effects of Optimal f on a
> portfolio of futures, and am currently working on a simulation of the
> effects of option hedging on a porfolio of futures.
>
> I've come across a modification of Optimal f that is radically
> smoother than the full blown application, though it is not simply a
> fraction of the fraction. Actually, I am not quite sure how to
> explain it, but it tests very well. Anyone who has read this far
> probably knows that Optimal f, if applied out of the book, will make
> your equity curve look like a rollercoaster on steroids (with
> sincerest apologies to Mr. Ralph Vince).
>
> Simulations are not intended to predict the future or duplicate the
> past, but rather to mark out the shadows of the landscape... a way to
> filter out bad ideas and highlight those that might have potential for
> more detailed study and possible application.
>
> I submit this only to see if there are any out there who are
> interested in this arena either for discussion or who might wish to
> have it done (i.e. contract to have it done).
>
> So I'll wait to see what I hear from you if anything. Happy trades.
>
> CW
> _________________________________________________________
> DO YOU YAHOO!?
> Get your free @yahoo.com address at http://mail.yahoo.com
>
>
>
|